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SUBROUTINE MB04JD( N, M, P, L, A, LDA, B, LDB, TAU, 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 compute an LQ factorization of an n-by-m matrix A (A = L * Q),
C having a min(n,p)-by-p zero triangle in the upper right-hand side
C corner, as shown below, for n = 8, m = 7, and p = 2:
C
C [ x x x x x 0 0 ]
C [ x x x x x x 0 ]
C [ x x x x x x x ]
C [ x x x x x x x ]
C A = [ x x x x x x x ],
C [ x x x x x x x ]
C [ x x x x x x x ]
C [ x x x x x x x ]
C
C and optionally apply the transformations to an l-by-m matrix B
C (from the right). The problem structure is exploited. This
C computation is useful, for instance, in combined measurement and
C time update of one iteration of the time-invariant Kalman filter
C (square root covariance filter).
C
C ARGUMENTS
C
C Input/Output Parameters
C
C N (input) INTEGER
C The number of rows of the matrix A. N >= 0.
C
C M (input) INTEGER
C The number of columns of the matrix A. M >= 0.
C
C P (input) INTEGER
C The order of the zero triagle. P >= 0.
C
C L (input) INTEGER
C The number of rows of the matrix B. L >= 0.
C
C A (input/output) DOUBLE PRECISION array, dimension (LDA,M)
C On entry, the leading N-by-M part of this array must
C contain the matrix A. The elements corresponding to the
C zero MIN(N,P)-by-P upper trapezoidal/triangular part
C (if P > 0) are not referenced.
C On exit, the elements on and below the diagonal of this
C array contain the N-by-MIN(N,M) lower trapezoidal matrix
C L (L is lower triangular, if N <= M) of the LQ
C factorization, and the relevant elements above the
C diagonal contain the trailing components (the vectors v,
C see Method) of the elementary reflectors used in the
C factorization.
C
C LDA INTEGER
C The leading dimension of array A. LDA >= MAX(1,N).
C
C B (input/output) DOUBLE PRECISION array, dimension (LDB,M)
C On entry, the leading L-by-M part of this array must
C contain the matrix B.
C On exit, the leading L-by-M part of this array contains
C the updated matrix B.
C If L = 0, this array is not referenced.
C
C LDB INTEGER
C The leading dimension of array B. LDB >= MAX(1,L).
C
C TAU (output) DOUBLE PRECISION array, dimension MIN(N,M)
C The scalar factors of the elementary reflectors used.
C
C Workspace
C
C DWORK DOUBLE PRECISION array, dimension (LDWORK)
C On exit, if INFO = 0, DWORK(1) returns the optimal value
C of LDWORK.
C
C LDWORK The length of the array DWORK.
C LDWORK >= MAX(1,N-1,N-P,L).
C For optimum performance LDWORK should be larger.
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
C METHOD
C
C The routine uses min(N,M) Householder transformations exploiting
C the zero pattern of the matrix. A Householder matrix has the form
C
C ( 1 ),
C H = I - tau *u *u', u = ( v )
C i i i i i ( i)
C
C where v is an (M-P+I-2)-vector. The components of v are stored
C i i
C in the i-th row of A, beginning from the location i+1, and tau
C i
C is stored in TAU(i).
C
C NUMERICAL ASPECTS
C
C The algorithm is backward stable.
C
C CONTRIBUTORS
C
C V. Sima, Katholieke Univ. Leuven, Belgium, Feb. 1997.
C
C REVISIONS
C
C -
C
C KEYWORDS
C
C Elementary reflector, LQ factorization, orthogonal transformation.
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, ONE
PARAMETER ( ZERO = 0.0D0, ONE = 1.0D0 )
C .. Scalar Arguments ..
INTEGER INFO, L, LDA, LDB, LDWORK, M, N, P
C .. Array Arguments ..
DOUBLE PRECISION A(LDA,*), B(LDB,*), DWORK(*), TAU(*)
C .. Local Scalars ..
INTEGER I
DOUBLE PRECISION FIRST, WRKOPT
C .. External Subroutines ..
EXTERNAL DGELQF, DLARF, DLARFG, DORMLQ, XERBLA
C .. Intrinsic Functions ..
INTRINSIC DBLE, MAX, MIN
C .. Executable Statements ..
C
C Test the input scalar arguments.
C
INFO = 0
IF( N.LT.0 ) THEN
INFO = -1
ELSE IF( M.LT.0 ) THEN
INFO = -2
ELSE IF( P.LT.0 ) THEN
INFO = -3
ELSE IF( L.LT.0 ) THEN
INFO = -4
ELSE IF( LDA.LT.MAX( 1, N ) ) THEN
INFO = -6
ELSE IF( LDB.LT.MAX( 1, L ) ) THEN
INFO = -8
ELSE IF( LDWORK.LT.MAX( 1, N - 1, N - P, L ) ) THEN
INFO = -11
END IF
C
IF ( INFO.NE.0 ) THEN
C
C Error return.
C
CALL XERBLA( 'MB04JD', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
IF( MIN( M, N ).EQ.0 ) THEN
DWORK(1) = ONE
RETURN
ELSE IF( M.LE.P+1 ) THEN
DO 5 I = 1, MIN( N, M )
TAU(I) = ZERO
5 CONTINUE
DWORK(1) = ONE
RETURN
END IF
C
C Annihilate the superdiagonal elements of A and apply the
C transformations to B, if L > 0.
C Workspace: need MAX(N-1,L).
C
C (Note: Comments in the code beginning "Workspace:" describe the
C minimal amount of real workspace needed at that point in the
C code, as well as the preferred amount for good performance.
C NB refers to the optimal block size for the immediately
C following subroutine, as returned by ILAENV.)
C
DO 10 I = 1, MIN( N, P )
C
C Exploit the structure of the I-th row of A.
C
CALL DLARFG( M-P, A(I,I), A(I,I+1), LDA, TAU(I) )
IF( TAU(I).NE.ZERO ) THEN
C
FIRST = A(I,I)
A(I,I) = ONE
C
IF ( I.LT.N ) CALL DLARF( 'Right', N-I, M-P, A(I,I), LDA,
$ TAU(I), A(I+1,I), LDA, DWORK )
IF ( L.GT.0 ) CALL DLARF( 'Right', L, M-P, A(I,I), LDA,
$ TAU(I), B(1,I), LDB, DWORK )
C
A(I,I) = FIRST
END IF
10 CONTINUE
C
WRKOPT = MAX( ONE, DBLE( N - 1 ), DBLE( L ) )
C
C Fast LQ factorization of the remaining trailing submatrix, if any.
C Workspace: need N-P; prefer (N-P)*NB.
C
IF( N.GT.P ) THEN
CALL DGELQF( N-P, M-P, A(P+1,P+1), LDA, TAU(P+1), DWORK,
$ LDWORK, INFO )
WRKOPT = MAX( WRKOPT, DWORK(1) )
C
IF ( L.GT.0 ) THEN
C
C Apply the transformations to B.
C Workspace: need L; prefer L*NB.
C
CALL DORMLQ( 'Right', 'Transpose', L, M-P, MIN(N,M)-P,
$ A(P+1,P+1), LDA, TAU(P+1), B(1,P+1), LDB,
$ DWORK, LDWORK, INFO )
WRKOPT = MAX( WRKOPT, DWORK(1) )
END IF
END IF
C
DWORK(1) = WRKOPT
RETURN
C *** Last line of MB04JD ***
END
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