MB03RW - SLICOT Library Routine Documentation

## MB03RW

### Solution of a Sylvester equation -AX + XB = C, with A and B in complex Schur form, aborting the computations when the norm of X is too large

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

Purpose

      To solve the Sylvester equation -AX + XB = C, where A and B are
      complex M-by-M and N-by-N matrices, respectively, in Schur form.

      This routine is intended to be called only by SLICOT Library
      routine MB03RZ. For efficiency purposes, the computations are
      aborted when the absolute value of an element of X is greater than
      a given value PMAX.

Specification

          SUBROUTINE MB03RW( M, N, PMAX, A, LDA, B, LDB, C, LDC, INFO )
    C     .. Scalar Arguments ..
          INTEGER           INFO, LDA, LDB, LDC, M, N
          DOUBLE PRECISION  PMAX
    C     .. Array Arguments ..
          COMPLEX*16        A(LDA,*), B(LDB,*), C(LDC,*)

Arguments

Input/Output Parameters

      M       (input) INTEGER
              The order of the matrix A and the number of rows of the
              matrices C and X.  M >= 0.

      N       (input) INTEGER
              The order of the matrix B and the number of columns of the
              matrices C and X.  N >= 0.

      PMAX    (input) DOUBLE PRECISION
              An upper bound for the absolute value of the elements of X
              (see METHOD).

      A       (input) COMPLEX*16 array, dimension (LDA,M)
              The leading M-by-M upper triangular part of this array
              must contain the matrix A of the Sylvester equation.
              The elements below the diagonal are not referenced.

      LDA     INTEGER
              The leading dimension of array A.  LDA >= MAX(1,M).

      B       (input) COMPLEX*16 array, dimension (LDB,N)
              The leading N-by-N upper triangular part of this array
              must contain the matrix B of the Sylvester equation.
              The elements below the diagonal are not referenced.

      LDB     INTEGER
              The leading dimension of array B.  LDB >= MAX(1,N).

      C       (input/output) COMPLEX*16 array, dimension (LDC,N)
              On entry, the leading M-by-N part of this array must
              contain the matrix C of the Sylvester equation.
              On exit, if INFO = 0, the leading M-by-N part of this
              array contains the solution matrix X of the Sylvester
              equation, and each element of X (see METHOD) has the
              absolute value less than or equal to PMAX.
              On exit, if INFO = 1, the solution matrix X has not been
              computed completely, because an element of X had the
              absolute value greater than PMAX. Part of the matrix C has
              possibly been overwritten with the corresponding part
              of X.

      LDC     INTEGER
              The leading dimension of array C.  LDC >= MAX(1,M).

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              = 1:  an element of X had the absolute value greater than
                    the given value PMAX.
              = 2:  A and B have common or very close eigenvalues;
                    perturbed values were used to solve the equation
                    (but the matrices A and B are unchanged). This is a
                    warning.

Method

      The routine uses an adaptation of the standard method for solving
      Sylvester equations [1], which controls the magnitude of the
      individual elements of the computed solution [2]. The equation
      -AX + XB = C can be rewritten as
                                   m            l-1
        -A  X   + X  B   = C   +  sum  A  X   - sum  X  B
          kk kl    kl ll    kl   i=k+1  ki il   j=1   kj jl

      for l = 1:n, and k = m:-1:1, where A  , B  , C  , and X  , are the
                                          kk   ll   kl       kl
      elements defined by the partitioning induced by the Schur form
      of A and B. So, the elements of X are found column by column,
      starting from the bottom. If any such element has the absolute
      value greater than the given value PMAX, the calculations are
      ended.

References

      [1] Bartels, R.H. and Stewart, G.W.  T
          Solution of the matrix equation A X + XB = C.
          Comm. A.C.M., 15, pp. 820-826, 1972.

      [2] Bavely, C. and Stewart, G.W.
          An Algorithm for Computing Reducing Subspaces by Block
          Diagonalization.
          SIAM J. Numer. Anal., 16, pp. 359-367, 1979.

Numerical Aspects

                                2      2
      The algorithm requires 0(M N + MN ) operations.

Further Comments

      Let

             ( A   C )       ( I   X )
         M = (       ),  Y = (       ).
             ( 0   B )       ( 0   I )

      Then

          -1      ( A   0 )
         Y  M Y = (       ),
                  ( 0   B )

      hence Y is a non-unitary transformation matrix which performs the
      reduction of M to a block-diagonal form. Bounding a norm of X is
      equivalent to setting an upper bound to the condition number of
      the transformation matrix Y.

Example

Program Text

      None

Program Data

      None

Program Results

      None

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