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SUBROUTINE SB08ND( ACONA, DA, A, RES, E, 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 a real polynomial E(z) such that
C
C (a) E(1/z) * E(z) = A(1/z) * A(z) and
C (b) E(z) is stable - that is, E(z) has no zeros with modulus
C greater than 1,
C
C which corresponds to computing the spectral factorization of the
C real polynomial A(z) arising from discrete optimality problems.
C
C The input polynomial may be supplied either in the form
C
C A(z) = a(0) + a(1) * z + ... + a(DA) * z**DA
C
C or as
C
C B(z) = A(1/z) * A(z)
C = b(0) + b(1) * (z + 1/z) + ... + b(DA) * (z**DA + 1/z**DA)
C (1)
C
C ARGUMENTS
C
C Mode Parameters
C
C ACONA CHARACTER*1
C Indicates whether the coefficients of A(z) or B(z) =
C A(1/z) * A(z) are to be supplied as follows:
C = 'A': The coefficients of A(z) are to be supplied;
C = 'B': The coefficients of B(z) are to be supplied.
C
C Input/Output Parameters
C
C DA (input) INTEGER
C The degree of the polynomials A(z) and E(z). DA >= 0.
C
C A (input/output) DOUBLE PRECISION array, dimension (DA+1)
C On entry, if ACONA = 'A', this array must contain the
C coefficients of the polynomial A(z) in increasing powers
C of z, and if ACONA = 'B', this array must contain the
C coefficients b ,b ,...,b of the polynomial B(z) in
C 0 1 DA
C equation (1). That is, A(i) = b for i = 1,2,...,DA+1.
C i-1
C On exit, this array contains the coefficients of the
C polynomial B(z) in eqation (1). Specifically, A(i)
C contains b , for i = 1,2,...DA+1.
C i-1
C
C RES (output) DOUBLE PRECISION
C An estimate of the accuracy with which the coefficients of
C the polynomial E(z) have been computed (see also METHOD
C and NUMERICAL ASPECTS).
C
C E (output) DOUBLE PRECISION array, dimension (DA+1)
C The coefficients of the spectral factor E(z) in increasing
C powers of z.
C
C Workspace
C
C DWORK DOUBLE PRECISION array, dimension (LDWORK)
C
C LDWORK INTEGER
C The length of the array DWORK. LDWORK >= 5*DA+5.
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 = 2: if on entry, ACONA = 'B' but the supplied
C coefficients of the polynomial B(z) are not the
C coefficients of A(1/z) * A(z) for some real A(z);
C in this case, RES and E are unassigned;
C = 3: if the iterative process (see METHOD) has failed to
C converge in 30 iterations;
C = 4: if the last computed iterate (see METHOD) is
C unstable. If ACONA = 'B', then the supplied
C coefficients of the polynomial B(z) may not be the
C coefficients of A(1/z) * A(z) for some real A(z).
C
C METHOD
C _ _
C Let A(z) be the conjugate polynomial of A(z), i.e., A(z) = A(1/z).
C
C The method used by the routine is based on applying the
C Newton-Raphson iteration to the function
C _ _
C F(e) = A * A - e * e,
C
C which leads to the iteration formulae (see [1] and [2])
C
C _(i) (i) _(i) (i) _ )
C q * x + x * q = 2 A * A )
C ) for i = 0, 1, 2,...
C (i+1) (i) (i) )
C q = (q + x )/2 )
C
C The iteration starts from
C
C (0) DA
C q (z) = (b(0) + b(1) * z + ... + b(DA) * z ) / SQRT( b(0))
C
C which is a Hurwitz polynomial that has no zeros in the closed unit
C (i)
C circle (see [2], Theorem 3). Then lim q = e, the convergence is
C uniform and e is a Hurwitz polynomial.
C
C The iterates satisfy the following conditions:
C (i)
C (a) q has no zeros in the closed unit circle,
C (i) (i-1)
C (b) q <= q and
C 0 0
C DA (i) 2 DA 2
C (c) SUM (q ) - SUM (A ) >= 0.
