SB03SY - SLICOT Library Routine Documentation

## SB03SY

### Estimating separation between op(A) and op(A)' and 1-norm of Theta operator for a discrete-time Lyapunov equation

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

Purpose

      To estimate the "separation" between the matrices op(A) and
      op(A)',

      sepd(op(A),op(A)') = min norm(op(A)'*X*op(A) - X)/norm(X)
                         = 1 / norm(inv(Omega))

      and/or the 1-norm of Theta, where op(A) = A or A' (A**T), and
      Omega and Theta are linear operators associated to the real
      discrete-time Lyapunov matrix equation

             op(A)'*X*op(A) - X = C,

      defined by

      Omega(W) = op(A)'*W*op(A) - W,
      Theta(W) = inv(Omega(op(W)'*X*op(A) + op(A)'*X*op(W))).

      The 1-norm condition estimators are used.

Specification

          SUBROUTINE SB03SY( JOB, TRANA, LYAPUN, N, T, LDT, U, LDU, XA,
         $                   LDXA, SEPD, THNORM, IWORK, DWORK, LDWORK,
         $                   INFO )
    C     .. Scalar Arguments ..
          CHARACTER          JOB, LYAPUN, TRANA
          INTEGER            INFO, LDT, LDU, LDWORK, LDXA, N
          DOUBLE PRECISION   SEPD, THNORM
    C     .. Array Arguments ..
          INTEGER            IWORK( * )
          DOUBLE PRECISION   DWORK( * ), T( LDT, * ), U( LDU, * ),
         $                   XA( LDXA, * )

Arguments

Mode Parameters

      JOB     CHARACTER*1
              Specifies the computation to be performed, as follows:
              = 'S':  Compute the separation only;
              = 'T':  Compute the norm of Theta only;
              = 'B':  Compute both the separation and the norm of Theta.

      TRANA   CHARACTER*1
              Specifies the form of op(A) to be used, as follows:
              = 'N':  op(A) = A    (No transpose);
              = 'T':  op(A) = A**T (Transpose);
              = 'C':  op(A) = A**T (Conjugate transpose = Transpose).

      LYAPUN  CHARACTER*1
              Specifies whether or not the original Lyapunov equations
              should be solved, as follows:
              = 'O':  Solve the original Lyapunov equations, updating
                      the right-hand sides and solutions with the
                      matrix U, e.g., X <-- U'*X*U;
              = 'R':  Solve reduced Lyapunov equations only, without
                      updating the right-hand sides and solutions.

Input/Output Parameters

      N       (input) INTEGER
              The order of the matrices A and X.  N >= 0.

      T       (input) DOUBLE PRECISION array, dimension (LDT,N)
              The leading N-by-N upper Hessenberg part of this array
              must contain the upper quasi-triangular matrix T in Schur
              canonical form from a Schur factorization of A.

      LDT     INTEGER
              The leading dimension of array T.  LDT >= MAX(1,N).

      U       (input) DOUBLE PRECISION array, dimension (LDU,N)
              The leading N-by-N part of this array must contain the
              orthogonal matrix U from a real Schur factorization of A.
              If LYAPUN = 'R', the array U is not referenced.

      LDU     INTEGER
              The leading dimension of array U.
              LDU >= 1,        if LYAPUN = 'R';
              LDU >= MAX(1,N), if LYAPUN = 'O'.

      XA      (input) DOUBLE PRECISION array, dimension (LDXA,N)
              The leading N-by-N part of this array must contain the
              matrix product X*op(A), if LYAPUN = 'O', or U'*X*U*op(T),
              if LYAPUN = 'R', in the Lyapunov equation.
              If JOB = 'S', the array XA is not referenced.

      LDXA    INTEGER
              The leading dimension of array XA.
              LDXA >= 1,        if JOB = 'S';
              LDXA >= MAX(1,N), if JOB = 'T' or 'B'.

      SEPD    (output) DOUBLE PRECISION
              If JOB = 'S' or JOB = 'B', and INFO >= 0, SEPD contains
              the estimated quantity sepd(op(A),op(A)').
              If JOB = 'T' or N = 0, SEPD is not referenced.

      THNORM  (output) DOUBLE PRECISION
              If JOB = 'T' or JOB = 'B', and INFO >= 0, THNORM contains
              the estimated 1-norm of operator Theta.
              If JOB = 'S' or N = 0, THNORM is not referenced.

Workspace

      IWORK   INTEGER array, dimension (N*N)

      DWORK   DOUBLE PRECISION array, dimension (LDWORK)

      LDWORK  INTEGER
              The length of the array DWORK.
              LDWORK >= 0,            if N = 0;
              LDWORK >= MAX(3,2*N*N), if N > 0.

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              < 0:  if INFO = -i, the i-th argument had an illegal
                    value;
              = N+1:  if T has (almost) reciprocal eigenvalues;
                    perturbed values were used to solve Lyapunov
                    equations (but the matrix T is unchanged).

Method

      SEPD is defined as

             sepd( op(A), op(A)' ) = sigma_min( K )

      where sigma_min(K) is the smallest singular value of the
      N*N-by-N*N matrix

         K = kprod( op(A)', op(A)' ) - I(N**2).

      I(N**2) is an N*N-by-N*N identity matrix, and kprod denotes the
      Kronecker product. The routine estimates sigma_min(K) by the
      reciprocal of an estimate of the 1-norm of inverse(K), computed as
      suggested in [1]. This involves the solution of several discrete-
      time Lyapunov equations, either direct or transposed. The true
      reciprocal 1-norm of inverse(K) cannot differ from sigma_min(K) by
      more than a factor of N.
      The 1-norm of Theta is estimated similarly.

References

      [1] Higham, N.J.
          FORTRAN codes for estimating the one-norm of a real or
          complex matrix, with applications to condition estimation.
          ACM Trans. Math. Softw., 14, pp. 381-396, 1988.

Numerical Aspects

                                3
      The algorithm requires 0(N ) operations.

Further Comments

      When SEPD is zero, the routine returns immediately, with THNORM
      (if requested) not set. In this case, the equation is singular.
      The option LYAPUN = 'R' may occasionally produce slightly worse
      or better estimates, and it is much faster than the option 'O'.

Example

Program Text

      None

Program Data

      None

Program Results

      None

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