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SUBROUTINE MB3OYZ( M, N, A, LDA, RCOND, SVLMAX, RANK, SVAL, JPVT,
$ TAU, DWORK, ZWORK, 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 a rank-revealing QR factorization of a complex general
C M-by-N matrix A, which may be rank-deficient, and estimate its
C effective rank using incremental condition estimation.
C
C The routine uses a truncated QR factorization with column pivoting
C [ R11 R12 ]
C A * P = Q * R, where R = [ ],
C [ 0 R22 ]
C with R11 defined as the largest leading upper triangular submatrix
C whose estimated condition number is less than 1/RCOND. The order
C of R11, RANK, is the effective rank of A. Condition estimation is
C performed during the QR factorization process. Matrix R22 is full
C (but of small norm), or empty.
C
C MB3OYZ does not perform any scaling of the matrix A.
C
C ARGUMENTS
C
C Input/Output Parameters
C
C M (input) INTEGER
C The number of rows of the matrix A. M >= 0.
C
C N (input) INTEGER
C The number of columns of the matrix A. N >= 0.
C
C A (input/output) COMPLEX*16 array, dimension ( LDA, N )
C On entry, the leading M-by-N part of this array must
C contain the given matrix A.
C On exit, the leading RANK-by-RANK upper triangular part
C of A contains the triangular factor R11, and the elements
C below the diagonal in the first RANK columns, with the
C array TAU, represent the unitary matrix Q as a product
C of RANK elementary reflectors.
C The remaining N-RANK columns contain the result of the
C QR factorization process used.
C
C LDA INTEGER
C The leading dimension of the array A. LDA >= max(1,M).
C
C RCOND (input) DOUBLE PRECISION
C RCOND is used to determine the effective rank of A, which
C is defined as the order of the largest leading triangular
C submatrix R11 in the QR factorization with pivoting of A,
C whose estimated condition number is less than 1/RCOND.
C 0 <= RCOND <= 1.
C NOTE that when SVLMAX > 0, the estimated rank could be
C less than that defined above (see SVLMAX).
C
C SVLMAX (input) DOUBLE PRECISION
C If A is a submatrix of another matrix B, and the rank
C decision should be related to that matrix, then SVLMAX
C should be an estimate of the largest singular value of B
C (for instance, the Frobenius norm of B). If this is not
C the case, the input value SVLMAX = 0 should work.
C SVLMAX >= 0.
C
C RANK (output) INTEGER
C The effective (estimated) rank of A, i.e., the order of
C the submatrix R11.
C
C SVAL (output) DOUBLE PRECISION array, dimension ( 3 )
C The estimates of some of the singular values of the
C triangular factor R:
C SVAL(1): largest singular value of R(1:RANK,1:RANK);
C SVAL(2): smallest singular value of R(1:RANK,1:RANK);
C SVAL(3): smallest singular value of R(1:RANK+1,1:RANK+1),
C if RANK < MIN( M, N ), or of R(1:RANK,1:RANK),
C otherwise.
C If the triangular factorization is a rank-revealing one
C (which will be the case if the leading columns were well-
C conditioned), then SVAL(1) will also be an estimate for
C the largest singular value of A, and SVAL(2) and SVAL(3)
C will be estimates for the RANK-th and (RANK+1)-st singular
C values of A, respectively.
C By examining these values, one can confirm that the rank
C is well defined with respect to the chosen value of RCOND.
C The ratio SVAL(1)/SVAL(2) is an estimate of the condition
C number of R(1:RANK,1:RANK).
C
C JPVT (output) INTEGER array, dimension ( N )
C If JPVT(i) = k, then the i-th column of A*P was the k-th
C column of A.
C
C TAU (output) COMPLEX*16 array, dimension ( MIN( M, N ) )
C The leading RANK elements of TAU contain the scalar
C factors of the elementary reflectors.
C
C Workspace
C
C DWORK DOUBLE PRECISION array, dimension ( 2*N )
C
C ZWORK COMPLEX*16 array, dimension ( 3*N-1 )
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 computes a truncated QR factorization with column
C pivoting of A, A * P = Q * R, with R defined above, and,
C during this process, finds the largest leading submatrix whose
C estimated condition number is less than 1/RCOND, taking the
C possible positive value of SVLMAX into account. This is performed
C using the LAPACK incremental condition estimation scheme and a
C slightly modified rank decision test. The factorization process
C stops when RANK has been determined.
C
C The matrix Q is represented as a product of elementary reflectors
C
C Q = H(1) H(2) . . . H(k), where k = rank <= min(m,n).
