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SUBROUTINE MB03YD( WANTT, WANTQ, WANTZ, N, ILO, IHI, ILOQ, IHIQ,
$ A, LDA, B, LDB, Q, LDQ, Z, LDZ, ALPHAR, ALPHAI,
$ BETA, DWORK, LDWORK, INFO )
C
C SLICOT RELEASE 5.0.
C
C Copyright (c) 2002-2009 NICONET e.V.
C
C This program is free software: you can redistribute it and/or
C modify it under the terms of the GNU General Public License as
C published by the Free Software Foundation, either version 2 of
C the License, or (at your option) any later version.
C
C This program is distributed in the hope that it will be useful,
C but WITHOUT ANY WARRANTY; without even the implied warranty of
C MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
C GNU General Public License for more details.
C
C You should have received a copy of the GNU General Public License
C along with this program. If not, see
C <http://www.gnu.org/licenses/>.
C
C PURPOSE
C
C To deal with small subtasks of the product eigenvalue problem.
C
C MB03YD is an auxiliary routine called by SLICOT Library routine
C MB03XP.
C
C ARGUMENTS
C
C Mode Parameters
C
C WANTT LOGICAL
C Indicates whether the user wishes to compute the full
C Schur form or the eigenvalues only, as follows:
C = .TRUE. : Compute the full Schur form;
C = .FALSE.: compute the eigenvalues only.
C
C WANTQ LOGICAL
C Indicates whether or not the user wishes to accumulate
C the matrix Q as follows:
C = .TRUE. : The matrix Q is updated;
C = .FALSE.: the matrix Q is not required.
C
C WANTZ LOGICAL
C Indicates whether or not the user wishes to accumulate
C the matrix Z as follows:
C = .TRUE. : The matrix Z is updated;
C = .FALSE.: the matrix Z is not required.
C
C Input/Output Parameters
C
C N (input) INTEGER
C The order of the matrices A and B. N >= 0.
C
C ILO (input) INTEGER
C IHI (input) INTEGER
C It is assumed that the matrices A and B are already
C (quasi) upper triangular in rows and columns 1:ILO-1 and
C IHI+1:N. The routine works primarily with the submatrices
C in rows and columns ILO to IHI, but applies the
C transformations to all the rows and columns of the
C matrices A and B, if WANTT = .TRUE..
C 1 <= ILO <= max(1,N); min(ILO,N) <= IHI <= N.
C
C ILOQ (input) INTEGER
C IHIQ (input) INTEGER
C Specify the rows of Q and Z to which transformations
C must be applied if WANTQ = .TRUE. and WANTZ = .TRUE.,
C respectively.
C 1 <= ILOQ <= ILO; IHI <= IHIQ <= N.
C
C A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
C On entry, the leading N-by-N part of this array must
C contain the upper Hessenberg matrix A.
C On exit, if WANTT = .TRUE., the leading N-by-N part of
C this array is upper quasi-triangular in rows and columns
C ILO:IHI.
C If WANTT = .FALSE., the diagonal elements and 2-by-2
C diagonal blocks of A will be correct, but the remaining
C parts of A are unspecified on exit.
C
C LDA INTEGER
C The leading dimension of the array A. LDA >= MAX(1,N).
C
C B (input/output) DOUBLE PRECISION array, dimension (LDB,N)
C On entry, the leading N-by-N part of this array must
C contain the upper triangular matrix B.
C On exit, if WANTT = .TRUE., the leading N-by-N part of
C this array contains the transformed upper triangular
C matrix. 2-by-2 blocks in B corresponding to 2-by-2 blocks
C in A will be reduced to positive diagonal form. (I.e., if
C A(j+1,j) is non-zero, then B(j+1,j)=B(j,j+1)=0 and B(j,j)
C and B(j+1,j+1) will be positive.)
C If WANTT = .FALSE., the elements corresponding to diagonal
C elements and 2-by-2 diagonal blocks in A will be correct,
C but the remaining parts of B are unspecified on exit.
C
C LDB INTEGER
C The leading dimension of the array B. LDB >= MAX(1,N).
C
C Q (input/output) DOUBLE PRECISION array, dimension (LDQ,N)
C On entry, if WANTQ = .TRUE., then the leading N-by-N part
C of this array must contain the current matrix Q of
C transformations accumulated by MB03XP.
