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<H3><A NAME="SECTION03234300000000000000">
Singular Value Decomposition (SVD)</A>
</H3>
<P>
The <B>singular value decomposition</B> of an <I>m</I>-by-<I>n</I> matrix <I>A</I> is given by
<A NAME="1572"></A><A NAME="1573"></A>
<BR><P></P>
<DIV ALIGN="CENTER">
<!-- MATH
\begin{displaymath}
A = U \Sigma V ^T, \quad (A=U\Sigma V ^H \quad \mbox{in the complex case})
\end{displaymath}
-->
<IMG
WIDTH="381" HEIGHT="31" BORDER="0"
SRC="img34.png"
ALT="\begin{displaymath}
A = U \Sigma V ^T, \quad (A=U\Sigma V ^H \quad \mbox{in the complex case})
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where <I>U</I> and <I>V</I> are orthogonal (unitary)
and <IMG
WIDTH="17" HEIGHT="15" ALIGN="BOTTOM" BORDER="0"
SRC="img35.png"
ALT="$\Sigma$">
is an <I>m</I>-by-<I>n</I> diagonal matrix with real
diagonal elements, <IMG
WIDTH="20" HEIGHT="30" ALIGN="MIDDLE" BORDER="0"
SRC="img36.png"
ALT="$\sigma _ i $">,
such that
<BR><P></P>
<DIV ALIGN="CENTER">
<!-- MATH
\begin{displaymath}
\sigma_1 \ge \sigma_2 \ge \ldots \ge \sigma_{\min (m,n)} \ge 0 .
\end{displaymath}
-->
<IMG
WIDTH="229" HEIGHT="33" BORDER="0"
SRC="img37.png"
ALT="\begin{displaymath}
\sigma_1 \ge \sigma_2 \ge \ldots \ge \sigma_{\min (m,n)} \ge 0 .
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
The <IMG
WIDTH="20" HEIGHT="30" ALIGN="MIDDLE" BORDER="0"
SRC="img36.png"
ALT="$\sigma _ i $">
are the <B>singular values</B> of <I>A</I> and the
first min(<I>m</I>,<I>n</I>) columns of <I>U</I> and <I>V</I>
are the <B>left</B> and <B>right singular vectors</B> of <I>A</I>.
<A NAME="1579"></A><A NAME="1580"></A>
<P>
The singular values and singular vectors satisfy:
<BR><P></P>
<DIV ALIGN="CENTER">
<!-- MATH
\begin{displaymath}
A v_i = \sigma_i u_i \quad \mbox{and} \quad
A^T u_i = \sigma_i v_i \quad ({\rm or} \quad
A^H u_i = \sigma_i v_i \quad )
\end{displaymath}
-->
<IMG
WIDTH="409" HEIGHT="31" BORDER="0"
SRC="img38.png"
ALT="\begin{displaymath}
A v_i = \sigma_i u_i \quad \mbox{and} \quad
A^T u_i = \sigma_i v_i \quad ({\rm or} \quad
A^H u_i = \sigma_i v_i \quad )
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where <I>u</I><SUB><I>i</I></SUB> and <I>v</I><SUB><I>i</I></SUB> are the <I>i</I><SUP><I>th</I></SUP> columns of <I>U</I> and <I>V</I> respectively.
<P>
There are two types of driver routines for the SVD. Originally LAPACK had
just the simple driver described below, and the other one was added after
an improved algorithm was discovered.
<P>
<UL><LI>a <B>simple</B> driver
xGESVD<A NAME="1586"></A><A NAME="1587"></A><A NAME="1588"></A><A NAME="1589"></A>
computes all the singular values and (optionally) left and/or right
singular vectors.
<LI>a <B>divide and conquer</B> driver <A NAME="1591"></A>
xGESDD<A NAME="1592"></A><A NAME="1593"></A><A NAME="1594"></A><A NAME="1595"></A> <A NAME="1596"></A> solves the same problem
as the simple driver. It is much faster than the simple driver
for large matrices, but uses more workspace. The name divide-and-conquer
refers to the underlying algorithm
(see sections <A HREF="node48.html#subseccompsep">2.4.4</A> and <A HREF="node70.html#subsecblockeig">3.4.3</A>).
