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<HTML>
<HEAD><TITLE>MB02CD - SLICOT Library Routine Documentation</TITLE>
</HEAD>
<BODY>
<H2><A Name="MB02CD">MB02CD</A></H2>
<H3>
Cholesky factorization of a positive definite block Toeplitz matrix
</H3>
<A HREF ="#Specification"><B>[Specification]</B></A>
<A HREF ="#Arguments"><B>[Arguments]</B></A>
<A HREF ="#Method"><B>[Method]</B></A>
<A HREF ="#References"><B>[References]</B></A>
<A HREF ="#Comments"><B>[Comments]</B></A>
<A HREF ="#Example"><B>[Example]</B></A>
<P>
<B><FONT SIZE="+1">Purpose</FONT></B>
<PRE>
To compute the Cholesky factor and the generator and/or the
Cholesky factor of the inverse of a symmetric positive definite
(s.p.d.) block Toeplitz matrix T, defined by either its first
block row, or its first block column, depending on the routine
parameter TYPET. Transformation information is stored.
</PRE>
<A name="Specification"><B><FONT SIZE="+1">Specification</FONT></B></A>
<PRE>
SUBROUTINE MB02CD( JOB, TYPET, K, N, T, LDT, G, LDG, R, LDR, L,
$ LDL, CS, LCS, DWORK, LDWORK, INFO )
C .. Scalar Arguments ..
CHARACTER JOB, TYPET
INTEGER INFO, K, LCS, LDG, LDL, LDR, LDT, LDWORK, N
C .. Array Arguments ..
DOUBLE PRECISION CS(*), DWORK(*), G(LDG, *), L(LDL,*), R(LDR,*),
$ T(LDT,*)
</PRE>
<A name="Arguments"><B><FONT SIZE="+1">Arguments</FONT></B></A>
<P>
<B>Mode Parameters</B>
<PRE>
JOB CHARACTER*1
Specifies the output of the routine, as follows:
= 'G': only computes the generator G of the inverse;
= 'R': computes the generator G of the inverse and the
Cholesky factor R of T, i.e., if TYPET = 'R',
then R'*R = T, and if TYPET = 'C', then R*R' = T;
= 'L': computes the generator G and the Cholesky factor L
of the inverse, i.e., if TYPET = 'R', then
L'*L = inv(T), and if TYPET = 'C', then
L*L' = inv(T);
= 'A': computes the generator G, the Cholesky factor L
of the inverse and the Cholesky factor R of T;
= 'O': only computes the Cholesky factor R of T.
TYPET CHARACTER*1
Specifies the type of T, as follows:
= 'R': T contains the first block row of an s.p.d. block
Toeplitz matrix; if demanded, the Cholesky factors
R and L are upper and lower triangular,
respectively, and G contains the transposed
generator of the inverse;
= 'C': T contains the first block column of an s.p.d.
block Toeplitz matrix; if demanded, the Cholesky
factors R and L are lower and upper triangular,
respectively, and G contains the generator of the
inverse. This choice results in a column oriented
algorithm which is usually faster.
Note: in the sequel, the notation x / y means that
x corresponds to TYPET = 'R' and y corresponds to
TYPET = 'C'.
</PRE>
<B>Input/Output Parameters</B>
<PRE>
K (input) INTEGER
The number of rows / columns in T, which should be equal
to the blocksize. K >= 0.
N (input) INTEGER
The number of blocks in T. N >= 0.
T (input/output) DOUBLE PRECISION array, dimension
(LDT,N*K) / (LDT,K)
On entry, the leading K-by-N*K / N*K-by-K part of this
array must contain the first block row / column of an
s.p.d. block Toeplitz matrix.
On exit, if INFO = 0, then the leading K-by-N*K / N*K-by-K
part of this array contains, in the first K-by-K block,
the upper / lower Cholesky factor of T(1:K,1:K), and in
the remaining part, the Householder transformations
applied during the process.
LDT INTEGER
The leading dimension of the array T.
LDT >= MAX(1,K), if TYPET = 'R';
LDT >= MAX(1,N*K), if TYPET = 'C'.
G (output) DOUBLE PRECISION array, dimension
(LDG,N*K) / (LDG,2*K)
If INFO = 0 and JOB = 'G', 'R', 'L', or 'A', the leading
2*K-by-N*K / N*K-by-2*K part of this array contains, in
the first K-by-K block of the second block row / column,
the lower right block of L (necessary for updating
factorizations in SLICOT Library routine MB02DD), and
in the remaining part, the generator of the inverse of T.
Actually, to obtain a generator one has to set
G(K+1:2*K, 1:K) = 0, if TYPET = 'R';
G(1:K, K+1:2*K) = 0, if TYPET = 'C'.
LDG INTEGER
The leading dimension of the array G.