C k=0 k k=0 k
C (i)
C The iterative process stops if q violates (a), (b) or (c),
C or if the condition
C _(i) (i) _
C (d) RES = ||(q q - A A)|| < tol,
C
C is satisfied, where || . || denotes the largest coefficient of
C _(i) (i) _
C the polynomial (q q - A A) and tol is an estimate of the
C _(i) (i)
C rounding error in the computed coefficients of q q . If
C (i-1)
C condition (a) or (b) is violated then q is taken otherwise
C (i)
C q is used. Thus the computed reciprocal polynomial E(z) = z**DA
C * q(1/z) is stable. If there is no convergence after 30 iterations
C then the routine returns with the Error Indicator (INFO) set to 3,
C and the value of RES may indicate whether or not the last computed
C iterate is close to the solution.
C (0)
C If ACONA = 'B', then it is possible that q is not a Hurwitz
C polynomial, in which case the equation e(1/z) * e(z) = B(z) has no
C real solution (see [2], Theorem 3).
C
C REFERENCES
C
C [1] Kucera, V.
C Discrete Linear Control, The polynomial Approach.
C John Wiley & Sons, Chichester, 1979.
C
C [2] Vostry, Z.
C New Algorithm for Polynomial Spectral Factorization with
C Quadratic Convergence I.
C Kybernetika, 11, pp. 415-422, 1975.
C
C NUMERICAL ASPECTS
C
C None.
C
C CONTRIBUTORS
C
C Release 3.0: V. Sima, Katholieke Univ. Leuven, Belgium, Aug. 1997.
C Supersedes Release 2.0 routine SB08BD by F. Delebecque and
C A.J. Geurts.
C
C REVISIONS
C
C -
C
C KEYWORDS
C
C Factorization, Laplace transform, optimal control, optimal
C filtering, polynomial operations, spectral factorization, zeros.
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, HALF, ONE, TWO
PARAMETER ( ZERO = 0.0D0, HALF = 0.5D0, ONE = 1.0D0,
$ TWO = 2.0D0 )
C .. Scalar Arguments ..
CHARACTER ACONA
INTEGER DA, INFO, LDWORK
DOUBLE PRECISION RES
C .. Array Arguments ..
DOUBLE PRECISION A(*), DWORK(*), E(*)
C .. Local Scalars ..
LOGICAL CONV, HURWTZ, LACONA
INTEGER I, J, K, LALPHA, LAMBDA, LETA, LQ, LRO, NC, NCK
DOUBLE PRECISION A0, RES0, S, SA0, TOLQ, W
C .. External Functions ..
LOGICAL LSAME
INTEGER IDAMAX
EXTERNAL IDAMAX, LSAME
C .. External Subroutines ..
EXTERNAL DAXPY, DCOPY, DSCAL, DSWAP, SB08NY, XERBLA
C .. Intrinsic Functions ..
INTRINSIC ABS, SQRT
C .. Executable Statements ..
C
INFO = 0
LACONA = LSAME( ACONA, 'A' )
C
C Test the input scalar arguments.
C
IF( .NOT.LACONA .AND. .NOT.LSAME( ACONA, 'B' ) ) THEN
INFO = -1
ELSE IF( DA.LT.0 ) THEN
INFO = -2
ELSE IF( LDWORK.LT.5*DA + 5 ) THEN
INFO = -7
END IF
C
IF ( INFO.NE.0 ) THEN
C
C Error return.
C
CALL XERBLA( 'SB08ND', -INFO )
RETURN
END IF
C
NC = DA + 1
IF ( .NOT.LACONA ) THEN
IF ( A(1).LE.ZERO ) THEN
INFO = 2
RETURN
END IF
CALL DCOPY( NC, A, 1, E, 1 )
ELSE
CALL SB08NY( DA, A, E, W )
END IF
C
C Initialization.
C
LALPHA = 1
LRO = LALPHA + NC
LETA = LRO + NC
LAMBDA = LETA + NC
LQ = LAMBDA + NC
C
A0 = E(1)
SA0 = SQRT( A0 )
S = ZERO
C
DO 20 J = 1, NC
W = E(J)
A(J) = W
W = W/SA0
E(J) = W
DWORK(LQ-1+J) = W
S = S + W**2
20 CONTINUE
C
RES0 = S - A0
C
C The contents of the arrays is, cf [1], Section 7.6,
C
C E : the last computed Hurwitz polynomial q ;
C i-1
C DWORK(LALPHA,..,LALPHA+DA-K) : alpha(k,0),...alpha(k,n-k);
C (LRO,...,LRO+DA-K) : alpha(k,n-k),...,alpha(k);
C (LETA,...,LETA+DA) : eta(0),...,eta(n);
C (LAMBDA,...,LAMBDA+DA-1) : lambda(0),...,lambda(n-1)
C
C DWORK(LQ,...,LQ+DA) : the last computed polynomial q .
