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SUBROUTINE DGGLSE( M, N, P, A, LDA, B, LDB, C, D, X, WORK, LWORK,
$ INFO )
*
* -- LAPACK driver routine (version 2.0) --
* Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
* Courant Institute, Argonne National Lab, and Rice University
* September 30, 1994
*
* .. Scalar Arguments ..
INTEGER INFO, LDA, LDB, LWORK, M, N, P
* ..
* .. Array Arguments ..
DOUBLE PRECISION A( LDA, * ), B( LDB, * ), C( * ), D( * ),
$ WORK( * ), X( * )
* ..
*
* Purpose
* =======
*
* DGGLSE solves the linear equality-constrained least squares (LSE)
* problem:
*
* minimize || c - A*x ||_2 subject to B*x = d
*
* where A is an M-by-N matrix, B is a P-by-N matrix, c is a given
* M-vector, and d is a given P-vector. It is assumed that
* P <= N <= M+P, and
*
* rank(B) = P and rank( ( A ) ) = N.
* ( ( B ) )
*
* These conditions ensure that the LSE problem has a unique solution,
* which is obtained using a GRQ factorization of the matrices B and A.
*
* Arguments
* =========
*
* M (input) INTEGER
* The number of rows of the matrix A. M >= 0.
*
* N (input) INTEGER
* The number of columns of the matrices A and B. N >= 0.
*
* P (input) INTEGER
* The number of rows of the matrix B. 0 <= P <= N <= M+P.
*
* A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
* On entry, the M-by-N matrix A.
* On exit, A is destroyed.
*
* LDA (input) INTEGER
* The leading dimension of the array A. LDA >= max(1,M).
*
* B (input/output) DOUBLE PRECISION array, dimension (LDB,N)
* On entry, the P-by-N matrix B.
* On exit, B is destroyed.
*
* LDB (input) INTEGER
* The leading dimension of the array B. LDB >= max(1,P).
*
* C (input/output) DOUBLE PRECISION array, dimension (M)
* On entry, C contains the right hand side vector for the
* least squares part of the LSE problem.
* On exit, the residual sum of squares for the solution
* is given by the sum of squares of elements N-P+1 to M of
* vector C.
*
* D (input/output) DOUBLE PRECISION array, dimension (P)
* On entry, D contains the right hand side vector for the
* constrained equation.
* On exit, D is destroyed.
*
* X (output) DOUBLE PRECISION array, dimension (N)
* On exit, X is the solution of the LSE problem.
*
* WORK (workspace/output) DOUBLE PRECISION array, dimension (LWORK)
* On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
*
* LWORK (input) INTEGER
* The dimension of the array WORK. LWORK >= max(1,M+N+P).
* For optimum performance LWORK >= P+min(M,N)+max(M,N)*NB,
* where NB is an upper bound for the optimal blocksizes for
* DGEQRF, SGERQF, DORMQR and SORMRQ.
*
* INFO (output) INTEGER
* = 0: successful exit.
* < 0: if INFO = -i, the i-th argument had an illegal value.
*
* =====================================================================
*
* .. Parameters ..
DOUBLE PRECISION ONE
PARAMETER ( ONE = 1.0D+0 )
* ..
* .. Local Scalars ..
INTEGER LOPT, MN, NR
* ..
* .. External Subroutines ..
EXTERNAL DAXPY, DCOPY, DGEMV, DGGRQF, DORMQR, DORMRQ,
$ DTRMV, DTRSV, XERBLA
* ..
* .. Intrinsic Functions ..
INTRINSIC INT, MAX, MIN
* ..
* .. Executable Statements ..
*
* Test the input parameters
*
INFO = 0
MN = MIN( M, N )
IF( M.LT.0 ) THEN
INFO = -1
ELSE IF( N.LT.0 ) THEN
INFO = -2
ELSE IF( P.LT.0 .OR. P.GT.N .OR. P.LT.N-M ) THEN
INFO = -3
ELSE IF( LDA.LT.MAX( 1, M ) ) THEN
INFO = -5
ELSE IF( LDB.LT.MAX( 1, P ) ) THEN
INFO = -7
ELSE IF( LWORK.LT.MAX( 1, M+N+P ) ) THEN
INFO = -12
END IF
IF( INFO.NE.0 ) THEN
CALL XERBLA( 'DGGLSE', -INFO )
RETURN
END IF
*
* Quick return if possible
*
IF( N.EQ.0 )
$ RETURN
*
* Compute the GRQ factorization of matrices B and A:
*
* B*Q' = ( 0 T12 ) P Z'*A*Q' = ( R11 R12 ) N-P
* N-P P ( 0 R22 ) M+P-N
* N-P P
*
* where T12 and R11 are upper triangular, and Q and Z are
* orthogonal.
*
CALL DGGRQF( P, M, N, B, LDB, WORK, A, LDA, WORK( P+1 ),
$ WORK( P+MN+1 ), LWORK-P-MN, INFO )
LOPT = WORK( P+MN+1 )
*
* Update c = Z'*c = ( c1 ) N-P
* ( c2 ) M+P-N
*
CALL DORMQR( 'Left', 'Transpose', M, 1, MN, A, LDA, WORK( P+1 ),
$ C, MAX( 1, M ), WORK( P+MN+1 ), LWORK-P-MN, INFO )
LOPT = MAX( LOPT, INT( WORK( P+MN+1 ) ) )
*
* Solve T12*x2 = d for x2
*
CALL DTRSV( 'Upper', 'No transpose', 'Non unit', P, B( 1, N-P+1 ),
$ LDB, D, 1 )
*
* Update c1
*
CALL DGEMV( 'No transpose', N-P, P, -ONE, A( 1, N-P+1 ), LDA, D,
$ 1, ONE, C, 1 )
*
* Sovle R11*x1 = c1 for x1
*
CALL DTRSV( 'Upper', 'No transpose', 'Non unit', N-P, A, LDA, C,
$ 1 )
*
* Put the solutions in X
*
CALL DCOPY( N-P, C, 1, X, 1 )
CALL DCOPY( P, D, 1, X( N-P+1 ), 1 )
*
* Compute the residual vector:
*
IF( M.LT.N ) THEN
NR = M + P - N
CALL DGEMV( 'No transpose', NR, N-M, -ONE, A( N-P+1, M+1 ),
$ LDA, D( NR+1 ), 1, ONE, C( N-P+1 ), 1 )
ELSE
NR = P
END IF
CALL DTRMV( 'Upper', 'No transpose', 'Non unit', NR,
$ A( N-P+1, N-P+1 ), LDA, D, 1 )
CALL DAXPY( NR, -ONE, D, 1, C( N-P+1 ), 1 )
*
* Backward transformation x = Q'*x
*
CALL DORMRQ( 'Left', 'Transpose', N, 1, P, B, LDB, WORK( 1 ), X,
$ N, WORK( P+MN+1 ), LWORK-P-MN, INFO )
WORK( 1 ) = P + MN + MAX( LOPT, INT( WORK( P+MN+1 ) ) )
*
RETURN
*
* End of DGGLSE
*
END
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