</UL>
<P>
<BR>
<DIV ALIGN="CENTER">
<A NAME="tabdriveseig"></A>
<DIV ALIGN="CENTER">
<A NAME="1601"></A>
<TABLE CELLPADDING=3 BORDER="1">
<CAPTION><STRONG>Table 2.5:</STRONG>
Driver routines for standard eigenvalue and singular value problems</CAPTION>
<TR><TD ALIGN="CENTER">Type of</TD>
<TD ALIGN="LEFT">Function and storage scheme</TD>
<TD ALIGN="CENTER" COLSPAN=2>Single precision</TD>
<TD ALIGN="CENTER" COLSPAN=2>Double precision</TD>
</TR>
<TR><TD ALIGN="CENTER">problem</TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT">real</TD>
<TD ALIGN="LEFT">complex</TD>
<TD ALIGN="LEFT">real</TD>
<TD ALIGN="LEFT">complex</TD>
</TR>
<TR><TD ALIGN="CENTER">SEP</TD>
<TD ALIGN="LEFT">simple driver</TD>
<TD ALIGN="LEFT">SSYEV<A NAME="1613"></A></TD>
<TD ALIGN="LEFT">CHEEV<A NAME="1614"></A></TD>
<TD ALIGN="LEFT">DSYEV<A NAME="1615"></A></TD>
<TD ALIGN="LEFT">ZHEEV<A NAME="1616"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">divide and conquer driver</TD>
<TD ALIGN="LEFT">SSYEVD<A NAME="1617"></A></TD>
<TD ALIGN="LEFT">CHEEVD<A NAME="1618"></A></TD>
<TD ALIGN="LEFT">DSYEVD<A NAME="1619"></A></TD>
<TD ALIGN="LEFT">ZHEEVD<A NAME="1620"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">expert driver</TD>
<TD ALIGN="LEFT">SSYEVX<A NAME="1621"></A></TD>
<TD ALIGN="LEFT">CHEEVX<A NAME="1622"></A></TD>
<TD ALIGN="LEFT">DSYEVX<A NAME="1623"></A></TD>
<TD ALIGN="LEFT">ZHEEVX<A NAME="1624"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">RRR driver</TD>
<TD ALIGN="LEFT">SSYEVR<A NAME="1625"></A></TD>
<TD ALIGN="LEFT">CHEEVR<A NAME="1626"></A></TD>
<TD ALIGN="LEFT">DSYEVR<A NAME="1627"></A></TD>
<TD ALIGN="LEFT">ZHEEVR<A NAME="1628"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">simple driver (packed storage)</TD>
<TD ALIGN="LEFT">SSPEV<A NAME="1629"></A></TD>
<TD ALIGN="LEFT">CHPEV<A NAME="1630"></A></TD>
<TD ALIGN="LEFT">DSPEV<A NAME="1631"></A></TD>
<TD ALIGN="LEFT">ZHPEV<A NAME="1632"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">divide and conquer driver</TD>
<TD ALIGN="LEFT">SSPEVD<A NAME="1633"></A></TD>
<TD ALIGN="LEFT">CHPEVD<A NAME="1634"></A></TD>
<TD ALIGN="LEFT">DSPEVD<A NAME="1635"></A></TD>
<TD ALIGN="LEFT">ZHPEVD<A NAME="1636"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">(packed storage)</TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">expert driver (packed storage)</TD>
<TD ALIGN="LEFT">SSPEVX<A NAME="1638"></A></TD>
<TD ALIGN="LEFT">CHPEVX<A NAME="1639"></A></TD>
<TD ALIGN="LEFT">DSPEVX<A NAME="1640"></A></TD>
<TD ALIGN="LEFT">ZHPEVX<A NAME="1641"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">simple driver (band matrix)</TD>
<TD ALIGN="LEFT">SSBEV<A NAME="1642"></A></TD>
<TD ALIGN="LEFT">CHBEV<A NAME="1643"></A></TD>
<TD ALIGN="LEFT">DSBEV<A NAME="1644"></A></TD>
<TD ALIGN="LEFT">ZHBEV<A NAME="1645"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">divide and conquer driver</TD>
<TD ALIGN="LEFT">SSBEVD<A NAME="1646"></A></TD>
<TD ALIGN="LEFT">CHBEVD<A NAME="1647"></A></TD>
<TD ALIGN="LEFT">DSBEVD<A NAME="1648"></A></TD>
<TD ALIGN="LEFT">ZHBEVD<A NAME="1649"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">(band matrix)</TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">expert driver (band matrix)</TD>
