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SUBROUTINE MD03BY( COND, N, R, LDR, IPVT, DIAG, QTB, DELTA, PAR,
$ RANK, X, RX, TOL, 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 determine a value for the parameter PAR such that if x solves
C the system
C
C A*x = b , sqrt(PAR)*D*x = 0 ,
C
C in the least squares sense, where A is an m-by-n matrix, D is an
C n-by-n nonsingular diagonal matrix, and b is an m-vector, and if
C DELTA is a positive number, DXNORM is the Euclidean norm of D*x,
C then either PAR is zero and
C
C ( DXNORM - DELTA ) .LE. 0.1*DELTA ,
C
C or PAR is positive and
C
C ABS( DXNORM - DELTA ) .LE. 0.1*DELTA .
C
C It is assumed that a QR factorization, with column pivoting, of A
C is available, that is, A*P = Q*R, where P is a permutation matrix,
C Q has orthogonal columns, and R is an upper triangular matrix
C with diagonal elements of nonincreasing magnitude.
C The routine needs the full upper triangle of R, the permutation
C matrix P, and the first n components of Q'*b (' denotes the
C transpose). On output, MD03BY also provides an upper triangular
C matrix S such that
C
C P'*(A'*A + PAR*D*D)*P = S'*S .
C
C Matrix S is used in the solution process.
C
C ARGUMENTS
C
C Mode Parameters
C
C COND CHARACTER*1
C Specifies whether the condition of the matrices R and S
C should be estimated, as follows:
C = 'E' : use incremental condition estimation for R and S;
C = 'N' : do not use condition estimation, but check the
C diagonal entries of R and S for zero values;
C = 'U' : use the rank already stored in RANK (for R).
C
C Input/Output Parameters
C
C N (input) INTEGER
C The order of the matrix R. N >= 0.
C
C R (input/output) DOUBLE PRECISION array, dimension (LDR, N)
C On entry, the leading N-by-N upper triangular part of this
C array must contain the upper triangular matrix R.
C On exit, the full upper triangle is unaltered, and the
C strict lower triangle contains the strict upper triangle
C (transposed) of the upper triangular matrix S.
C
C LDR INTEGER
C The leading dimension of array R. LDR >= MAX(1,N).
C
C IPVT (input) INTEGER array, dimension (N)
C This array must define the permutation matrix P such that
C A*P = Q*R. Column j of P is column IPVT(j) of the identity
C matrix.
C
C DIAG (input) DOUBLE PRECISION array, dimension (N)
C This array must contain the diagonal elements of the
C matrix D. DIAG(I) <> 0, I = 1,...,N.
C
C QTB (input) DOUBLE PRECISION array, dimension (N)
C This array must contain the first n elements of the
C vector Q'*b.
C
C DELTA (input) DOUBLE PRECISION
C An upper bound on the Euclidean norm of D*x. DELTA > 0.
C
C PAR (input/output) DOUBLE PRECISION
C On entry, PAR must contain an initial estimate of the
C Levenberg-Marquardt parameter. PAR >= 0.
C On exit, it contains the final estimate of this parameter.
C
C RANK (input or output) INTEGER
C On entry, if COND = 'U', this parameter must contain the
C (numerical) rank of the matrix R.
C On exit, this parameter contains the numerical rank of
C the matrix S.
C
C X (output) DOUBLE PRECISION array, dimension (N)
C This array contains the least squares solution of the
C system A*x = b, sqrt(PAR)*D*x = 0.
C
C RX (output) DOUBLE PRECISION array, dimension (N)
C This array contains the matrix-vector product -R*P'*x.
C
C Tolerances
C
C TOL DOUBLE PRECISION
C If COND = 'E', the tolerance to be used for finding the
C rank of the matrices R and S. If the user sets TOL > 0,
C then the given value of TOL is used as a lower bound for
C the reciprocal condition number; a (sub)matrix whose
C estimated condition number is less than 1/TOL is
C considered to be of full rank. If the user sets TOL <= 0,
C then an implicitly computed, default tolerance, defined by
C TOLDEF = N*EPS, is used instead, where EPS is the machine
C precision (see LAPACK Library routine DLAMCH).
C This parameter is not relevant if COND = 'U' or 'N'.
C
C Workspace
C
C DWORK DOUBLE PRECISION array, dimension (LDWORK)
C On exit, the first N elements of this array contain the
C diagonal elements of the upper triangular matrix S.
