BB02AD - SLICOT Library Routine Documentation

## BB02AD

### Benchmark examples for discrete-time algebraic Riccati equations

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

Purpose

      To generate the benchmark examples for the numerical solution of
      discrete-time algebraic Riccati equations (DAREs) of the form

             T                T               T    -1  T       T
      0  =  A X A  -  X  -  (A X B + S) (R + B X B)  (B X A + S )  +  Q

      as presented in [1]. Here, A,Q,X are real N-by-N matrices, B,S are
      N-by-M, and R is M-by-M. The matrices Q and R are symmetric and Q
      may be given in factored form

                    T
      (I)    Q  =  C Q0 C .

      Here, C is P-by-N and Q0 is P-by-P. If R is nonsingular and S = 0,
      the DARE can be rewritten equivalently as

                   T             -1
      0  =  X  -  A X (I_n + G X)  A  -  Q,

      where I_n is the N-by-N identity matrix and

                    -1  T
      (II)   G = B R   B .

Specification

          SUBROUTINE BB02AD(DEF, NR, DPAR, IPAR, BPAR, CHPAR, VEC, N, M, P,
         1                  A, LDA, B, LDB, C, LDC, Q, LDQ, R, LDR, S, LDS,
         2                  X, LDX, DWORK, LDWORK, INFO)
    C     .. Scalar Arguments ..
          INTEGER          INFO, LDA, LDB, LDC, LDQ, LDR, LDS, LDWORK, LDX,
         $                 M, N, P
          CHARACTER        DEF
    C     .. Array Arguments ..
          DOUBLE PRECISION A(LDA,*), B(LDB,*), C(LDC,*), DPAR(*), DWORK(*),
         1                 Q(*), R(*), S(LDS,*), X(LDX,*)
          INTEGER          IPAR(3), NR(2)
          CHARACTER        CHPAR*255
          LOGICAL          BPAR(7), VEC(10)

Arguments

Mode Parameters

      DEF     CHARACTER
              This parameter specifies if the default parameters are
              to be used or not.
              = 'N' or 'n' : The parameters given in the input vectors
                             xPAR (x = 'D', 'I', 'B', 'CH') are used.
              = 'D' or 'd' : The default parameters for the example
                             are used.
              This parameter is not meaningful if NR(1) = 1.

Input/Output Parameters

      NR      (input) INTEGER array, dimension (2)
              This array determines the example for which DAREX returns
              data. NR(1) is the group of examples.
              NR(1) = 1 : parameter-free problems of fixed size.
              NR(1) = 2 : parameter-dependent problems of fixed size.
              NR(1) = 3 : parameter-free problems of scalable size.
              NR(1) = 4 : parameter-dependent problems of scalable size.
              NR(2) is the number of the example in group NR(1).
              Let NEXi be the number of examples in group i. Currently,
              NEX1 = 13, NEX2 = 5, NEX3 = 0, NEX4 = 1.
              1 <= NR(1) <= 4;
              0 <= NR(2) <= NEXi, where i = NR(1).

      DPAR    (input/output) DOUBLE PRECISION array, dimension (4)
              Double precision parameter vector. For explanation of the
              parameters see [1].
              DPAR(1) defines the parameter 'epsilon' for
              examples NR = 2.2,2.3,2.4, the parameter 'tau'
              for NR = 2.5, and the 1-by-1 matrix R for NR = 2.1,4.1.
              For Example 2.5, DPAR(2) - DPAR(4) define in
              consecutive order 'D', 'K', and 'r'.
              NOTE that DPAR is overwritten with default values
              if DEF = 'D' or 'd'.

      IPAR    (input/output) INTEGER array, dimension (3)
              On input, IPAR(1) determines the actual state dimension,
              i.e., the order of the matrix A as follows:
              NR(1) = 1, NR(1) = 2   : IPAR(1) is ignored.
              NR = NR(1).NR(2) = 4.1 : IPAR(1) determines the order of
                                       the output matrix A.
              NOTE that IPAR(1) is overwritten for Examples 1.1-2.3. For
              the other examples, IPAR(1) is overwritten if the default
              parameters are to be used.
              On output, IPAR(1) contains the order of the matrix A.

