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SUBROUTINE SG03BW( TRANS, M, N, A, LDA, C, LDC, E, LDE, D, LDD, X,
$ LDX, SCALE, 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 solve for X the generalized Sylvester equation
C
C T T
C A * X * C + E * X * D = SCALE * Y, (1)
C
C or the transposed equation
C
C T T
C A * X * C + E * X * D = SCALE * Y, (2)
C
C where A and E are real M-by-M matrices, C and D are real N-by-N
C matrices, X and Y are real M-by-N matrices. N is either 1 or 2.
C The pencil A - lambda * E must be in generalized real Schur form
C (A upper quasitriangular, E upper triangular). SCALE is an output
C scale factor, set to avoid overflow in X.
C
C ARGUMENTS
C
C Mode Parameters
C
C TRANS CHARACTER*1
C Specifies whether the transposed equation is to be solved
C or not:
C = 'N': Solve equation (1);
C = 'T': Solve equation (2).
C
C Input/Output Parameters
C
C M (input) INTEGER
C The order of the matrices A and E. M >= 0.
C
C N (input) INTEGER
C The order of the matrices C and D. N = 1 or N = 2.
C
C A (input) DOUBLE PRECISION array, dimension (LDA,M)
C The leading M-by-M part of this array must contain the
C upper quasitriangular matrix A. The elements below the
C upper Hessenberg part are not referenced.
C
C LDA INTEGER
C The leading dimension of the array A. LDA >= MAX(1,M).
C
C C (input) DOUBLE PRECISION array, dimension (LDC,N)
C The leading N-by-N part of this array must contain the
C matrix C.
C
C LDC INTEGER
C The leading dimension of the array C. LDC >= MAX(1,N).
C
C E (input) DOUBLE PRECISION array, dimension (LDE,M)
C The leading M-by-M part of this array must contain the
C upper triangular matrix E. The elements below the main
C diagonal are not referenced.
C
C LDE INTEGER
C The leading dimension of the array E. LDE >= MAX(1,M).
C
C D (input) DOUBLE PRECISION array, dimension (LDD,N)
C The leading N-by-N part of this array must contain the
C matrix D.
C
C LDD INTEGER
C The leading dimension of the array D. LDD >= MAX(1,N).
C
C X (input/output) DOUBLE PRECISION array, dimension (LDX,N)
C On entry, the leading M-by-N part of this array must
C contain the right hand side matrix Y.
C On exit, the leading M-by-N part of this array contains
C the solution matrix X.
C
C LDX INTEGER
C The leading dimension of the array X. LDX >= MAX(1,M).
C
C SCALE (output) DOUBLE PRECISION
C The scale factor set to avoid overflow in X.
C 0 < SCALE <= 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 = 1: the generalized Sylvester equation is (nearly)
C singular to working precision; perturbed values
C were used to solve the equation (but the matrices
C A, C, D, and E are unchanged).
C
C METHOD
C
C The method used by the routine is based on a generalization of the
C algorithm due to Bartels and Stewart [1]. See also [2] and [3] for
C details.
C
C REFERENCES
C
C [1] Bartels, R.H., Stewart, G.W.
C Solution of the equation A X + X B = C.
C Comm. A.C.M., 15, pp. 820-826, 1972.
C
C [2] Gardiner, J.D., Laub, A.J., Amato, J.J., Moler, C.B.
C Solution of the Sylvester Matrix Equation
C A X B**T + C X D**T = E.
C A.C.M. Trans. Math. Soft., vol. 18, no. 2, pp. 223-231, 1992.
C
C [3] Penzl, T.
C Numerical solution of generalized Lyapunov equations.
C Advances in Comp. Math., vol. 8, pp. 33-48, 1998.
C
C NUMERICAL ASPECTS
C
C The routine requires about 2 * N * M**2 flops. Note that we count
C a single floating point arithmetic operation as one flop.