C
C LDWORK INTEGER
C The length of the array DWORK.
C LDWORK >= 4*N, if COND = 'E';
C LDWORK >= 2*N, if COND <> 'E'.
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 algorithm computes the Gauss-Newton direction. A least squares
C solution is found if the Jacobian is rank deficient. If the Gauss-
C Newton direction is not acceptable, then an iterative algorithm
C obtains improved lower and upper bounds for the parameter PAR.
C Only a few iterations are generally needed for convergence of the
C algorithm. If, however, the limit of ITMAX = 10 iterations is
C reached, then the output PAR will contain the best value obtained
C so far. If the Gauss-Newton step is acceptable, it is stored in x,
C and PAR is set to zero, hence S = R.
C
C REFERENCES
C
C [1] More, J.J., Garbow, B.S, and Hillstrom, K.E.
C User's Guide for MINPACK-1.
C Applied Math. Division, Argonne National Laboratory, Argonne,
C Illinois, Report ANL-80-74, 1980.
C
C NUMERICAL ASPECTS
C 2
C The algorithm requires 0(N ) operations and is backward stable.
C
C FURTHER COMMENTS
C
C This routine is a LAPACK-based modification of LMPAR from the
C MINPACK package [1], and with optional condition estimation.
C The option COND = 'U' is useful when dealing with several
C right-hand side vectors, but RANK should be reset.
C If COND = 'E', but the matrix S is guaranteed to be nonsingular
C and well conditioned relative to TOL, i.e., rank(R) = N, and
C min(DIAG) > 0, then its condition is not estimated.
C
C CONTRIBUTORS
C
C V. Sima, Research Institute for Informatics, Bucharest, Dec. 2001.
C
C REVISIONS
C
C V. Sima, Research Institute for Informatics, Bucharest, Mar. 2005.
C
C KEYWORDS
C
C Linear system of equations, matrix operations, plane rotations.
C
C ******************************************************************
C
C .. Parameters ..
INTEGER ITMAX
PARAMETER ( ITMAX = 10 )
DOUBLE PRECISION P1, P001, ZERO, SVLMAX
PARAMETER ( P1 = 1.0D-1, P001 = 1.0D-3, ZERO = 0.0D0,
$ SVLMAX = 0.0D0 )
C .. Scalar Arguments ..
CHARACTER COND
INTEGER INFO, LDR, LDWORK, N, RANK
DOUBLE PRECISION DELTA, PAR, TOL
C .. Array Arguments ..
INTEGER IPVT(*)
DOUBLE PRECISION DIAG(*), DWORK(*), QTB(*), R(LDR,*), RX(*), X(*)
C .. Local Scalars ..
INTEGER ITER, J, L, N2
DOUBLE PRECISION DMINO, DWARF, DXNORM, FP, GNORM, PARC, PARL,
$ PARU, TEMP, TOLDEF
LOGICAL ECOND, NCOND, SING, UCOND
CHARACTER CONDL
C .. Local Arrays ..
DOUBLE PRECISION DUM(3)
C .. External Functions ..
DOUBLE PRECISION DDOT, DLAMCH, DNRM2
LOGICAL LSAME
EXTERNAL DDOT, DLAMCH, DNRM2, LSAME
C .. External Subroutines ..
EXTERNAL DAXPY, DCOPY, DSWAP, DTRMV, DTRSV, MB02YD,
$ MB03OD, XERBLA
C .. Intrinsic Functions ..
INTRINSIC ABS, DBLE, MAX, MIN, SQRT
C ..
C .. Executable Statements ..
C
C Check the scalar input parameters.
C
ECOND = LSAME( COND, 'E' )
NCOND = LSAME( COND, 'N' )
UCOND = LSAME( COND, 'U' )
INFO = 0
IF( .NOT.( ECOND .OR. NCOND .OR. UCOND ) ) THEN
INFO = -1
ELSEIF( N.LT.0 ) THEN
INFO = -2
ELSEIF ( LDR.LT.MAX( 1, N ) ) THEN
INFO = -4
ELSEIF ( DELTA.LE.ZERO ) THEN
INFO = -8
ELSEIF( PAR.LT.ZERO ) THEN
INFO = -9
ELSEIF ( UCOND .AND. ( RANK.LT.0 .OR. RANK.GT.N ) ) THEN
INFO = -10
ELSEIF ( LDWORK.LT.2*N .OR. ( ECOND .AND. LDWORK.LT.4*N ) ) THEN
INFO = -15
ELSEIF ( N.GT.0 ) THEN
DMINO = DIAG(1)
SING = .FALSE.