              On input, IPAR(2) is the number of colums in the matrix B
              and the order of the matrix R (in control problems, the
              number of inputs of the system). Currently, IPAR(2) is
              fixed for all examples and thus is not referenced on
              input.
              On output, IPAR(2) is the number of columns of the
              matrix B from (I).

              On input, IPAR(3) is the number of rows in the matrix C
              (in control problems, the number of outputs of the
              system). Currently, IPAR(3) is fixed for all examples
              and thus is not referenced on input.
              On output, IPAR(3) is the number of rows of the matrix C
              from (I).

              NOTE that IPAR(2) and IPAR(3) are overwritten and
              IPAR(2) <= IPAR(1) and IPAR(3) <= IPAR(1) for all
              examples.

      BPAR    (input) LOGICAL array, dimension (7)
              This array defines the form of the output of the examples
              and the storage mode of the matrices Q, G or R.
              BPAR(1) = .TRUE.  : Q is returned.
              BPAR(1) = .FALSE. : Q is returned in factored form, i.e.,
                                  Q0 and C from (I) are returned.
              BPAR(2) = .TRUE.  : The matrix returned in array Q (i.e.,
                                  Q if BPAR(1) = .TRUE. and Q0 if
                                  BPAR(1) = .FALSE.) is stored as full
                                  matrix.
              BPAR(2) = .FALSE. : The matrix returned in array Q is
                                  provided in packed storage mode.
              BPAR(3) = .TRUE.  : If BPAR(2) = .FALSE., the matrix
                                  returned in array Q is stored in upper
                                  packed mode, i.e., the upper triangle
                                  of a symmetric n-by-n matrix is stored
                                  by columns, e.g., the matrix entry
                                  Q(i,j) is stored in the array entry
                                  Q(i+j*(j-1)/2) for i <= j.
                                  Otherwise, this entry is ignored.
              BPAR(3) = .FALSE. : If BPAR(2) = .FALSE., the matrix
                                  returned in array Q is stored in lower
                                  packed mode, i.e., the lower triangle
                                  of a symmetric n-by-n matrix is stored
                                  by columns, e.g., the matrix entry
                                  Q(i,j) is stored in the array entry
                                  Q(i+(2*n-j)*(j-1)/2) for j <= i.
                                  Otherwise, this entry is ignored.
              BPAR(4) = .TRUE.  : The product G in (II) is returned.
              BPAR(4) = .FALSE. : G is returned in factored form, i.e.,
                                  B and R from (II) are returned.
              BPAR(5) = .TRUE.  : The matrix returned in array R (i.e.,
                                  G if BPAR(4) = .TRUE. and R if
                                  BPAR(4) = .FALSE.) is stored as full
                                  matrix.
              BPAR(5) = .FALSE. : The matrix returned in array R is
                                  provided in packed storage mode.
              BPAR(6) = .TRUE.  : If BPAR(5) = .FALSE., the matrix
                                  returned in array R is stored in upper
                                  packed mode (see above).
                                  Otherwise, this entry is ignored.
              BPAR(6) = .FALSE. : If BPAR(5) = .FALSE., the matrix
                                  returned in array R is stored in lower
                                  packed mode (see above).
                                  Otherwise, this entry is ignored.
              BPAR(7) = .TRUE.  : The coefficient matrix S of the DARE
                                  is returned in array S.
              BPAR(7) = .FALSE. : The coefficient matrix S of the DARE
                                  is not returned.
              NOTE that there are no default values for BPAR.  If all
              entries are declared to be .TRUE., then matrices Q, G or R
              are returned in conventional storage mode, i.e., as
              N-by-N or M-by-M arrays where the array element Z(I,J)
              contains the matrix entry Z_{i,j}.

      CHPAR   (output) CHARACTER*255
              On output, this string contains short information about
              the chosen example.

