1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
|
<HTML>
<HEAD><TITLE>MB02GD - SLICOT Library Routine Documentation</TITLE>
</HEAD>
<BODY>
<H2><A Name="MB02GD">MB02GD</A></H2>
<H3>
Cholesky factorization of a banded symmetric 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 of a banded symmetric positive
definite (s.p.d.) block Toeplitz matrix, defined by either its
first block row, or its first block column, depending on the
routine parameter TYPET.
By subsequent calls of this routine the Cholesky factor can be
computed block column by block column.
</PRE>
<A name="Specification"><B><FONT SIZE="+1">Specification</FONT></B></A>
<PRE>
SUBROUTINE MB02GD( TYPET, TRIU, K, N, NL, P, S, T, LDT, RB, LDRB,
$ DWORK, LDWORK, INFO )
C .. Scalar Arguments ..
CHARACTER TRIU, TYPET
INTEGER INFO, K, LDRB, LDT, LDWORK, N, NL, P, S
C .. Array Arguments ..
DOUBLE PRECISION DWORK(LDWORK), RB(LDRB,*), T(LDT,*)
</PRE>
<A name="Arguments"><B><FONT SIZE="+1">Arguments</FONT></B></A>
<P>
<B>Mode Parameters</B>
<PRE>
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; the Cholesky factor is upper
triangular;
= 'C': T contains the first block column of an s.p.d.
block Toeplitz matrix; the Cholesky factor is
lower triangular. 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'.
TRIU CHARACTER*1
Specifies the structure of the last block in T, as
follows:
= 'N': the last block has no special structure;
= 'T': the last block is lower / upper triangular.
</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 >= 1.
If TRIU = 'N', N >= 1;
if TRIU = 'T', N >= 2.
NL (input) INTEGER
The lower block bandwidth, i.e., NL + 1 is the number of
nonzero blocks in the first block column of the block
Toeplitz matrix.
If TRIU = 'N', 0 <= NL < N;
if TRIU = 'T', 1 <= NL < N.
P (input) INTEGER
The number of previously computed block rows / columns of
the Cholesky factor. 0 <= P <= N.
S (input) INTEGER
The number of block rows / columns of the Cholesky factor
to compute. 0 <= S <= N - P.
T (input/output) DOUBLE PRECISION array, dimension
(LDT,(NL+1)*K) / (LDT,K)
On entry, if P = 0, the leading K-by-(NL+1)*K /
(NL+1)*K-by-K part of this array must contain the first
block row / column of an s.p.d. block Toeplitz matrix.
On entry, if P > 0, the leading K-by-(NL+1)*K /
(NL+1)*K-by-K part of this array must contain the P-th
block row / column of the Cholesky factor.
On exit, if INFO = 0, then the leading K-by-(NL+1)*K /
(NL+1)*K-by-K part of this array contains the (P+S)-th
block row / column of the Cholesky factor.
LDT INTEGER
The leading dimension of the array T.
LDT >= MAX(1,K) / MAX(1,(NL+1)*K).
RB (input/output) DOUBLE PRECISION array, dimension
(LDRB,MIN(P+NL+S,N)*K) / (LDRB,MIN(P+S,N)*K)
On entry, if TYPET = 'R' and TRIU = 'N' and P > 0,
the leading (NL+1)*K-by-MIN(NL,N-P)*K part of this array
must contain the (P*K+1)-st to ((P+NL)*K)-th columns
of the upper Cholesky factor in banded format from a
previous call of this routine.
On entry, if TYPET = 'R' and TRIU = 'T' and P > 0,
the leading (NL*K+1)-by-MIN(NL,N-P)*K part of this array
must contain the (P*K+1)-st to (MIN(P+NL,N)*K)-th columns
of the upper Cholesky factor in banded format from a
previous call of this routine.
On exit, if TYPET = 'R' and TRIU = 'N', the leading
(NL+1)*K-by-MIN(NL+S,N-P)*K part of this array contains
the (P*K+1)-st to (MIN(P+NL+S,N)*K)-th columns of the
upper Cholesky factor in banded format.
On exit, if TYPET = 'R' and TRIU = 'T', the leading
(NL*K+1)-by-MIN(NL+S,N-P)*K part of this array contains
the (P*K+1)-st to (MIN(P+NL+S,N)*K)-th columns of the
upper Cholesky factor in banded format.
On exit, if TYPET = 'C' and TRIU = 'N', the leading
(NL+1)*K-by-MIN(S,N-P)*K part of this array contains
the (P*K+1)-st to (MIN(P+S,N)*K)-th columns of the lower
Cholesky factor in banded format.
On exit, if TYPET = 'C' and TRIU = 'T', the leading
(NL*K+1)-by-MIN(S,N-P)*K part of this array contains
the (P*K+1)-st to (MIN(P+S,N)*K)-th columns of the lower
Cholesky factor in banded format.
For further details regarding the band storage scheme see
the documentation of the LAPACK routine DPBTF2.
LDRB INTEGER
The leading dimension of the array RB.