C
DO 10 J = 1, N
IF ( DIAG(J).LT.DMINO )
$ DMINO = DIAG(J)
SING = SING .OR. DIAG(J).EQ.ZERO
10 CONTINUE
C
IF ( SING )
$ INFO = -6
END IF
C
C Return if there are illegal arguments.
C
IF( INFO.NE.0 ) THEN
CALL XERBLA( 'MD03BY', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
IF ( N.EQ.0 ) THEN
PAR = ZERO
RANK = 0
RETURN
END IF
C
C DWARF is the smallest positive magnitude.
C
DWARF = DLAMCH( 'Underflow' )
N2 = N
C
C Estimate the rank of R, if required.
C
IF ( ECOND ) THEN
N2 = 2*N
TEMP = TOL
IF ( TEMP.LE.ZERO ) THEN
C
C Use the default tolerance in rank determination.
C
TEMP = DBLE( N )*DLAMCH( 'Epsilon' )
END IF
C
C Estimate the reciprocal condition number of R and set the rank.
C Workspace: 2*N.
C
CALL MB03OD( 'No QR', N, N, R, LDR, IPVT, TEMP, SVLMAX, DWORK,
$ RANK, DUM, DWORK, LDWORK, INFO )
C
ELSEIF ( NCOND ) THEN
J = 1
C
20 CONTINUE
IF ( R(J,J).NE.ZERO ) THEN
J = J + 1
IF ( J.LE.N )
$ GO TO 20
END IF
C
RANK = J - 1
END IF
C
C Compute and store in x the Gauss-Newton direction. If the
C Jacobian is rank-deficient, obtain a least squares solution.
C The array RX is used as workspace.
C
CALL DCOPY( RANK, QTB, 1, RX, 1 )
DUM(1) = ZERO
IF ( RANK.LT.N )
$ CALL DCOPY( N-RANK, DUM, 0, RX(RANK+1), 1 )
CALL DTRSV( 'Upper', 'No transpose', 'Non unit', RANK, R, LDR,
$ RX, 1 )
C
DO 30 J = 1, N
L = IPVT(J)
X(L) = RX(J)
30 CONTINUE
C
C Initialize the iteration counter.
C Evaluate the function at the origin, and test
C for acceptance of the Gauss-Newton direction.
C
ITER = 0
C
DO 40 J = 1, N
DWORK(J) = DIAG(J)*X(J)
40 CONTINUE
C
DXNORM = DNRM2( N, DWORK, 1 )
FP = DXNORM - DELTA
IF ( FP.GT.P1*DELTA ) THEN
C
C Set an appropriate option for estimating the condition of
C the matrix S.
C
IF ( UCOND ) THEN
IF ( LDWORK.GE.4*N ) THEN
CONDL = 'E'
TOLDEF = DBLE( N )*DLAMCH( 'Epsilon' )
ELSE
CONDL = 'N'
TOLDEF = TOL
END IF
ELSE
CONDL = COND
TOLDEF = TOL
END IF
C
C If the Jacobian is not rank deficient, the Newton
C step provides a lower bound, PARL, for the zero of
C the function. Otherwise set this bound to zero.
C
IF ( RANK.EQ.N ) THEN
C
DO 50 J = 1, N
L = IPVT(J)
RX(J) = DIAG(L)*( DWORK(L)/DXNORM )
50 CONTINUE
C
CALL DTRSV( 'Upper', 'Transpose', 'Non unit', N, R, LDR,
$ RX, 1 )
TEMP = DNRM2( N, RX, 1 )
PARL = ( ( FP/DELTA )/TEMP )/TEMP
C
C For efficiency, use CONDL = 'U', if possible.
C
IF ( .NOT.LSAME( CONDL, 'U' ) .AND. DMINO.GT.ZERO )
$ CONDL = 'U'
ELSE
PARL = ZERO
END IF
C
C Calculate an upper bound, PARU, for the zero of the function.