      VEC     (output) LOGICAL array, dimension (10)
              Flag vector which displays the availability of the output
              data:
              VEC(j), j=1,2,3, refer to N, M, and P, respectively, and
              are always .TRUE.
              VEC(4) refers to A and is always .TRUE.
              VEC(5) is .TRUE. if BPAR(4) = .FALSE., i.e., the factors B
              and R from (II) are returned.
              VEC(6) is .TRUE. if BPAR(1) = .FALSE., i.e., the factors C
              and Q0 from (I) are returned.
              VEC(7) refers to Q and is always .TRUE.
              VEC(8) refers to R and is always .TRUE.
              VEC(9) is .TRUE. if BPAR(7) = .TRUE., i.e., the matrix S
              is returned.
              VEC(10) refers to X and is .TRUE. if the exact solution
              matrix is available.
              NOTE that VEC(i) = .FALSE. for i = 1 to 10 if on exit
              INFO .NE. 0.

      N       (output) INTEGER
              The order of the matrices A, X, G if BPAR(4) = .TRUE., and
              Q if BPAR(1) = .TRUE.

      M       (output) INTEGER
              The number of columns in the matrix B (or the dimension of
              the control input space of the underlying dynamical
              system).

      P       (output) INTEGER
              The number of rows in the matrix C (or the dimension of
              the output space of the underlying dynamical system).

      A       (output) DOUBLE PRECISION array, dimension (LDA,N)
              The leading N-by-N part of this array contains the
              coefficient matrix A of the DARE.

      LDA     INTEGER
              The leading dimension of array A.  LDA >= N.

      B       (output) DOUBLE PRECISION array, dimension (LDB,M)
              If (BPAR(4) = .FALSE.), then the leading N-by-M part
              of this array contains the coefficient matrix B of
              the DARE.  Otherwise, B is used as workspace.

      LDB     INTEGER
              The leading dimension of array B.  LDB >= N.

      C       (output) DOUBLE PRECISION array, dimension (LDC,N)
              If (BPAR(1) = .FALSE.), then the leading P-by-N part
              of this array contains the matrix C of the factored
              form (I) of Q.  Otherwise, C is used as workspace.

      LDC     INTEGER
              The leading dimension of array C.  LDC >= P.

      Q       (output) DOUBLE PRECISION array, dimension (NQ)
              If (BPAR(1) = .TRUE.) and (BPAR(2) = .TRUE.), then
              NQ = LDQ*N.
              IF (BPAR(1) = .TRUE.) and (BPAR(2) = .FALSE.), then
              NQ = N*(N+1)/2.
              If (BPAR(1) = .FALSE.) and (BPAR(2) = .TRUE.), then
              NQ = LDQ*P.
              IF (BPAR(1) = .FALSE.) and (BPAR(2) = .FALSE.), then
              NQ = P*(P+1)/2.
              The symmetric matrix contained in array Q is stored
              according to BPAR(2) and BPAR(3).

      LDQ     INTEGER
              If conventional storage mode is used for Q, i.e.,
              BPAR(2) = .TRUE., then Q is stored like a 2-dimensional
              array with leading dimension LDQ. If packed symmetric
              storage mode is used, then LDQ is irrelevant.
              LDQ >= N if BPAR(1) = .TRUE.;
              LDQ >= P if BPAR(1) = .FALSE..

      R       (output) DOUBLE PRECISION array, dimension (MR)
              If (BPAR(4) = .TRUE.) and (BPAR(5) = .TRUE.), then
              MR = LDR*N.
              IF (BPAR(4) = .TRUE.) and (BPAR(5) = .FALSE.), then
              MR = N*(N+1)/2.
              If (BPAR(4) = .FALSE.) and (BPAR(5) = .TRUE.), then
              MR = LDR*M.
              IF (BPAR(4) = .FALSE.) and (BPAR(5) = .FALSE.), then
              MR = M*(M+1)/2.
              The symmetric matrix contained in array R is stored
              according to BPAR(5) and BPAR(6).