C
C Each H(i) has the form
C
C H = I - tau * v * v'
C
C where tau is a complex scalar, and v is a complex vector with
C v(1:i-1) = 0 and v(i) = 1; v(i+1:m) is stored on exit in
C A(i+1:m,i), and tau in TAU(i).
C
C The matrix P is represented in jpvt as follows: If
C jpvt(j) = i
C then the jth column of P is the ith canonical unit vector.
C
C REFERENCES
C
C [1] Bischof, C.H. and P. Tang.
C Generalizing Incremental Condition Estimation.
C LAPACK Working Notes 32, Mathematics and Computer Science
C Division, Argonne National Laboratory, UT, CS-91-132,
C May 1991.
C
C [2] Bischof, C.H. and P. Tang.
C Robust Incremental Condition Estimation.
C LAPACK Working Notes 33, Mathematics and Computer Science
C Division, Argonne National Laboratory, UT, CS-91-133,
C May 1991.
C
C NUMERICAL ASPECTS
C
C The algorithm is backward stable.
C
C CONTRIBUTOR
C
C V. Sima, Katholieke Univ. Leuven, Belgium, Feb. 1998.
C Complex version: V. Sima, Research Institute for Informatics,
C Bucharest, Nov. 2008.
C
C REVISIONS
C
C -
C
C KEYWORDS
C
C Eigenvalue problem, matrix operations, unitary transformation,
C singular values.
C
C ******************************************************************
C
C .. Parameters ..
INTEGER IMAX, IMIN
PARAMETER ( IMAX = 1, IMIN = 2 )
DOUBLE PRECISION ZERO, ONE, P05
PARAMETER ( ZERO = 0.0D+0, ONE = 1.0D+0, P05 = 0.05D+0 )
COMPLEX*16 CZERO, CONE
PARAMETER ( CZERO = ( 0.0D+0, 0.0D+0 ),
$ CONE = ( 1.0D+0, 0.0D+0 ) )
C .. Scalar Arguments ..
INTEGER INFO, LDA, M, N, RANK
DOUBLE PRECISION RCOND, SVLMAX
C .. Array Arguments ..
INTEGER JPVT( * )
COMPLEX*16 A( LDA, * ), TAU( * ), ZWORK( * )
DOUBLE PRECISION DWORK( * ), SVAL( 3 )
C ..
C .. Local Scalars ..
INTEGER I, ISMAX, ISMIN, ITEMP, J, MN, PVT
COMPLEX*16 AII, C1, C2, S1, S2
DOUBLE PRECISION SMAX, SMAXPR, SMIN, SMINPR, TEMP, TEMP2
C ..
C .. External Functions ..
INTEGER IDAMAX
DOUBLE PRECISION DZNRM2
EXTERNAL DZNRM2, IDAMAX
C .. External Subroutines ..
EXTERNAL XERBLA, ZLAIC1, ZLARF, ZLARFG, ZSCAL, ZSWAP
C .. Intrinsic Functions ..
INTRINSIC ABS, DCONJG, MAX, MIN, SQRT
C ..
C .. Executable Statements ..
C
C Test the input scalar arguments.
C
INFO = 0
IF( M.LT.0 ) THEN
INFO = -1
ELSE IF( N.LT.0 ) THEN
INFO = -2
ELSE IF( LDA.LT.MAX( 1, M ) ) THEN
INFO = -4
ELSE IF( RCOND.LT.ZERO .OR. RCOND.GT.ONE ) THEN
INFO = -5
ELSE IF( SVLMAX.LT.ZERO ) THEN
INFO = -6
END IF
C
IF( INFO.NE.0 ) THEN
CALL XERBLA( 'MB3OYZ', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
MN = MIN( M, N )
IF( MN.EQ.0 ) THEN
RANK = 0
SVAL( 1 ) = ZERO
SVAL( 2 ) = ZERO
SVAL( 3 ) = ZERO
RETURN
END IF
C
ISMIN = 1
ISMAX = ISMIN + N
C
C Initialize partial column norms and pivoting vector. The first n
C elements of DWORK store the exact column norms.
C
DO 10 I = 1, N
DWORK( I ) = DZNRM2( M, A( 1, I ), 1 )
DWORK( N+I ) = DWORK( I )
JPVT( I ) = I
10 CONTINUE
C
C Compute factorization and determine RANK using incremental
C condition estimation.
C
RANK = 0
C
20 CONTINUE
IF( RANK.LT.MN ) THEN
I = RANK + 1
C
C Determine ith pivot column and swap if necessary.