C On exit, if WANTQ = .TRUE., then the leading N-by-N part
C of this array contains the matrix Q updated in the
C submatrix Q(ILOQ:IHIQ,ILO:IHI).
C If WANTQ = .FALSE., Q is not referenced.
C
C LDQ INTEGER
C The leading dimension of the array Q. LDQ >= 1.
C If WANTQ = .TRUE., LDQ >= MAX(1,N).
C
C Z (input/output) DOUBLE PRECISION array, dimension (LDZ,N)
C On entry, if WANTZ = .TRUE., then the leading N-by-N part
C of this array must contain the current matrix Z of
C transformations accumulated by MB03XP.
C On exit, if WANTZ = .TRUE., then the leading N-by-N part
C of this array contains the matrix Z updated in the
C submatrix Z(ILOQ:IHIQ,ILO:IHI).
C If WANTZ = .FALSE., Z is not referenced.
C
C LDZ INTEGER
C The leading dimension of the array Z. LDZ >= 1.
C If WANTZ = .TRUE., LDZ >= MAX(1,N).
C
C ALPHAR (output) DOUBLE PRECISION array, dimension (N)
C ALPHAI (output) DOUBLE PRECISION array, dimension (N)
C BETA (output) DOUBLE PRECISION array, dimension (N)
C The i-th (ILO <= i <= IHI) computed eigenvalue is given
C by BETA(I) * ( ALPHAR(I) + sqrt(-1)*ALPHAI(I) ). If two
C eigenvalues are computed as a complex conjugate pair,
C they are stored in consecutive elements of ALPHAR, ALPHAI
C and BETA. If WANTT = .TRUE., the eigenvalues are stored in
C the same order as on the diagonals of the Schur forms of
C A and B.
C
C Workspace
C
C DWORK DOUBLE PRECISION array, dimension (LDWORK)
C On exit, if INFO = -19, DWORK(1) returns the minimum
C value of LDWORK.
C
C LDWORK INTEGER
C The length of the array DWORK. LDWORK >= MAX(1,N).
C
C Error Indicator
C
C INFO INTEGER
C = 0: successful exit;
C < 0: if INFO = -i, the i-th argument had an illegal
C value;
C > 0: if INFO = i, then MB03YD failed to compute the Schur
C form in a total of 30*(IHI-ILO+1) iterations;
C elements i+1:n of ALPHAR, ALPHAI and BETA contain
C successfully computed eigenvalues.
C
C METHOD
C
C The implemented algorithm is a double-shift version of the
C periodic QR algorithm described in [1,3] with some minor
C modifications [2]. The eigenvalues are computed via an implicit
C complex single shift algorithm.
C
C REFERENCES
C
C [1] Bojanczyk, A.W., Golub, G.H., and Van Dooren, P.
C The periodic Schur decomposition: Algorithms and applications.
C Proc. of the SPIE Conference (F.T. Luk, Ed.), 1770, pp. 31-42,
C 1992.
C
C [2] Kressner, D.
C An efficient and reliable implementation of the periodic QZ
C algorithm. Proc. of the IFAC Workshop on Periodic Control
C Systems, pp. 187-192, 2001.
C
C [3] Van Loan, C.
C Generalized Singular Values with Algorithms and Applications.
C Ph. D. Thesis, University of Michigan, 1973.
C
C NUMERICAL ASPECTS
C
C The algorithm requires O(N**3) floating point operations and is
C backward stable.
C
C CONTRIBUTORS
C
C D. Kressner, Technical Univ. Berlin, Germany, and
C P. Benner, Technical Univ. Chemnitz, Germany, December 2003.
C
C REVISIONS
C
C V. Sima, June 2008 (SLICOT version of the HAPACK routine DLAPQR).
C
C KEYWORDS
C
C Eigenvalue, eigenvalue decomposition, Hessenberg form, orthogonal
C transformation, (periodic) Schur form
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, ONE
PARAMETER ( ZERO = 0.0D+0, ONE = 1.0D+0 )
C .. Scalar Arguments ..
LOGICAL WANTQ, WANTT, WANTZ
INTEGER IHI, IHIQ, ILO, ILOQ, INFO, LDA, LDB, LDQ,
$ LDWORK, LDZ, N
C .. Array Arguments ..
