SG03BX - SLICOT Library Routine Documentation

## SG03BX

### Solving (for Cholesky factor) generalized stable 2-by-2 continuous- or discrete-time Lyapunov equations, with pencil A - lambda E having complex conjugate eigenvalues (E upper triangular)

[Specification] [Arguments] [Method] [References] [Comments] [Example]

Purpose

      To solve for X = op(U)**T * op(U) either the generalized c-stable
      continuous-time Lyapunov equation

              T                    T
         op(A)  * X * op(E) + op(E)  * X * op(A)

                  2        T
         = - SCALE  * op(B)  * op(B),                                (1)

      or the generalized d-stable discrete-time Lyapunov equation

              T                    T
         op(A)  * X * op(A) - op(E)  * X * op(E)

                  2        T
         = - SCALE  * op(B)  * op(B),                                (2)

      where op(K) is either K or K**T for K = A, B, E, U. The Cholesky
      factor U of the solution is computed without first finding X.

      Furthermore, the auxiliary matrices

                                    -1        -1
         M1 := op(U) * op(A) * op(E)   * op(U)

                            -1        -1
         M2 := op(B) * op(E)   * op(U)

      are computed in a numerically reliable way.

      The matrices A, B, E, M1, M2, and U are real 2-by-2 matrices. The
      pencil A - lambda * E must have a pair of complex conjugate
      eigenvalues. The eigenvalues must be in the open right half plane
      (in the continuous-time case) or inside the unit circle (in the
      discrete-time case). The matrices E and B are upper triangular.

      The resulting matrix U is upper triangular. The entries on its
      main diagonal are non-negative. SCALE is an output scale factor
      set to avoid overflow in U.

Specification

          SUBROUTINE SG03BX( DICO, TRANS, A, LDA, E, LDE, B, LDB, U, LDU,
         $                   SCALE, M1, LDM1, M2, LDM2, INFO )
    C     .. Scalar Arguments ..
          CHARACTER         DICO, TRANS
          DOUBLE PRECISION  SCALE
          INTEGER           INFO, LDA, LDB, LDE, LDM1, LDM2, LDU
    C     .. Array Arguments ..
          DOUBLE PRECISION  A(LDA,*), B(LDB,*), E(LDE,*), M1(LDM1,*),
         $                  M2(LDM2,*), U(LDU,*)

Arguments

Mode Parameters

      DICO    CHARACTER*1
              Specifies whether the continuous-time or the discrete-time
              equation is to be solved:
              = 'C':  Solve continuous-time equation (1);
              = 'D':  Solve discrete-time equation (2).

      TRANS   CHARACTER*1
              Specifies whether the transposed equation is to be solved
              or not:
              = 'N':  op(K) = K,     K = A, B, E, U;
              = 'T':  op(K) = K**T,  K = A, B, E, U.

Input/Output Parameters

      A       (input) DOUBLE PRECISION array, dimension (LDA,2)
              The leading 2-by-2 part of this array must contain the
              matrix A.

      LDA     INTEGER
              The leading dimension of the array A.  LDA >= 2.

      E       (input) DOUBLE PRECISION array, dimension (LDE,2)
              The leading 2-by-2 upper triangular part of this array
              must contain the matrix E.

      LDE     INTEGER
              The leading dimension of the array E.  LDE >= 2.

      B       (input) DOUBLE PRECISION array, dimension (LDB,2)
              The leading 2-by-2 upper triangular part of this array
              must contain the matrix B.

      LDB     INTEGER
              The leading dimension of the array B.  LDB >= 2.

      U       (output) DOUBLE PRECISION array, dimension (LDU,2)
              The leading 2-by-2 part of this array contains the upper
              triangular matrix U.

      LDU     INTEGER
              The leading dimension of the array U.  LDU >= 2.

      SCALE   (output) DOUBLE PRECISION
              The scale factor set to avoid overflow in U.
              0 < SCALE <= 1.

      M1      (output) DOUBLE PRECISION array, dimension (LDM1,2)
              The leading 2-by-2 part of this array contains the
              matrix M1.

      LDM1    INTEGER
              The leading dimension of the array M1.  LDM1 >= 2.

      M2      (output) DOUBLE PRECISION array, dimension (LDM2,2)
              The leading 2-by-2 part of this array contains the
              matrix M2.

      LDM2    INTEGER
              The leading dimension of the array M2.  LDM2 >= 2.

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              = 2:  the eigenvalues of the pencil A - lambda * E are not
                    a pair of complex conjugate numbers;
              = 3:  the eigenvalues of the pencil A - lambda * E are
                    not in the open right half plane (in the continuous-
                    time case) or inside the unit circle (in the
                    discrete-time case);
              = 4:  the LAPACK routine ZSTEIN utilized to factorize M3
                    (see SLICOT Library routine SG03BS) failed to
                    converge. This error is unlikely to occur.

Method

      The method used by the routine is based on a generalization of the
      method due to Hammarling ([1], section 6) for Lyapunov equations
      of order 2. A more detailed description is given in [2].

References

      [1] Hammarling, S.J.
          Numerical solution of the stable, non-negative definite
          Lyapunov equation.
          IMA J. Num. Anal., 2, pp. 303-323, 1982.

      [2] Penzl, T.
          Numerical solution of generalized Lyapunov equations.
          Advances in Comp. Math., vol. 8, pp. 33-48, 1998.

Further Comments

      If the solution matrix U is singular, the matrices M1 and M2 are
      properly set (see [1], equation (6.21)).

Example

Program Text

      None

Program Data

      None

Program Results

      None

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