      LDR     INTEGER
              If conventional storage mode is used for R, i.e.,
              BPAR(5) = .TRUE., then R is stored like a 2-dimensional
              array with leading dimension LDR. If packed symmetric
              storage mode is used, then LDR is irrelevant.
              LDR >= N  if BPAR(4) =  .TRUE.;
              LDR >= M  if BPAR(4) = .FALSE..

      S       (output) DOUBLE PRECISION array, dimension (LDS,M)
              If (BPAR(7) = .TRUE.), then the leading N-by-M part of
              this array contains the coefficient matrix S of the DARE.

      LDS     INTEGER
              The leading dimension of array S.  LDS >= 1, and
              LDS >= N if BPAR(7) = .TRUE..

      X       (output) DOUBLE PRECISION array, dimension (LDX,NX)
              If an exact solution is available (NR = 1.1,1.3,1.4,2.1,
              2.3,2.4,2.5,4.1), then NX = N and the leading N-by-N part
              of this array contains the solution matrix X.
              Otherwise, X is not referenced.

      LDX     INTEGER
              The leading dimension of array X.  LDX >= 1, and
              LDX >= N if an exact solution is available.

Workspace

      DWORK   DOUBLE PRECISION array, dimension (LDWORK)

      LDWORK  INTEGER
              The length of the array DWORK.  LDWORK >= N*N.

Error Indicator

      INFO    INTEGER
              = 0 : successful exit;
              < 0 : if INFO = -i, the i-th argument had an illegal
                    value;
              = 1 : data file could not be opened or had wrong format;
              = 2 : division by zero;
              = 3 : G can not be computed as in (II) due to a singular R
                    matrix. This error can only occur if
                    BPAR(4) = .TRUE..

References

      [1] Abels, J. and Benner, P.
          DAREX - A Collection of Benchmark Examples for Discrete-Time
          Algebraic Riccati Equations (Version 2.0).
          SLICOT Working Note 1999-16, November 1999. Available from
          http://www.win.tue.nl/niconet/NIC2/reports.html.

      This is an updated and extended version of

      [2] Benner, P., Laub, A.J., and Mehrmann, V.
          A Collection of Benchmark Examples for the Numerical Solution
          of Algebraic Riccati Equations II: Discrete-Time Case.
          Technical Report SPC 95_23, Fak. f. Mathematik,
          TU Chemnitz-Zwickau (Germany), December 1995.

Further Comments

      Some benchmark examples read data from the data files provided
      with the collection.