C i
I = 0
CONV = .FALSE.
HURWTZ = .TRUE.
C
C WHILE ( I < 30 and CONV = FALSE and HURWTZ = TRUE ) DO
40 IF ( I.LT.30 .AND. .NOT.CONV .AND. HURWTZ ) THEN
I = I + 1
CALL DCOPY( NC, A, 1, DWORK(LETA), 1 )
CALL DSCAL( NC, TWO, DWORK(LETA), 1 )
CALL DCOPY( NC, DWORK(LQ), 1, DWORK(LALPHA), 1 )
C
C Computation of lambda(k) and eta(k).
C
K = 1
C
C WHILE ( K <= DA and HURWTZ = TRUE ) DO
60 IF ( ( K.LE.DA ) .AND. HURWTZ ) THEN
NCK = NC - K
CALL DCOPY( NCK+1, DWORK(LALPHA), -1, DWORK(LRO), 1 )
W = DWORK(LALPHA+NCK)/DWORK(LRO+NCK)
IF ( ABS( W ).GE.ONE ) HURWTZ = .FALSE.
IF ( HURWTZ ) THEN
DWORK(LAMBDA+K-1) = W
CALL DAXPY( NCK, -W, DWORK(LRO), 1, DWORK(LALPHA), 1 )
W = DWORK(LETA+NCK)/DWORK(LALPHA)
DWORK(LETA+NCK) = W
CALL DAXPY( NCK-1, -W, DWORK(LALPHA+1), -1,
$ DWORK(LETA+1), 1 )
K = K + 1
END IF
GO TO 60
END IF
C END WHILE 60
C
C HURWTZ = The polynomial q is a Hurwitz polynomial.
C i-1
IF ( HURWTZ ) THEN
CALL DCOPY( NC, DWORK(LQ), 1, E, 1 )
C
C Accuracy test.
C
CALL SB08NY( DA, E, DWORK(LQ), TOLQ )
CALL DAXPY( NC, -ONE, A, 1, DWORK(LQ), 1 )
RES = ABS( DWORK( IDAMAX( NC, DWORK(LQ), 1 ) + LQ - 1 ) )
CONV = ( RES.LT.TOLQ ) .OR. ( RES0.LT.ZERO )
C
IF ( .NOT.CONV ) THEN
DWORK(LETA) = HALF*DWORK(LETA)/DWORK(LALPHA)
C
C Computation of x and q .
C i i
C DWORK(LETA,...,LETA+DA) : eta(k,0),...,eta(k,n)
C (LRO,...,LRO+DA-K+1) : eta(k,n-k+1),...,eta(k,0)
C
DO 80 K = DA, 1, -1
NCK = NC - K + 1
CALL DCOPY( NCK, DWORK(LETA), -1, DWORK(LRO), 1 )
W = DWORK(LAMBDA+K-1)
CALL DAXPY( NCK, -W, DWORK(LRO), 1, DWORK(LETA), 1 )
80 CONTINUE
C
S = ZERO
C
DO 100 J = 0, DA
W = HALF*( DWORK(LETA+J) + E(J+1) )
DWORK(LQ+J) = W
S = S + W**2
100 CONTINUE
C
RES0 = S - A0
C
C Test on the monotonicity of q .
C 0
CONV = DWORK(LQ).GT.E(1)
GO TO 40
END IF
END IF
END IF
C END WHILE 40
C
C Reverse the order of the coefficients in the array E.
C
CALL DSWAP( NC, E, 1, DWORK, -1 )
CALL DSWAP( NC, DWORK, 1, E, 1 )
C
IF ( .NOT.CONV ) THEN
IF ( HURWTZ ) THEN
INFO = 3
ELSE IF ( I.EQ.1 ) THEN
INFO = 2
ELSE
INFO = 4
END IF
END IF
C
RETURN
C *** Last line of SB08ND ***
END
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