C
PVT = ( I-1 ) + IDAMAX( N-I+1, DWORK( I ), 1 )
C
IF( PVT.NE.I ) THEN
CALL ZSWAP( M, A( 1, PVT ), 1, A( 1, I ), 1 )
ITEMP = JPVT( PVT )
JPVT( PVT ) = JPVT( I )
JPVT( I ) = ITEMP
DWORK( PVT ) = DWORK( I )
DWORK( N+PVT ) = DWORK( N+I )
END IF
C
C Save A(I,I) and generate elementary reflector H(i)
C such that H(i)'*[A(i,i);*] = [*;0].
C
IF( I.LT.M ) THEN
AII = A( I, I )
CALL ZLARFG( M-I+1, A( I, I ), A( I+1, I ), 1, TAU( I ) )
ELSE
TAU( M ) = CZERO
END IF
C
IF( RANK.EQ.0 ) THEN
C
C Initialize; exit if matrix is zero (RANK = 0).
C
SMAX = ABS( A( 1, 1 ) )
IF ( SMAX.EQ.ZERO ) THEN
SVAL( 1 ) = ZERO
SVAL( 2 ) = ZERO
SVAL( 3 ) = ZERO
RETURN
END IF
SMIN = SMAX
SMAXPR = SMAX
SMINPR = SMIN
C1 = CONE
C2 = CONE
ELSE
C
C One step of incremental condition estimation.
C
CALL ZLAIC1( IMIN, RANK, ZWORK( ISMIN ), SMIN, A( 1, I ),
$ A( I, I ), SMINPR, S1, C1 )
CALL ZLAIC1( IMAX, RANK, ZWORK( ISMAX ), SMAX, A( 1, I ),
$ A( I, I ), SMAXPR, S2, C2 )
END IF
C
IF( SVLMAX*RCOND.LE.SMAXPR ) THEN
IF( SVLMAX*RCOND.LE.SMINPR ) THEN
IF( SMAXPR*RCOND.LE.SMINPR ) THEN
C
C Continue factorization, as rank is at least RANK.
C
IF( I.LT.N ) THEN
C
C Apply H(i)' to A(i:m,i+1:n) from the left.
C
AII = A( I, I )
A( I, I ) = CONE
CALL ZLARF( 'Left', M-I+1, N-I, A( I, I ), 1,
$ DCONJG( TAU( I ) ), A( I, I+1 ), LDA,
$ ZWORK( 2*N+1 ) )
A( I, I ) = AII
END IF
C
C Update partial column norms.
C
DO 30 J = I + 1, N
IF( DWORK( J ).NE.ZERO ) THEN
TEMP = ONE -
$ ( ABS( A( I, J ) ) / DWORK( J ) )**2
TEMP = MAX( TEMP, ZERO )
TEMP2 = ONE + P05*TEMP*
$ ( DWORK( J ) / DWORK( N+J ) )**2
IF( TEMP2.EQ.ONE ) THEN
IF( M-I.GT.0 ) THEN
DWORK( J ) = DZNRM2( M-I, A( I+1, J ), 1 )
DWORK( N+J ) = DWORK( J )
ELSE
DWORK( J ) = ZERO
DWORK( N+J ) = ZERO
END IF
ELSE
DWORK( J ) = DWORK( J )*SQRT( TEMP )
END IF
END IF
30 CONTINUE
C
DO 40 I = 1, RANK
ZWORK( ISMIN+I-1 ) = S1*ZWORK( ISMIN+I-1 )
ZWORK( ISMAX+I-1 ) = S2*ZWORK( ISMAX+I-1 )
40 CONTINUE
C
ZWORK( ISMIN+RANK ) = C1
ZWORK( ISMAX+RANK ) = C2
SMIN = SMINPR
SMAX = SMAXPR
RANK = RANK + 1
GO TO 20
END IF
END IF
END IF
END IF
C
C Restore the changed part of the (RANK+1)-th column and set SVAL.
C
IF ( RANK.LT.N ) THEN
IF ( I.LT.M ) THEN
CALL ZSCAL( M-I, -A( I, I )*TAU( I ), A( I+1, I ), 1 )
A( I, I ) = AII
END IF
END IF
IF ( RANK.EQ.0 ) THEN
SMIN = ZERO
SMINPR = ZERO
END IF
SVAL( 1 ) = SMAX
SVAL( 2 ) = SMIN
SVAL( 3 ) = SMINPR
C
RETURN
C *** Last line of MB3OYZ ***
END
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