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SUBROUTINE SB03QX( TRANA, UPLO, LYAPUN, N, XANORM, T, LDT, U, LDU,
$ R, LDR, FERR, IWORK, DWORK, LDWORK, INFO )
C
C RELEASE 4.0, WGS COPYRIGHT 1999.
C
C PURPOSE
C
C To estimate a forward error bound for the solution X of a real
C continuous-time Lyapunov matrix equation,
C
C op(A)'*X + X*op(A) = C,
C
C where op(A) = A or A' (A**T) and C is symmetric (C = C**T). The
C matrix A, the right hand side C, and the solution X are N-by-N.
C An absolute residual matrix, which takes into account the rounding
C errors in forming it, is given in the array R.
C
C ARGUMENTS
C
C Mode Parameters
C
C TRANA CHARACTER*1
C Specifies the form of op(A) to be used, as follows:
C = 'N': op(A) = A (No transpose);
C = 'T': op(A) = A**T (Transpose);
C = 'C': op(A) = A**T (Conjugate transpose = Transpose).
C
C UPLO CHARACTER*1
C Specifies which part of the symmetric matrix R is to be
C used, as follows:
C = 'U': Upper triangular part;
C = 'L': Lower triangular part.
C
C LYAPUN CHARACTER*1
C Specifies whether or not the original Lyapunov equations
C should be solved, as follows:
C = 'O': Solve the original Lyapunov equations, updating
C the right-hand sides and solutions with the
C matrix U, e.g., X <-- U'*X*U;
C = 'R': Solve reduced Lyapunov equations only, without
C updating the right-hand sides and solutions.
C
C Input/Output Parameters
C
C N (input) INTEGER
C The order of the matrices A and R. N >= 0.
C
C XANORM (input) DOUBLE PRECISION
C The absolute (maximal) norm of the symmetric solution
C matrix X of the Lyapunov equation. XANORM >= 0.
C
C T (input) DOUBLE PRECISION array, dimension (LDT,N)
C The leading N-by-N upper Hessenberg part of this array
C must contain the upper quasi-triangular matrix T in Schur
C canonical form from a Schur factorization of A.
C
C LDT INTEGER
C The leading dimension of array T. LDT >= MAX(1,N).
C
C U (input) DOUBLE PRECISION array, dimension (LDU,N)
C The leading N-by-N part of this array must contain the
C orthogonal matrix U from a real Schur factorization of A.
C If LYAPUN = 'R', the array U is not referenced.
C
C LDU INTEGER
C The leading dimension of array U.
C LDU >= 1, if LYAPUN = 'R';
C LDU >= MAX(1,N), if LYAPUN = 'O'.
C
C R (input/output) DOUBLE PRECISION array, dimension (LDR,N)
C On entry, if UPLO = 'U', the leading N-by-N upper
C triangular part of this array must contain the upper
C triangular part of the absolute residual matrix R, with
C bounds on rounding errors added.
C On entry, if UPLO = 'L', the leading N-by-N lower
C triangular part of this array must contain the lower
C triangular part of the absolute residual matrix R, with
C bounds on rounding errors added.
C On exit, the leading N-by-N part of this array contains
C the symmetric absolute residual matrix R (with bounds on
C rounding errors added), fully stored.
C
C LDR INTEGER
C The leading dimension of array R. LDR >= MAX(1,N).
C
C FERR (output) DOUBLE PRECISION
C An estimated forward error bound for the solution X.
C If XTRUE is the true solution, FERR bounds the magnitude
C of the largest entry in (X - XTRUE) divided by the
C magnitude of the largest entry in X.
C If N = 0 or XANORM = 0, FERR is set to 0, without any
C calculations.
C
C Workspace
C
C IWORK INTEGER array, dimension (N*N)
C
C DWORK DOUBLE PRECISION array, dimension (LDWORK)
C
C LDWORK INTEGER
C The length of the array DWORK. LDWORK >= 2*N*N.
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 = N+1: if the matrices T and -T' have common or very
C close eigenvalues; perturbed values were used to
C solve Lyapunov equations (but the matrix T is
C unchanged).