DOUBLE PRECISION A(LDA,*), ALPHAI(*), ALPHAR(*), B(LDB,*),
$ BETA(*), DWORK(*), Q(LDQ,*), Z(LDZ,*)
C .. Local Scalars ..
INTEGER I, I1, I2, ITN, ITS, K, KK, L, NH, NQ, NR
DOUBLE PRECISION ALPHA, BETAX, CS1, CS2, CS3, DELTA, GAMMA,
$ OVFL, SMLNUM, SN1, SN2, SN3, TAUV, TAUW,
$ TEMP, TST, ULP, UNFL
C .. Local Arrays ..
INTEGER ISEED(4)
DOUBLE PRECISION V(3), W(3)
C .. External Functions ..
DOUBLE PRECISION DLAMCH, DLANHS
EXTERNAL DLAMCH, DLANHS
C .. External Subroutines ..
EXTERNAL DCOPY, DLABAD, DLARFG, DLARFX, DLARNV, DLARTG,
$ DROT, MB03YA, MB03YT, XERBLA
C .. Intrinsic Functions ..
INTRINSIC ABS, DBLE, MAX, MIN
C
C .. Executable Statements ..
C
C Check the scalar input parameters.
C
INFO = 0
NH = IHI - ILO + 1
NQ = IHIQ - ILOQ + 1
IF ( N.LT.0 ) THEN
INFO = -4
ELSE IF ( ILO.LT.1 .OR. ILO.GT.MAX( 1, N ) ) THEN
INFO = -5
ELSE IF ( IHI.LT.MIN( ILO, N ) .OR. IHI.GT.N ) THEN
INFO = -6
ELSE IF ( ILOQ.LT.1 .OR. ILOQ.GT.ILO ) THEN
INFO = -7
ELSE IF ( IHIQ.LT.IHI .OR. IHIQ.GT.N ) THEN
INFO = -8
ELSE IF ( LDA.LT.MAX( 1, N ) ) THEN
INFO = -10
ELSE IF ( LDB.LT.MAX( 1, N ) ) THEN
INFO = -12
ELSE IF ( LDQ.LT.1 .OR. WANTQ .AND. LDQ.LT.N ) THEN
INFO = -14
ELSE IF ( LDZ.LT.1 .OR. WANTZ .AND. LDZ.LT.N ) THEN
INFO = -16
ELSE IF ( LDWORK.LT.MAX( 1, N ) ) THEN
DWORK(1) = DBLE( MAX( 1, N ) )
INFO = -21
END IF
C
C Return if there were illegal values.
C
IF ( INFO.NE.0 ) THEN
CALL XERBLA( 'MB03YD', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
IF ( N.EQ.0 )
$ RETURN
C
C Set machine-dependent constants for the stopping criterion.
C
UNFL = DLAMCH( 'Safe minimum' )
OVFL = ONE / UNFL
CALL DLABAD( UNFL, OVFL )
ULP = DLAMCH( 'Precision' )
SMLNUM = UNFL*( NH / ULP )
C
C I1 and I2 are the indices of the first rows and last columns of
C A and B to which transformations must be applied.
C
I1 = 1
I2 = N
ISEED(1) = 1
ISEED(2) = 0
ISEED(3) = 0
ISEED(4) = 1
C
C ITN is the maximal number of QR iterations.
C
ITN = 30*NH
C
C Main loop. Eigenvalues I+1:IHI have converged. Either L = ILO
C or A(L,L-1) is negligible.
C
I = IHI
10 CONTINUE
L = ILO
IF ( I.LT.ILO )
$ GO TO 120
C
C Perform periodic QR iteration on rows and columns ILO to I of A
C and B until a submatrix of order 1 or 2 splits off at the bottom.
C
DO 70 ITS = 0, ITN
C
C Look for deflations in A.
C
DO 20 K = I, L + 1, -1
TST = ABS( A(K-1,K-1) ) + ABS( A(K,K) )
IF ( TST.EQ.ZERO )
$ TST = DLANHS( '1', I-L+1, A(L,L), LDA, DWORK )
IF ( ABS( A(K,K-1) ).LE.MAX( ULP*TST, SMLNUM ) )
$ GO TO 30
20 CONTINUE
30 CONTINUE
C
C Look for deflation in B if problem size is greater than 1.