LDG >= MAX(1,2*K), if TYPET = 'R' and
JOB = 'G', 'R', 'L', or 'A';
LDG >= MAX(1,N*K), if TYPET = 'C' and
JOB = 'G', 'R', 'L', or 'A';
LDG >= 1, if JOB = 'O'.
R (output) DOUBLE PRECISION array, dimension (LDR,N*K)
If INFO = 0 and JOB = 'R', 'A', or 'O', then the leading
N*K-by-N*K part of this array contains the upper / lower
Cholesky factor of T.
The elements in the strictly lower / upper triangular part
are not referenced.
LDR INTEGER
The leading dimension of the array R.
LDR >= MAX(1,N*K), if JOB = 'R', 'A', or 'O';
LDR >= 1, if JOB = 'G', or 'L'.
L (output) DOUBLE PRECISION array, dimension (LDL,N*K)
If INFO = 0 and JOB = 'L', or 'A', then the leading
N*K-by-N*K part of this array contains the lower / upper
Cholesky factor of the inverse of T.
The elements in the strictly upper / lower triangular part
are not referenced.
LDL INTEGER
The leading dimension of the array L.
LDL >= MAX(1,N*K), if JOB = 'L', or 'A';
LDL >= 1, if JOB = 'G', 'R', or 'O'.
CS (output) DOUBLE PRECISION array, dimension (LCS)
If INFO = 0, then the leading 3*(N-1)*K part of this
array contains information about the hyperbolic rotations
and Householder transformations applied during the
process. This information is needed for updating the
factorizations in SLICOT Library routine MB02DD.
LCS INTEGER
The length of the array CS. LCS >= 3*(N-1)*K.
</PRE>
<B>Workspace</B>
<PRE>
DWORK DOUBLE PRECISION array, dimension (LDWORK)
On exit, if INFO = 0, DWORK(1) returns the optimal
value of LDWORK.
On exit, if INFO = -16, DWORK(1) returns the minimum
value of LDWORK.
LDWORK INTEGER
The length of the array DWORK.
LDWORK >= MAX(1,(N-1)*K).
For optimum performance LDWORK should be larger.
</PRE>
<B>Error Indicator</B>
<PRE>
INFO INTEGER
= 0: successful exit;
< 0: if INFO = -i, the i-th argument had an illegal
value;
= 1: the reduction algorithm failed. The Toeplitz matrix
associated with T is not (numerically) positive
definite.
</PRE>
<A name="Method"><B><FONT SIZE="+1">Method</FONT></B></A>
<PRE>
Householder transformations and modified hyperbolic rotations
are used in the Schur algorithm [1], [2].
</PRE>
<A name="References"><B><FONT SIZE="+1">References</FONT></B></A>
<PRE>
[1] Kailath, T. and Sayed, A.
Fast Reliable Algorithms for Matrices with Structure.
SIAM Publications, Philadelphia, 1999.
[2] Kressner, D. and Van Dooren, P.
Factorizations and linear system solvers for matrices with
Toeplitz structure.
SLICOT Working Note 2000-2, 2000.
</PRE>
<A name="Numerical Aspects"><B><FONT SIZE="+1">Numerical Aspects</FONT></B></A>
<PRE>
The implemented method is numerically stable.
3 2
The algorithm requires 0(K N ) floating point operations.
</PRE>
<A name="Comments"><B><FONT SIZE="+1">Further Comments</FONT></B></A>
<PRE>
None
</PRE>
<A name="Example"><B><FONT SIZE="+1">Example</FONT></B></A>
<P>
<B>Program Text</B>
<PRE>
* MB02CD EXAMPLE PROGRAM TEXT
*
* .. Parameters ..
DOUBLE PRECISION ZERO
PARAMETER ( ZERO = 0.0D0 )
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER KMAX, NMAX
PARAMETER ( KMAX = 20, NMAX = 20 )
INTEGER LCS, LDG, LDL, LDR, LDT, LDWORK
PARAMETER ( LDG = 2*KMAX, LDL = NMAX*KMAX, LDR = NMAX*KMAX,
$ LDT = KMAX, LDWORK = ( NMAX - 1 )*KMAX )
PARAMETER ( LCS = 3*LDWORK )
* .. Local Scalars ..
INTEGER I, INFO, J, K, M, N
CHARACTER JOB, TYPET
* .. Local Arrays .. (Dimensioned for TYPET = 'R'.)
DOUBLE PRECISION CS(LCS), DWORK(LDWORK), G(LDG, NMAX*KMAX),
$ L(LDL, NMAX*KMAX), R(LDR, NMAX*KMAX),
$ T(LDT, NMAX*KMAX)
* .. External Functions ..
LOGICAL LSAME
EXTERNAL LSAME
* .. External Subroutines ..