C
DO 60 J = 1, N
L = IPVT(J)
RX(J) = DDOT( J, R(1,J), 1, QTB, 1 )/DIAG(L)
60 CONTINUE
C
GNORM = DNRM2( N, RX, 1 )
PARU = GNORM/DELTA
IF ( PARU.EQ.ZERO )
$ PARU = DWARF/MIN( DELTA, P1 )/P001
C
C If the input PAR lies outside of the interval (PARL,PARU),
C set PAR to the closer endpoint.
C
PAR = MAX( PAR, PARL )
PAR = MIN( PAR, PARU )
IF ( PAR.EQ.ZERO )
$ PAR = GNORM/DXNORM
C
C Beginning of an iteration.
C
70 CONTINUE
ITER = ITER + 1
C
C Evaluate the function at the current value of PAR.
C
IF ( PAR.EQ.ZERO )
$ PAR = MAX( DWARF, P001*PARU )
TEMP = SQRT( PAR )
C
DO 80 J = 1, N
RX(J) = TEMP*DIAG(J)
80 CONTINUE
C
C Solve the system A*x = b , sqrt(PAR)*D*x = 0 , in a least
C square sense. The first N elements of DWORK contain the
C diagonal elements of the upper triangular matrix S, and
C the next N elements contain the vector z, so that x = P*z.
C The vector z is preserved if COND = 'E'.
C Workspace: 4*N, if CONDL = 'E';
C 2*N, if CONDL <> 'E'.
C
CALL MB02YD( CONDL, N, R, LDR, IPVT, RX, QTB, RANK, X,
$ TOLDEF, DWORK, LDWORK, INFO )
C
DO 90 J = 1, N
DWORK(N2+J) = DIAG(J)*X(J)
90 CONTINUE
C
DXNORM = DNRM2( N, DWORK(N2+1), 1 )
TEMP = FP
FP = DXNORM - DELTA
C
C If the function is small enough, accept the current value
C of PAR. Also test for the exceptional cases where PARL
C is zero or the number of iterations has reached ITMAX.
C
IF ( ABS( FP ).GT.P1*DELTA .AND.
$ ( PARL.NE.ZERO .OR. FP.GT.TEMP .OR. TEMP.GE.ZERO ) .AND.
$ ITER.LT.ITMAX ) THEN
C
C Compute the Newton correction.
C
DO 100 J = 1, RANK
L = IPVT(J)
RX(J) = DIAG(L)*( DWORK(N2+L)/DXNORM )
100 CONTINUE
C
IF ( RANK.LT.N )
$ CALL DCOPY( N-RANK, DUM, 0, RX(RANK+1), 1 )
CALL DSWAP( N, R, LDR+1, DWORK, 1 )
CALL DTRSV( 'Lower', 'No transpose', 'Non Unit', RANK,
$ R, LDR, RX, 1 )
CALL DSWAP( N, R, LDR+1, DWORK, 1 )
TEMP = DNRM2( RANK, RX, 1 )
PARC = ( ( FP/DELTA )/TEMP )/TEMP
C
C Depending on the sign of the function, update PARL
C or PARU.
C
IF ( FP.GT.ZERO ) THEN
PARL = MAX( PARL, PAR )
ELSE IF ( FP.LT.ZERO ) THEN
PARU = MIN( PARU, PAR )
END IF
C
C Compute an improved estimate for PAR.
C
PAR = MAX( PARL, PAR + PARC )
C
C End of an iteration.
C
GO TO 70
END IF
END IF
C
C Compute -R*P'*x = -R*z.
C
IF ( ECOND .AND. ITER.GT.0 ) THEN
C
DO 110 J = 1, N
RX(J) = -DWORK(N+J)
110 CONTINUE
C
CALL DTRMV( 'Upper', 'NoTranspose', 'NonUnit', N, R, LDR,
$ RX, 1 )
ELSE
C
DO 120 J = 1, N
RX(J) = ZERO
L = IPVT(J)
CALL DAXPY( J, -X(L), R(1,J), 1, RX, 1 )
120 CONTINUE
C
END IF
C
C Termination. If PAR = 0, set S.
C
IF ( ITER.EQ.0 ) THEN
PAR = ZERO
C
DO 130 J = 1, N - 1
DWORK(J) = R(J,J)
CALL DCOPY( N-J, R(J,J+1), LDR, R(J+1,J), 1 )
130 CONTINUE
C
DWORK(N) = R(N,N)
END IF
C
RETURN
C
C *** Last line of MD03BY ***
END
|