C
IF ( I-K.GE.1 ) THEN
DO 40 KK = I, K, -1
IF ( KK.EQ.I ) THEN
TST = ABS( B(KK-1,KK) )
ELSE IF ( KK.EQ.K ) THEN
TST = ABS( B(KK,KK+1) )
ELSE
TST = ABS( B(KK-1,KK) ) + ABS( B(KK,KK+1) )
END IF
IF ( TST.EQ.ZERO )
$ TST = DLANHS( '1', I-K+1, B(K,K), LDB, DWORK )
IF ( ABS( B(KK,KK) ).LE.MAX( ULP*TST, SMLNUM ) )
$ GO TO 50
40 CONTINUE
ELSE
KK = K-1
END IF
50 CONTINUE
IF ( KK.GE.K ) THEN
C
C B has an element close to zero at position (KK,KK).
C
B(KK,KK) = ZERO
CALL MB03YA( WANTT, WANTQ, WANTZ, N, K, I, ILOQ, IHIQ, KK,
$ A, LDA, B, LDB, Q, LDQ, Z, LDZ, INFO )
K = KK+1
END IF
L = K
IF( L.GT.ILO ) THEN
C
C A(L,L-1) is negligible.
C
A(L,L-1) = ZERO
END IF
C
C Exit from loop if a submatrix of order 1 or 2 has split off.
C
IF ( L.GE.I-1 )
$ GO TO 80
C
C The active submatrices are now in rows and columns L:I.
C
IF ( .NOT.WANTT ) THEN
I1 = L
I2 = I
END IF
IF ( ITS.EQ.10.OR.ITS.EQ.20 ) THEN
C
C Exceptional shift. The first column of the shift polynomial
C is a pseudo-random vector.
C
CALL DLARNV( 3, ISEED, 3, V )
ELSE
C
C The implicit double shift is constructed via a partial
C product QR factorization [2].
C
CALL DLARTG( B(L,L), B(I,I), CS2, SN2, TEMP )
CALL DLARTG( TEMP, B(I-1,I), CS1, SN1, ALPHA )
C
ALPHA = A(L,L)*CS2 - A(I,I)*SN2
BETAX = CS1*( CS2*A(L+1,L) )
GAMMA = CS1*( SN2*A(I-1,I) ) + SN1*A(I-1,I-1)
ALPHA = ALPHA*CS1 - A(I,I-1)*SN1
CALL DLARTG( ALPHA, BETAX, CS1, SN1, TEMP )
C
CALL DLARTG( TEMP, GAMMA, CS2, SN2, ALPHA )
ALPHA = CS2
GAMMA = ( A(I-1,I-1)*CS1 )*CS2 + A(I,I-1)*SN2
DELTA = ( A(I-1,I-1)*SN1 )*CS2
CALL DLARTG( GAMMA, DELTA, CS3, SN3, TEMP )
CALL DLARTG( ALPHA, TEMP, CS2, SN2, ALPHA )
C
ALPHA = ( B(L,L)*CS1 + B(L,L+1)*SN1 )*CS2
BETAX = ( B(L+1,L+1)*SN1 )*CS2
GAMMA = B(I-1,I-1)*SN2
CALL DLARTG( ALPHA, BETAX, CS1, SN1, TEMP )
CALL DLARTG( TEMP, GAMMA, CS2, SN2, ALPHA )
C
ALPHA = CS1*A(L,L) + SN1*A(L,L+1)
BETAX = CS1*A(L+1,L) + SN1*A(L+1,L+1)
GAMMA = SN1*A(L+2,L+1)
C
V(1) = CS2*ALPHA - SN2*CS3
V(2) = CS2*BETAX - SN2*SN3
V(3) = GAMMA*CS2
END IF
C
C Double-shift QR step
C
DO 60 K = L, I-1
C
NR = MIN( 3,I-K+1 )
IF ( K.GT.L )
$ CALL DCOPY( NR, A(K,K-1), 1, V, 1 )
CALL DLARFG( NR, V(1), V(2), 1, TAUV )
IF ( K.GT.L ) THEN
A(K,K-1) = V(1)
A(K+1,K-1) = ZERO
IF ( K.LT.I-1 )
$ A(K+2,K-1) = ZERO
END IF
C
C Apply reflector V from the right to B in rows I1:min(K+2,I).