Example

Program Text

    *     BB02AD EXAMPLE PROGRAM TEXT
    *
    *
    *     .. Parameters ..
          INTEGER          NIN, NOUT
          PARAMETER        ( NIN = 5, NOUT = 6 )
          INTEGER          MMAX, NMAX, PMAX
          PARAMETER        ( MMAX = 100, NMAX = 100, PMAX = 100 )
          INTEGER          LDA, LDB, LDC, LDQ, LDR, LDS, LDX
          PARAMETER        ( LDA = NMAX, LDB = NMAX, LDC = PMAX,
         $                   LDQ = NMAX, LDR = NMAX, LDS = NMAX,
         $                   LDX = NMAX )
          INTEGER          LDWORK
          PARAMETER        ( LDWORK = NMAX*NMAX )
    *     .. Local Scalars ..
          CHARACTER        DEF
          INTEGER          I, INFO, ISYMM, J, LBPAR, LDPAR, LIPAR, M, N, P
    *     .. Local Arrays ..
          DOUBLE PRECISION A(LDA, NMAX), B(LDB,MMAX), C(LDC, NMAX),
         $                 DPAR(4), DWORK(LDWORK), Q(LDQ, NMAX),
         $                 R(LDR, NMAX), S(LDS, NMAX), X(LDX, NMAX)
          INTEGER          IPAR(3), NR(2)
          LOGICAL          BPAR(7), VEC(10)
          CHARACTER        CHPAR(255)
    *     .. External Functions ..
          LOGICAL          LSAME
          EXTERNAL         LSAME
    *     .. External Subroutines ..
          EXTERNAL         BB02AD, MA02DD
    *     .. Executable Statements ..
          WRITE( NOUT, FMT = 99999 )
    *     Skip the heading in the data file and read the data.
          READ( NIN, FMT = '()' )
          READ( NIN, FMT = * ) DEF
          READ( NIN, FMT = * ) ( NR(I), I = 1, 2 )
          IF( LSAME( DEF, 'N' ) ) THEN
            READ( NIN, FMT = * ) LBPAR
            IF( LBPAR.GT.0 ) READ( NIN, FMT = * ) ( BPAR(I), I = 1, LBPAR )
            READ( NIN, FMT = * ) LDPAR
            IF( LDPAR.GT.0 ) READ( NIN, FMT = * ) ( DPAR(I), I = 1, LDPAR )
            READ( NIN, FMT = * ) LIPAR
            IF( LIPAR.GT.0 ) READ( NIN, FMT = * ) ( IPAR(I), I = 1, LIPAR )
          END IF
    *     Generate benchmark example
          CALL BB02AD( DEF, NR, DPAR, IPAR, BPAR, CHPAR, VEC, N, M, P, A,
         $             LDA, B, LDB, C, LDC, Q, LDQ, R, LDR, S, LDS, X, LDX,
         $             DWORK, LDWORK, INFO )
    *
          IF( INFO.NE.0 ) THEN
            WRITE( NOUT, FMT = 99998 ) INFO
          ELSE
            WRITE( NOUT, FMT = * ) CHPAR(1:70)
            WRITE( NOUT, FMT = 99997 ) N
            WRITE( NOUT, FMT = 99996 ) M
            WRITE( NOUT, FMT = 99995 ) P
            WRITE( NOUT, FMT = 99994 )
            DO 10  I = 1, N
              WRITE( NOUT, FMT = 99977 ) ( A(I,J), J = 1, N )
       10   CONTINUE
            IF( VEC(5) ) THEN
              WRITE( NOUT, FMT = 99993 )
              DO 20  I = 1, N
                WRITE( NOUT, FMT = 99977 ) ( B(I,J), J = 1, M )
       20     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99992 )
            END IF
            IF( VEC(6) ) THEN
              WRITE( NOUT,FMT = 99991 )
              DO 30  I = 1, P
                WRITE( NOUT, FMT = 99977 ) ( C(I,J), J = 1, N )
       30     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99990 )
            END IF
            IF( .NOT.VEC(5) ) THEN
              WRITE( NOUT, FMT = 99989 )
              IF( .NOT.BPAR(2) ) THEN
                ISYMM = ( N * ( N + 1 ) ) / 2
                CALL DCOPY( ISYMM, R, 1, DWORK, 1 )
                IF( BPAR(3) ) THEN
                  CALL MA02DD( 'Unpack', 'Upper', N, R, LDR, DWORK )
                ELSE
                  CALL MA02DD( 'Unpack', 'Lower', N, R, LDR, DWORK )
                END IF
              END IF
              DO 40  I = 1, N
                WRITE( NOUT, FMT = 99977 ) ( R(I,J), J = 1, N )
       40     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99988 )
            END IF
            IF( .NOT.VEC(6) ) THEN
              IF( .NOT.BPAR(5) ) THEN
                ISYMM = ( N * ( N + 1 ) ) / 2
                CALL DCOPY( ISYMM, Q, 1, DWORK, 1 )
                IF( BPAR(6) ) THEN
