SG03BW - SLICOT Library Routine Documentation

## SG03BW

### Solving a generalized Sylvester equation, with A quasi-triangular, and E upper triangular, for an m-by-n matrix X, 1 <= n <= 2

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

Purpose

      To solve for X the generalized Sylvester equation

          T            T
         A  * X * C + E  * X * D  =  SCALE * Y,                      (1)

      or the transposed equation

                  T            T
         A * X * C  + E * X * D   =  SCALE * Y,                      (2)

      where A and E are real M-by-M matrices, C and D are real N-by-N
      matrices, X and Y are real M-by-N matrices. N is either 1 or 2.
      The pencil A - lambda * E must be in generalized real Schur form
      (A upper quasitriangular, E upper triangular). SCALE is an output
      scale factor, set to avoid overflow in X.

Specification

          SUBROUTINE SG03BW( TRANS, M, N, A, LDA, C, LDC, E, LDE, D, LDD, X,
         $                   LDX, SCALE, INFO )
    C     .. Scalar Arguments ..
          CHARACTER         TRANS
          DOUBLE PRECISION  SCALE
          INTEGER           INFO, LDA, LDC, LDD, LDE, LDX, M, N
    C     .. Array Arguments ..
          DOUBLE PRECISION  A(LDA,*), C(LDC,*), D(LDD,*), E(LDE,*), X(LDX,*)

Arguments

Mode Parameters

      TRANS   CHARACTER*1
              Specifies whether the transposed equation is to be solved
              or not:
              = 'N':  Solve equation (1);
              = 'T':  Solve equation (2).

Input/Output Parameters

      M       (input) INTEGER
              The order of the matrices A and E.  M >= 0.

      N       (input) INTEGER
              The order of the matrices C and D.  N = 1 or N = 2.

      A       (input) DOUBLE PRECISION array, dimension (LDA,M)
              The leading M-by-M part of this array must contain the
              upper quasitriangular matrix A. The elements below the
              upper Hessenberg part are not referenced.

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

      C       (input) DOUBLE PRECISION array, dimension (LDC,N)
              The leading N-by-N part of this array must contain the
              matrix C.

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

      E       (input) DOUBLE PRECISION array, dimension (LDE,M)
              The leading M-by-M part of this array must contain the
              upper triangular matrix E. The elements below the main
              diagonal are not referenced.

      LDE     INTEGER
              The leading dimension of the array E.  LDE >= MAX(1,M).

      D       (input) DOUBLE PRECISION array, dimension (LDD,N)
              The leading N-by-N part of this array must contain the
              matrix D.

      LDD     INTEGER
              The leading dimension of the array D.  LDD >= MAX(1,N).

      X       (input/output) DOUBLE PRECISION array, dimension (LDX,N)
              On entry, the leading M-by-N part of this array must
              contain the right hand side matrix Y.
              On exit, the leading M-by-N part of this array contains
              the solution matrix X.

      LDX     INTEGER
              The leading dimension of the array X.  LDX >= MAX(1,M).

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

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              < 0:  if INFO = -i, the i-th argument had an illegal
                    value;
              = 1:  the generalized Sylvester equation is (nearly)
                    singular to working precision;  perturbed values
                    were used to solve the equation (but the matrices
                    A, C, D, and E are unchanged).

Method

      The method used by the routine is based on a generalization of the
      algorithm due to Bartels and Stewart [1]. See also [2] and [3] for
      details.

References

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

      [2] Gardiner, J.D., Laub, A.J., Amato, J.J., Moler, C.B.
          Solution of the Sylvester Matrix Equation
          A X B**T + C X D**T = E.
          A.C.M. Trans. Math. Soft., vol. 18, no. 2, pp. 223-231, 1992.

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

Numerical Aspects

      The routine requires about 2 * N * M**2 flops. Note that we count
      a single floating point arithmetic operation as one flop.

      The algorithm is backward stable if the eigenvalues of the pencil
      A - lambda * E are real. Otherwise, linear systems of order at
      most 4 are involved into the computation. These systems are solved
      by Gauss elimination with complete pivoting. The loss of stability
      of the Gauss elimination with complete pivoting is rarely
      encountered in practice.

Further Comments

      When near singularity is detected, perturbed values are used
      to solve the equation (but the given matrices are unchanged).

Example

Program Text

      None

Program Data

      None

Program Results

      None

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