If TRIU = 'N', LDRB >= MAX( (NL+1)*K,1 );
if TRIU = 'T', LDRB >= NL*K+1.
</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 = -13, DWORK(1) returns the minimum
value of LDWORK.
The first 1 + ( NL + 1 )*K*K elements of DWORK should be
preserved during successive calls of the routine.
LDWORK INTEGER
The length of the array DWORK.
LDWORK >= 1 + ( NL + 1 )*K*K + NL*K.
For optimum performance LDWORK should be larger.
If LDWORK = -1, then a workspace query is assumed;
the routine only calculates the optimal size of the
DWORK array, returns this value as the first entry of
the DWORK array, and no error message related to LDWORK
is issued by XERBLA.
</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
The algorithm requires O( K *N*NL ) 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>
* MB02GD EXAMPLE PROGRAM TEXT
*
* .. Parameters ..
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER KMAX, NMAX, NLMAX
PARAMETER ( KMAX = 20, NMAX = 20, NLMAX = 20 )
INTEGER LDRB, LDT, LDWORK
PARAMETER ( LDRB = ( NLMAX + 1 )*KMAX, LDT = KMAX*NMAX,
$ LDWORK = ( NLMAX + 1 )*KMAX*KMAX +
$ ( 3 + NLMAX )*KMAX )
* .. Local Scalars ..
INTEGER I, J, INFO, K, M, N, NL, SIZR
CHARACTER TRIU, TYPET
* .. Local Arrays dimensioned for TYPET = 'R' ..
DOUBLE PRECISION DWORK(LDWORK), RB(LDRB, NMAX*KMAX),
$ T(LDT, NMAX*KMAX)
* .. External Functions ..
LOGICAL LSAME
EXTERNAL LSAME
* .. External Subroutines ..
EXTERNAL MB02GD
*
* .. Executable Statements ..
WRITE ( NOUT, FMT = 99999 )
* Skip the heading in the data file and read the data.
READ ( NIN, FMT = '()' )
READ ( NIN, FMT = * ) K, N, NL, TRIU
TYPET = 'R'
M = ( NL + 1 )*K
IF( N.LE.0 .OR. N.GT.NMAX ) THEN
WRITE ( NOUT, FMT = 99995 ) N
ELSE IF( NL.LE.0 .OR. NL.GT.NLMAX ) THEN
WRITE ( NOUT, FMT = 99994 ) NL
ELSE IF( K.LE.0 .OR. K.GT.KMAX ) THEN
WRITE ( NOUT, FMT = 99993 ) K
ELSE
READ ( NIN, FMT = * ) ( ( T(I,J), J = 1,M ), I = 1,K )
* Compute the banded Cholesky factor.
CALL MB02GD( TYPET, TRIU, K, N, NL, 0, N, T, LDT, RB, LDRB,
$ DWORK, LDWORK, INFO )
*
IF ( INFO.NE.0 ) THEN
WRITE ( NOUT, FMT = 99998 ) INFO
ELSE
WRITE ( NOUT, FMT = 99997 )
IF ( LSAME( TRIU, 'T' ) ) THEN
SIZR = NL*K + 1
ELSE
SIZR = ( NL + 1 )*K
END IF
DO 10 I = 1, SIZR
WRITE ( NOUT, FMT = 99996 ) ( RB(I,J), J = 1, N*K )
10 CONTINUE
END IF
END IF
STOP
*
99999 FORMAT (' MB02GD EXAMPLE PROGRAM RESULTS',/1X)
99998 FORMAT (' INFO on exit from MB02GD = ',I2)
99997 FORMAT (/' The upper Cholesky factor in banded storage format ')
99996 FORMAT (20(1X,F8.4))
99995 FORMAT (/' N is out of range.',/' N = ',I5)
99994 FORMAT (/' NL is out of range.',/' NL = ',I5)
99993 FORMAT (/' K is out of range.',/' K = ',I5)
END
</PRE>
<B>Program Data</B>
<PRE>
MB02GD EXAMPLE PROGRAM DATA
2 4 2 T
3.0000 1.0000 0.1000 0.4000 0.2000 0.0000
0.0000 4.0000 0.1000 0.1000 0.0500 0.2000
</PRE>
<B>Program Results</B>
<PRE>
MB02GD EXAMPLE PROGRAM RESULTS
The upper Cholesky factor in banded storage format
0.0000 0.0000 0.0000 0.0000 0.1155 0.1044 0.1156 0.1051
0.0000 0.0000 0.0000 0.2309 -0.0087 0.2290 -0.0084 0.2302
0.0000 0.0000 0.0577 -0.0174 0.0541 -0.0151 0.0544 -0.0159
0.0000 0.5774 0.0348 0.5704 0.0222 0.5725 0.0223 0.5724
1.7321 1.9149 1.7307 1.9029 1.7272 1.8996 1.7272 1.8995
</PRE>
<HR>
<p>
<A HREF=..\libindex.html><B>Return to index</B></A></BODY>
</HTML>
|