C
C The algorithm is backward stable if the eigenvalues of the pencil
C A - lambda * E are real. Otherwise, linear systems of order at
C most 4 are involved into the computation. These systems are solved
C by Gauss elimination with complete pivoting. The loss of stability
C of the Gauss elimination with complete pivoting is rarely
C encountered in practice.
C
C FURTHER COMMENTS
C
C When near singularity is detected, perturbed values are used
C to solve the equation (but the given matrices are unchanged).
C
C CONTRIBUTOR
C
C T. Penzl, Technical University Chemnitz, Germany, Aug. 1998.
C
C REVISIONS
C
C Sep. 1998 (V. Sima).
C
C KEYWORDS
C
C Lyapunov equation
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION MONE, ONE, ZERO
PARAMETER ( MONE = -1.0D+0, ONE = 1.0D+0, ZERO = 0.0D+0 )
C .. Scalar Arguments ..
CHARACTER TRANS
DOUBLE PRECISION SCALE
INTEGER INFO, LDA, LDC, LDD, LDE, LDX, M, N
C .. Array Arguments ..
DOUBLE PRECISION A(LDA,*), C(LDC,*), D(LDD,*), E(LDE,*), X(LDX,*)
C .. Local Scalars ..
DOUBLE PRECISION SCALE1
INTEGER DIMMAT, I, INFO1, J, MA, MAI, MAJ, MB, ME
LOGICAL NOTRNS
C .. Local Arrays ..
DOUBLE PRECISION MAT(4,4), RHS(4), TM(2,2)
INTEGER PIV1(4), PIV2(4)
C .. External Functions ..
LOGICAL LSAME
EXTERNAL LSAME
C .. External Subroutines ..
EXTERNAL DGEMM, DSCAL, MB02UU, MB02UV, XERBLA
C .. Intrinsic Functions ..
INTRINSIC MAX
C
C Decode input parameters.
C
NOTRNS = LSAME( TRANS, 'N' )
C
C Check the scalar input parameters.
C
IF ( .NOT.( NOTRNS .OR. LSAME( TRANS, 'T' ) ) ) THEN
INFO = -1
ELSEIF ( M .LT. 0 ) THEN
INFO = -2
ELSEIF ( N .NE. 1 .AND. N .NE. 2 ) THEN
INFO = -3
ELSEIF ( LDA .LT. MAX( 1, M ) ) THEN
INFO = -5
ELSEIF ( LDC .LT. MAX( 1, N ) ) THEN
INFO = -7
ELSEIF ( LDE .LT. MAX( 1, M ) ) THEN
INFO = -9
ELSEIF ( LDD .LT. MAX( 1, N ) ) THEN
INFO = -11
ELSEIF ( LDX .LT. MAX( 1, M ) ) THEN
INFO = -13
ELSE
INFO = 0
END IF
IF ( INFO .NE. 0 ) THEN
CALL XERBLA( 'SG03BW', -INFO )
RETURN
END IF
C
SCALE = ONE
C
C Quick return if possible.
C
IF ( M .EQ. 0 )
$ RETURN
C
IF ( NOTRNS ) THEN
C
C Solve equation (1).
C
C Compute block row X(MA:ME,:). MB denotes the number of rows in
C this block row.
C
ME = 0
C WHILE ( ME .NE. M ) DO
20 IF ( ME .NE. M ) THEN
MA = ME + 1
IF ( MA .EQ. M ) THEN
ME = M
MB = 1
ELSE
IF ( A(MA+1,MA) .EQ. ZERO ) THEN
ME = MA
MB = 1
ELSE
ME = MA + 1
MB = 2
END IF
END IF
C
C Assemble Kronecker product system of linear equations with
C matrix
C
C MAT = kron(C',A(MA:ME,MA:ME)') + kron(D',E(MA:ME,MA:ME)')
C
C and right hand side
C
C RHS = vec(X(MA:ME,:)).