EXTERNAL DLASET, MB02CD
*
* .. Executable Statements ..
WRITE ( NOUT, FMT = 99999 )
* Skip the heading in the data file and read the data.
READ ( NIN, FMT = '()' )
READ ( NIN, FMT = * ) N, K, JOB
TYPET = 'R'
M = N*K
IF( N.LE.0 .OR. N.GT.NMAX ) THEN
WRITE ( NOUT, FMT = 99993 ) N
ELSE
IF( K.LE.0 .OR. K.GT.KMAX ) THEN
WRITE ( NOUT, FMT = 99992 ) K
ELSE
READ ( NIN, FMT = * ) ( ( T(I,J), J = 1,M ), I = 1,K )
* Compute the Cholesky factor(s) and/or the generator.
CALL MB02CD( JOB, TYPET, K, N, T, LDT, G, LDG, R, LDR, L,
$ LDL, CS, LCS, DWORK, LDWORK, INFO )
IF ( INFO.NE.0 ) THEN
WRITE ( NOUT, FMT = 99998 ) INFO
ELSE
IF ( LSAME( JOB, 'G' ) .OR. LSAME( JOB, 'A' ) .OR.
$ LSAME( JOB, 'L' ) .OR. LSAME( JOB, 'R' ) ) THEN
WRITE ( NOUT, FMT = 99997 )
CALL DLASET( 'Full', K, K, ZERO, ZERO, G(K+1,1), LDG )
DO 10 I = 1, 2*K
WRITE ( NOUT, FMT = 99994 ) ( G(I,J), J = 1, M )
10 CONTINUE
END IF
IF ( LSAME( JOB, 'L' ) .OR. LSAME( JOB, 'A' ) ) THEN
WRITE ( NOUT, FMT = 99996 )
DO 20 I = 1, M
WRITE ( NOUT, FMT = 99994 ) ( L(I,J), J = 1, M )
20 CONTINUE
END IF
IF ( LSAME( JOB, 'R' ) .OR. LSAME( JOB, 'A' )
$ .OR. LSAME( JOB, 'O' ) ) THEN
WRITE ( NOUT, FMT = 99995 )
DO 30 I = 1, M
WRITE ( NOUT, FMT = 99994 ) ( R(I,J), J = 1, M )
30 CONTINUE
END IF
END IF
END IF
END IF
STOP
*
99999 FORMAT (' MB02CD EXAMPLE PROGRAM RESULTS',/1X)
99998 FORMAT (' INFO on exit from MB02CD = ',I2)
99997 FORMAT (' The generator of the inverse of block Toeplitz matrix',
$ ' is ')
99996 FORMAT (/' The lower Cholesky factor of the inverse is ')
99995 FORMAT (/' The upper Cholesky factor of block Toeplitz matrix is '
$ )
99994 FORMAT (20(1X,F8.4))
99993 FORMAT (/' N is out of range.',/' N = ',I5)
99992 FORMAT (/' K is out of range.',/' K = ',I5)
END
</PRE>
<B>Program Data</B>
<PRE>
MB02CD EXAMPLE PROGRAM DATA
3 2 A
3.0000 1.0000 0.1000 0.1000 0.2000 0.0500
1.0000 4.0000 0.4000 0.1000 0.0400 0.2000
</PRE>
<B>Program Results</B>
<PRE>
MB02CD EXAMPLE PROGRAM RESULTS
The generator of the inverse of block Toeplitz matrix is
-0.2355 0.5231 -0.0642 0.0077 0.0187 -0.0265
-0.5568 -0.0568 0.0229 0.0060 0.0363 0.0000
0.0000 0.0000 -0.0387 0.0052 0.0003 -0.0575
0.0000 0.0000 0.0119 -0.0265 -0.0110 0.0076
The lower Cholesky factor of the inverse is
0.5774 0.0000 0.0000 0.0000 0.0000 0.0000
-0.1741 0.5222 0.0000 0.0000 0.0000 0.0000
0.0000 -0.0581 0.5812 0.0000 0.0000 0.0000
-0.0142 0.0080 -0.1747 0.5224 0.0000 0.0000
-0.0387 0.0052 0.0003 -0.0575 0.5825 0.0000
0.0119 -0.0265 -0.0110 0.0076 -0.1754 0.5231
The upper Cholesky factor of block Toeplitz matrix is
1.7321 0.5774 0.0577 0.0577 0.1155 0.0289
0.0000 1.9149 0.1915 0.0348 -0.0139 0.0957
0.0000 0.0000 1.7205 0.5754 0.0558 0.0465
0.0000 0.0000 0.0000 1.9142 0.1890 0.0357
0.0000 0.0000 0.0000 0.0000 1.7169 0.5759
0.0000 0.0000 0.0000 0.0000 0.0000 1.9118
</PRE>
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