<TD ALIGN="LEFT">SSBEVX<A NAME="1651"></A></TD>
<TD ALIGN="LEFT">CHBEVX<A NAME="1652"></A></TD>
<TD ALIGN="LEFT">DSBEVX<A NAME="1653"></A></TD>
<TD ALIGN="LEFT">ZHBEVX<A NAME="1654"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">simple driver (tridiagonal matrix)</TD>
<TD ALIGN="LEFT">SSTEV<A NAME="1655"></A></TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT">DSTEV<A NAME="1656"></A></TD>
<TD ALIGN="LEFT"> </TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">divide and conquer driver</TD>
<TD ALIGN="LEFT">SSTEVD<A NAME="1657"></A></TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT">DSTEVD<A NAME="1658"></A></TD>
<TD ALIGN="LEFT"> </TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">(tridiagonal matrix)</TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT"> </TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">expert driver (tridiagonal matrix)</TD>
<TD ALIGN="LEFT">SSTEVX<A NAME="1660"></A></TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT">DSTEVX<A NAME="1661"></A></TD>
<TD ALIGN="LEFT"> </TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">RRR driver (tridiagonal matrix)</TD>
<TD ALIGN="LEFT">SSTEVR<A NAME="1662"></A></TD>
<TD ALIGN="LEFT"> </TD>
<TD ALIGN="LEFT">DSTEVR<A NAME="1663"></A></TD>
<TD ALIGN="LEFT"> </TD>
</TR>
<TR><TD ALIGN="CENTER">NEP</TD>
<TD ALIGN="LEFT">simple driver for Schur factorization</TD>
<TD ALIGN="LEFT">SGEES<A NAME="1664"></A></TD>
<TD ALIGN="LEFT">CGEES<A NAME="1665"></A></TD>
<TD ALIGN="LEFT">DGEES<A NAME="1666"></A></TD>
<TD ALIGN="LEFT">ZGEES<A NAME="1667"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">expert driver for Schur factorization</TD>
<TD ALIGN="LEFT">SGEESX<A NAME="1668"></A></TD>
<TD ALIGN="LEFT">CGEESX<A NAME="1669"></A></TD>
<TD ALIGN="LEFT">DGEESX<A NAME="1670"></A></TD>
<TD ALIGN="LEFT">ZGEESX<A NAME="1671"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">simple driver for eigenvalues/vectors</TD>
<TD ALIGN="LEFT">SGEEV<A NAME="1672"></A></TD>
<TD ALIGN="LEFT">CGEEV<A NAME="1673"></A></TD>
<TD ALIGN="LEFT">DGEEV<A NAME="1674"></A></TD>
<TD ALIGN="LEFT">ZGEEV<A NAME="1675"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">expert driver for eigenvalues/vectors</TD>
<TD ALIGN="LEFT">SGEEVX<A NAME="1676"></A></TD>
<TD ALIGN="LEFT">CGEEVX<A NAME="1677"></A></TD>
<TD ALIGN="LEFT">DGEEVX<A NAME="1678"></A></TD>
<TD ALIGN="LEFT">ZGEEVX<A NAME="1679"></A></TD>
</TR>
<TR><TD ALIGN="CENTER">SVD</TD>
<TD ALIGN="LEFT">simple driver</TD>
<TD ALIGN="LEFT">SGESVD<A NAME="1680"></A></TD>
<TD ALIGN="LEFT">CGESVD<A NAME="1681"></A></TD>
<TD ALIGN="LEFT">DGESVD<A NAME="1682"></A></TD>
<TD ALIGN="LEFT">ZGESVD<A NAME="1683"></A></TD>
</TR>
<TR><TD ALIGN="CENTER"> </TD>
<TD ALIGN="LEFT">divide and conquer driver</TD>
<TD ALIGN="LEFT">SGESDD<A NAME="1684"></A></TD>
<TD ALIGN="LEFT">CGESDD<A NAME="1685"></A></TD>
<TD ALIGN="LEFT">DGESDD<A NAME="1686"></A></TD>
<TD ALIGN="LEFT">ZGESDD<A NAME="1687"></A></TD>
</TR>
</TABLE>
</DIV>
</DIV>
<BR>
<P>
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<ADDRESS>
<I>Susan Blackford</I>
<BR><I>1999-10-01</I>
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