C
IF ( N .EQ. 1 ) THEN
DIMMAT = MB
DO 60 I = 1, MB
MAI = MA + I - 1
DO 40 J = 1, MB
MAJ = MA + J - 1
MAT(I,J) = C(1,1)*A(MAJ,MAI)
IF ( MAJ .LE. MAI )
$ MAT(I,J) = MAT(I,J) + D(1,1)*E(MAJ,MAI)
40 CONTINUE
RHS(I) = X(MAI,1)
60 CONTINUE
ELSE
DIMMAT = 2*MB
DO 100 I = 1, MB
MAI = MA + I - 1
DO 80 J = 1, MB
MAJ = MA + J - 1
MAT(I,J) = C(1,1)*A(MAJ,MAI)
MAT(MB+I,J) = C(1,2)*A(MAJ,MAI)
MAT(I,MB+J) = C(2,1)*A(MAJ,MAI)
MAT(MB+I,MB+J) = C(2,2)*A(MAJ,MAI)
IF ( MAJ .LE. MAI ) THEN
MAT(I,J) = MAT(I,J) + D(1,1)*E(MAJ,MAI)
MAT(MB+I,J) = MAT(MB+I,J) + D(1,2)*E(MAJ,MAI)
MAT(I,MB+J) = MAT(I,MB+J) + D(2,1)*E(MAJ,MAI)
MAT(MB+I,MB+J) = MAT(MB+I,MB+J) +
$ D(2,2)*E(MAJ,MAI)
END IF
80 CONTINUE
RHS(I) = X(MAI,1)
RHS(MB+I) = X(MAI,2)
100 CONTINUE
END IF
C
C Solve the system of linear equations.
C
CALL MB02UV( DIMMAT, MAT, 4, PIV1, PIV2, INFO1 )
IF ( INFO1 .NE. 0 )
$ INFO = 1
CALL MB02UU( DIMMAT, MAT, 4, RHS, PIV1, PIV2, SCALE1 )
IF ( SCALE1 .NE. ONE ) THEN
SCALE = SCALE1*SCALE
DO 120 I = 1, N
CALL DSCAL( M, SCALE1, X(1,I), 1 )
120 CONTINUE
END IF
C
IF ( N .EQ. 1 ) THEN
DO 140 I = 1, MB
MAI = MA + I - 1
X(MAI,1) = RHS(I)
140 CONTINUE
ELSE
DO 160 I = 1, MB
MAI = MA + I - 1
X(MAI,1) = RHS(I)
X(MAI,2) = RHS(MB+I)
160 CONTINUE
END IF
C
C Update right hand sides.
C
C X(ME+1:M,:) = X(ME+1:M,:) - A(MA:ME,ME+1:M)'*X(MA:ME,:)*C
C
C X(ME+1:M,:) = X(ME+1:M,:) - E(MA:ME,ME+1:M)'*X(MA:ME,:)*D
C
IF ( ME .LT. M ) THEN
CALL DGEMM( 'N', 'N', MB, N, N, ONE, X(MA,1), LDX, C,
$ LDC, ZERO, TM, 2 )
CALL DGEMM( 'T', 'N', M-ME, N, MB, MONE, A(MA,ME+1),
$ LDA, TM, 2, ONE, X(ME+1,1), LDX )
CALL DGEMM( 'N', 'N', MB, N, N, ONE, X(MA,1), LDX, D,
$ LDD, ZERO, TM, 2 )
CALL DGEMM( 'T', 'N', M-ME, N, MB, MONE, E(MA,ME+1), LDE,
$ TM, 2, ONE, X(ME+1,1), LDX )
END IF
C
GOTO 20
END IF
C END WHILE 20
C
ELSE
C
C Solve equation (2).
C
C Compute block row X(MA:ME,:). MB denotes the number of rows in
C this block row.
C
MA = M + 1
C WHILE ( MA .NE. 1 ) DO
180 IF ( MA .NE. 1 ) THEN
ME = MA - 1
IF ( ME .EQ. 1 ) THEN
MA = 1
MB = 1
ELSE
IF ( A(ME,ME-1) .EQ. ZERO ) THEN
MA = ME
MB = 1
ELSE
MA = ME - 1
MB = 2
END IF
END IF
C
C Assemble Kronecker product system of linear equations with
C matrix
C
C MAT = kron(C,A(MA:ME,MA:ME)) + kron(D,E(MA:ME,MA:ME))
C
C and right hand side
C
C RHS = vec(X(MA:ME,:)).