C
C METHOD
C
C The forward error bound is estimated using a practical error bound
C similar to the one proposed in [1], based on the 1-norm estimator
C in [2].
C
C REFERENCES
C
C [1] Higham, N.J.
C Perturbation theory and backward error for AX-XB=C.
C BIT, vol. 33, pp. 124-136, 1993.
C
C [2] Higham, N.J.
C FORTRAN codes for estimating the one-norm of a real or
C complex matrix, with applications to condition estimation.
C ACM Trans. Math. Softw., 14, pp. 381-396, 1988.
C
C NUMERICAL ASPECTS
C 3
C The algorithm requires 0(N ) operations.
C
C FURTHER COMMENTS
C
C The option LYAPUN = 'R' may occasionally produce slightly worse
C or better estimates, and it is much faster than the option 'O'.
C The routine can be also used as a final step in estimating a
C forward error bound for the solution of a continuous-time
C algebraic matrix Riccati equation.
C
C CONTRIBUTOR
C
C V. Sima, Research Institute for Informatics, Bucharest, Romania,
C Oct. 1998. Partly based on DGLSVX (and then SB03QD) by P. Petkov,
C Tech. University of Sofia, March 1998 (and December 1998).
C
C REVISIONS
C
C February 6, 1999, V. Sima, Katholieke Univ. Leuven, Belgium.
C
C KEYWORDS
C
C Lyapunov equation, orthogonal transformation, real Schur form.
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, ONE
PARAMETER ( ZERO = 0.0D+0, ONE = 1.0D+0 )
C ..
C .. Scalar Arguments ..
CHARACTER LYAPUN, TRANA, UPLO
INTEGER INFO, LDR, LDT, LDU, LDWORK, N
DOUBLE PRECISION FERR, XANORM
C ..
C .. Array Arguments ..
INTEGER IWORK( * )
DOUBLE PRECISION DWORK( * ), R( LDR, * ), T( LDT, * ),
$ U( LDU, * )
C ..
C .. Local Scalars ..
LOGICAL LOWER, NOTRNA, UPDATE
CHARACTER TRANAT, UPLOW
INTEGER I, IJ, INFO2, ITMP, J, KASE, NN
DOUBLE PRECISION EST, SCALE, TEMP
C ..
C .. External Functions ..
LOGICAL LSAME
DOUBLE PRECISION DLANSY
EXTERNAL DLANSY, LSAME
C ..
C .. External Subroutines ..
EXTERNAL DLACON, MA02ED, MB01RU, SB03MY, XERBLA
C ..
C .. Intrinsic Functions ..
INTRINSIC MAX
C ..
C .. Executable Statements ..
C
C Decode and Test input parameters.
C
NOTRNA = LSAME( TRANA, 'N' )
UPDATE = LSAME( LYAPUN, 'O' )
C
NN = N*N
INFO = 0
IF( .NOT.( NOTRNA .OR. LSAME( TRANA, 'T' ) .OR.
$ LSAME( TRANA, 'C' ) ) ) THEN
INFO = -1
ELSE IF( .NOT.( LSAME( UPLO, 'L' ) .OR. LSAME( UPLO, 'U' ) ) )
$ THEN
INFO = -2
ELSE IF( .NOT.( UPDATE .OR. LSAME( LYAPUN, 'R' ) ) ) THEN
INFO = -3
ELSE IF( N.LT.0 ) THEN
INFO = -4
ELSE IF( XANORM.LT.ZERO ) THEN
INFO = -5
ELSE IF( LDT.LT.MAX( 1, N ) ) THEN
INFO = -7
ELSE IF( LDU.LT.1 .OR. ( UPDATE .AND. LDU.LT.N ) ) THEN
INFO = -9
ELSE IF( LDR.LT.MAX( 1, N ) ) THEN
INFO = -11
ELSE IF( LDWORK.LT.2*NN ) THEN
INFO = -15
END IF
C
IF( INFO.NE.0 ) THEN
CALL XERBLA( 'SB03QX', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
FERR = ZERO
IF( N.EQ.0 .OR. XANORM.EQ.ZERO )
$ RETURN
C
ITMP = NN + 1
C
IF( NOTRNA ) THEN
TRANAT = 'T'
ELSE
TRANAT = 'N'
END IF
C
C Fill in the remaining triangle of the symmetric residual matrix.