C
V(1) = ONE
CALL DLARFX( 'Right', MIN(K+2,I)-I1+1, NR, V, TAUV, B(I1,K),
$ LDB, DWORK )
C
C Annihilate the introduced nonzeros in the K-th column.
C
CALL DCOPY( NR, B(K,K), 1, W, 1 )
CALL DLARFG( NR, W(1), W(2), 1, TAUW )
B(K,K) = W(1)
B(K+1,K) = ZERO
IF ( K.LT.I-1 )
$ B(K+2,K) = ZERO
C
C Apply reflector W from the left to transform the rows of the
C matrix B in columns K+1:I2.
C
W(1) = ONE
CALL DLARFX( 'Left', NR, I2-K, W, TAUW, B(K,K+1), LDB,
$ DWORK )
C
C Apply reflector V from the left to transform the rows of the
C matrix A in columns K:I2.
C
CALL DLARFX( 'Left', NR, I2-K+1, V, TAUV, A(K,K), LDA,
$ DWORK )
C
C Apply reflector W from the right to transform the columns of
C the matrix A in rows I1:min(K+3,I).
C
CALL DLARFX( 'Right', MIN(K+3,I)-I1+1, NR, W, TAUW, A(I1,K),
$ LDA, DWORK )
C
C Accumulate transformations in the matrices Q and Z.
C
IF ( WANTQ )
$ CALL DLARFX( 'Right', NQ, NR, V, TAUV, Q(ILOQ,K), LDQ,
$ DWORK )
IF ( WANTZ )
$ CALL DLARFX( 'Right', NQ, NR, W, TAUW, Z(ILOQ,K), LDZ,
$ DWORK )
60 CONTINUE
70 CONTINUE
C
C Failure to converge.
C
INFO = I
RETURN
C
80 CONTINUE
C
C Compute 1-by-1 or 2-by-2 subproblem.
C
IF ( L.EQ.I ) THEN
C
C Standardize B, set ALPHAR, ALPHAI and BETA.
C
IF ( B(I,I).LT.ZERO ) THEN
IF ( WANTT ) THEN
DO 90 K = I1, I
B(K,I) = -B(K,I)
90 CONTINUE
DO 100 K = I, I2
A(I,K) = -A(I,K)
100 CONTINUE
ELSE
B(I,I) = -B(I,I)
A(I,I) = -A(I,I)
END IF
IF ( WANTQ ) THEN
DO 110 K = ILOQ, IHIQ
Q(K,I) = -Q(K,I)
110 CONTINUE
END IF
END IF
ALPHAR(I) = A(I,I)
ALPHAI(I) = ZERO
BETA(I) = B(I,I)
ELSE IF( L.EQ.I-1 ) THEN
C
C A double block has converged.
C Compute eigenvalues and standardize double block.
C
CALL MB03YT( A(I-1,I-1), LDA, B(I-1,I-1), LDB, ALPHAR(I-1),
$ ALPHAI(I-1), BETA(I-1), CS1, SN1, CS2, SN2 )
C
C Apply transformation to rest of A and B.
C
IF ( I2.GT.I )
$ CALL DROT( I2-I, A(I-1,I+1), LDA, A(I,I+1), LDA, CS1, SN1 )
CALL DROT( I-I1-1, A(I1,I-1), 1, A(I1,I), 1, CS2, SN2 )
IF ( I2.GT.I )
$ CALL DROT( I2-I, B(I-1,I+1), LDB, B(I,I+1), LDB, CS2, SN2 )
CALL DROT( I-I1-1, B(I1,I-1), 1, B(I1,I), 1, CS1, SN1 )
C
C Apply transformation to rest of Q and Z if desired.
C
IF ( WANTQ )
$ CALL DROT( NQ, Q(ILOQ,I-1), 1, Q(ILOQ,I), 1, CS1, SN1 )
IF ( WANTZ )
$ CALL DROT( NQ, Z(ILOQ,I-1), 1, Z(ILOQ,I), 1, CS2, SN2 )
END IF
C
C Decrement number of remaining iterations, and return to start of
C the main loop with new value of I.
C
ITN = ITN - ITS
I = L - 1
GO TO 10
C
120 CONTINUE
DWORK(1) = DBLE( MAX( 1, N ) )
RETURN
C *** Last line of MB03YD ***
END
|