C
IF ( N .EQ. 1 ) THEN
DIMMAT = MB
DO 220 I = 1, MB
MAI = MA + I - 1
DO 200 J = 1, MB
MAJ = MA + J - 1
MAT(I,J) = C(1,1)*A(MAI,MAJ)
IF ( MAJ .GE. MAI )
$ MAT(I,J) = MAT(I,J) + D(1,1)*E(MAI,MAJ)
200 CONTINUE
RHS(I) = X(MAI,1)
220 CONTINUE
ELSE
DIMMAT = 2*MB
DO 260 I = 1, MB
MAI = MA + I - 1
DO 240 J = 1, MB
MAJ = MA + J - 1
MAT(I,J) = C(1,1)*A(MAI,MAJ)
MAT(MB+I,J) = C(2,1)*A(MAI,MAJ)
MAT(I,MB+J) = C(1,2)*A(MAI,MAJ)
MAT(MB+I,MB+J) = C(2,2)*A(MAI,MAJ)
IF ( MAJ .GE. MAI ) THEN
MAT(I,J) = MAT(I,J) + D(1,1)*E(MAI,MAJ)
MAT(MB+I,J) = MAT(MB+I,J) + D(2,1)*E(MAI,MAJ)
MAT(I,MB+J) = MAT(I,MB+J) + D(1,2)*E(MAI,MAJ)
MAT(MB+I,MB+J) = MAT(MB+I,MB+J) +
$ D(2,2)*E(MAI,MAJ)
END IF
240 CONTINUE
RHS(I) = X(MAI,1)
RHS(MB+I) = X(MAI,2)
260 CONTINUE
END IF
C
C Solve the system of linear equations.
C
CALL MB02UV( DIMMAT, MAT, 4, PIV1, PIV2, INFO1 )
IF ( INFO1 .NE. 0 )
$ INFO = 1
CALL MB02UU( DIMMAT, MAT, 4, RHS, PIV1, PIV2, SCALE1 )
IF ( SCALE1 .NE. ONE ) THEN
SCALE = SCALE1*SCALE
DO 280 I = 1, N
CALL DSCAL( M, SCALE1, X(1,I), 1 )
280 CONTINUE
END IF
C
IF ( N .EQ. 1 ) THEN
DO 300 I = 1, MB
MAI = MA + I - 1
X(MAI,1) = RHS(I)
300 CONTINUE
ELSE
DO 320 I = 1, MB
MAI = MA + I - 1
X(MAI,1) = RHS(I)
X(MAI,2) = RHS(MB+I)
320 CONTINUE
END IF
C
C Update right hand sides.
C
C X(1:MA-1,:) = X(1:MA-1,:) - A(1:MA-1,MA:ME)*X(MA:ME,:)*C'
C
C X(1:MA-1,:) = X(1:MA-1,:) - E(1:MA-1,MA:ME)*X(MA:ME,:)*D'
C
IF ( MA .GT. 1 ) THEN
CALL DGEMM( 'N', 'T', MB, N, N, ONE, X(MA,1), LDX, C,
$ LDC, ZERO, TM, 2 )
CALL DGEMM( 'N', 'N', MA-1, N, MB, MONE, A(1,MA), LDA,
$ TM, 2, ONE, X, LDX )
CALL DGEMM( 'N', 'T', MB, N, N, ONE, X(MA,1), LDX, D,
$ LDD, ZERO, TM, 2 )
CALL DGEMM( 'N', 'N', MA-1, N, MB, MONE, E(1,MA), LDE,
$ TM, 2, ONE, X, LDX )
END IF
C
GOTO 180
END IF
C END WHILE 180
C
END IF
C
RETURN
C *** Last line of SG03BW ***
END
|