C
CALL MA02ED( UPLO, N, R, LDR )
C
KASE = 0
C
C REPEAT
10 CONTINUE
CALL DLACON( NN, DWORK( ITMP ), DWORK, IWORK, EST, KASE )
IF( KASE.NE.0 ) THEN
C
C Select the triangular part of symmetric matrix to be used.
C
IF( DLANSY( '1-norm', 'Upper', N, DWORK, N, DWORK( ITMP ) )
$ .GE.
$ DLANSY( '1-norm', 'Lower', N, DWORK, N, DWORK( ITMP ) )
$ ) THEN
UPLOW = 'U'
LOWER = .FALSE.
ELSE
UPLOW = 'L'
LOWER = .TRUE.
END IF
C
IF( KASE.EQ.2 ) THEN
IJ = 0
IF( LOWER ) THEN
C
C Scale the lower triangular part of symmetric matrix
C by the residual matrix.
C
DO 30 J = 1, N
DO 20 I = J, N
IJ = IJ + 1
DWORK( IJ ) = DWORK( IJ )*R( I, J )
20 CONTINUE
IJ = IJ + J
30 CONTINUE
ELSE
C
C Scale the upper triangular part of symmetric matrix
C by the residual matrix.
C
DO 50 J = 1, N
DO 40 I = 1, J
IJ = IJ + 1
DWORK( IJ ) = DWORK( IJ )*R( I, J )
40 CONTINUE
IJ = IJ + N - J
50 CONTINUE
END IF
END IF
C
IF( UPDATE ) THEN
C
C Transform the right-hand side: RHS := U'*RHS*U.
C
CALL MB01RU( UPLOW, 'Transpose', N, N, ZERO, ONE, DWORK, N,
$ U, LDU, DWORK, N, DWORK( ITMP ), NN, INFO2 )
END IF
CALL MA02ED( UPLOW, N, DWORK, N )
C
IF( KASE.EQ.2 ) THEN
C
C Solve op(T)'*Y + Y*op(T) = scale*RHS.
C
CALL SB03MY( TRANA, N, T, LDT, DWORK, N, SCALE, INFO2 )
ELSE
C
C Solve op(T)*W + W*op(T)' = scale*RHS.
C
CALL SB03MY( TRANAT, N, T, LDT, DWORK, N, SCALE, INFO2 )
END IF
C
IF( INFO2.GT.0 )
$ INFO = N + 1
C
IF( UPDATE ) THEN
C
C Transform back to obtain the solution: Z := U*Z*U', with
C Z = Y or Z = W.
C
CALL MB01RU( UPLOW, 'No transpose', N, N, ZERO, ONE, DWORK,
$ N, U, LDU, DWORK, N, DWORK( ITMP ), NN, INFO2 )
END IF
C
IF( KASE.EQ.1 ) THEN
IJ = 0
IF( LOWER ) THEN
C
C Scale the lower triangular part of symmetric matrix
C by the residual matrix.
C
DO 70 J = 1, N
DO 60 I = J, N
IJ = IJ + 1
DWORK( IJ ) = DWORK( IJ )*R( I, J )
60 CONTINUE
IJ = IJ + J
70 CONTINUE
ELSE
C
C Scale the upper triangular part of symmetric matrix
C by the residual matrix.
C
DO 90 J = 1, N
DO 80 I = 1, J
IJ = IJ + 1
DWORK( IJ ) = DWORK( IJ )*R( I, J )
80 CONTINUE
IJ = IJ + N - J
90 CONTINUE
END IF
END IF
C
C Fill in the remaining triangle of the symmetric matrix.
C
CALL MA02ED( UPLOW, N, DWORK, N )
GO TO 10
END IF
C
C UNTIL KASE = 0
C
C Compute the estimate of the relative error.
C
TEMP = XANORM*SCALE
IF( TEMP.GT.EST ) THEN
FERR = EST / TEMP
ELSE
FERR = ONE
END IF
C
RETURN
C
C *** Last line of SB03QX ***
END
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