                  CALL MA02DD( 'Unpack', 'Upper', N, Q, LDQ, DWORK )
                ELSE
                  CALL MA02DD( 'Unpack', 'Lower', N, Q, LDQ, DWORK )
                END IF
              END IF
              WRITE( NOUT, FMT = 99987 )
              DO 50  I = 1, N
                WRITE( NOUT, FMT = 99977 ) ( Q(I,J), J = 1, N )
       50     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99986 )
            END IF
            IF( VEC(6) ) THEN
              IF( .NOT.BPAR(5) ) THEN
                ISYMM = ( P * ( P + 1 ) ) / 2
                CALL DCOPY( ISYMM, Q, 1, DWORK, 1 )
                IF( BPAR(6) ) THEN
                  CALL MA02DD( 'Unpack', 'Upper', P, Q, LDQ, DWORK )
                ELSE
                  CALL MA02DD( 'Unpack', 'Lower', P, Q, LDQ, DWORK )
                END IF
              END IF
              WRITE( NOUT, FMT = 99985 )
              DO 60  I = 1, P
                WRITE( NOUT, FMT = 99977 ) ( Q(I,J), J = 1, P )
       60     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99984 )
            END IF
            IF( VEC(5) ) THEN
              IF( .NOT.BPAR(2) ) THEN
                ISYMM = ( M * ( M + 1 ) ) / 2
                CALL DCOPY( ISYMM, R, 1, DWORK, 1 )
                IF( BPAR(3) ) THEN
                  CALL MA02DD( 'Unpack', 'Upper', M, R, LDR, DWORK )
                ELSE
                  CALL MA02DD( 'Unpack', 'Lower', M, R, LDR, DWORK )
                END IF
              END IF
              WRITE( NOUT, FMT = 99983 )
              DO 70  I = 1, M
                WRITE( NOUT, FMT = 99977 ) ( R(I,J), J = 1, M )
       70     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99982 )
            END IF
            IF( VEC(9) ) THEN
              WRITE( NOUT, FMT = 99981 )
              DO 80  I = 1, N
                WRITE( NOUT, FMT = 99977 ) ( S(I,J), J = 1, M )
       80     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99980 )
            END IF
            IF( VEC(10) ) THEN
              WRITE( NOUT, FMT = 99979 )
              DO 90  I = 1, N
                WRITE( NOUT, FMT = 99977 ) ( X(I,J), J = 1, N )
       90     CONTINUE
            ELSE
              WRITE( NOUT, FMT = 99978 )
            END IF
          END IF
          STOP
    *
    99999 FORMAT (' BB02AD EXAMPLE PROGRAM RESULTS', /1X)
    99998 FORMAT (' INFO on exit from BB02AD = ', I3)
    99997 FORMAT (/' Order of matrix A:              N  = ', I3)
    99996 FORMAT (' Number of columns in matrix B:  M  = ', I3)
    99995 FORMAT (' Number of rows in matrix C:     P  = ', I3)
    99994 FORMAT (' A  = ')
    99993 FORMAT (' B  = ')
    99992 FORMAT (' B is not provided.')
    99991 FORMAT (' C  = ')
    99990 FORMAT (' C is not provided.')
    99989 FORMAT (' G  = ')
    99988 FORMAT (' G is not provided.')
    99987 FORMAT (' Q  = ')
    99986 FORMAT (' Q is not provided.')
    99985 FORMAT (' Q0  = ')
    99984 FORMAT (' Q0 is not provided.')
    99983 FORMAT (' R  = ')
    99982 FORMAT (' R is not provided.')
    99981 FORMAT (' S  = ')
    99980 FORMAT (' S is not provided.')
    99979 FORMAT (' X  = ')
    99978 FORMAT (' X is not provided.')
    99977 FORMAT (20(1X,F8.4))
    *
          END

Program Data

    BB02AD EXAMPLE PROGRAM DATA
    N
    2 3
    7
    .T. .T. .T. .F. .F. .T. .T.
    1
    .1234
    0

Program Results

     BB02AD EXAMPLE PROGRAM RESULTS

     increasingly bad scaled system as eps -> oo

     Order of matrix A:              N  =   2
     Number of columns in matrix B:  M  =   1
     Number of rows in matrix C:     P  =   2
     A  =
       0.0000   0.1234
       0.0000   0.0000
     B  =
       0.0000
       1.0000
     C is not provided.
     G is not provided.
     Q  =
       1.0000   0.0000
       0.0000   1.0000
     Q0 is not provided.
     R  =
       1.0000
     S  =
       0.0000
       0.0000
     X  =
       1.0000   0.0000
       0.0000   1.0152

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