SB04PY - SLICOT Library Routine Documentation

## SB04PY

### Solving discrete-time Sylvester equations with matrices in real Schur form

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

Purpose

      To solve for X the discrete-time Sylvester equation

         op(A)*X*op(B) + ISGN*X = scale*C,

      where op(A) = A or A**T, A and B are both upper quasi-triangular,
      and ISGN = 1 or -1. A is M-by-M and B is N-by-N; the right hand
      side C and the solution X are M-by-N; and scale is an output scale
      factor, set less than or equal to 1 to avoid overflow in X. The
      solution matrix X is overwritten onto C.

      A and B must be in Schur canonical form (as returned by LAPACK
      Library routine DHSEQR), that is, block upper triangular with
      1-by-1 and 2-by-2 diagonal blocks; each 2-by-2 diagonal block has
      its diagonal elements equal and its off-diagonal elements of
      opposite sign.

Specification

          SUBROUTINE SB04PY( TRANA, TRANB, ISGN, M, N, A, LDA, B, LDB, C,
         $                   LDC, SCALE, DWORK, INFO )
    C     .. Scalar Arguments ..
          CHARACTER          TRANA, TRANB
          INTEGER            INFO, ISGN, LDA, LDB, LDC, M, N
          DOUBLE PRECISION   SCALE
    C     .. Array Arguments ..
          DOUBLE PRECISION   A( LDA, * ), B( LDB, * ), C( LDC, * ),
         $                   DWORK( * )

Arguments

Mode Parameters

      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).

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

      ISGN    INTEGER
              Specifies the sign of the equation as described before.
              ISGN may only be 1 or -1.

Input/Output Parameters

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

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

      A       (input) DOUBLE PRECISION array, dimension (LDA,M)
              The leading M-by-M part of this array must contain the
              upper quasi-triangular matrix A, in Schur canonical form.
              The part of A below the first sub-diagonal is not
              referenced.

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

      B       (input) DOUBLE PRECISION array, dimension (LDB,N)
              The leading N-by-N part of this array must contain the
              upper quasi-triangular matrix B, in Schur canonical form.
              The part of B below the first sub-diagonal is not
              referenced.

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

      C       (input/output) DOUBLE PRECISION array, dimension (LDC,N)
              On entry, the leading M-by-N part of this array must
              contain the right hand side matrix C.
              On exit, if INFO >= 0, the leading M-by-N part of this
              array contains the solution matrix X.

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

      SCALE   (output) DOUBLE PRECISION
              The scale factor, scale, set less than or equal to 1 to
              prevent the solution overflowing.

Workspace

      DWORK   DOUBLE PRECISION array, dimension (2*M)

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              < 0:  if INFO = -i, the i-th argument had an illegal
                    value;
              = 1:  A and -ISGN*B have almost reciprocal eigenvalues;
                    perturbed values were used to solve the equation
                    (but the matrices A and B are unchanged).

Method

      The solution matrix X is computed column-wise via a back
      substitution scheme, an extension and refinement of the algorithm
      in [1], similar to that used in [2] for continuous-time Sylvester
      equations. A set of equivalent linear algebraic systems of
      equations of order at most four are formed and solved using
      Gaussian elimination with complete pivoting.

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] Anderson, E., Bai, Z., Bischof, C., Demmel, J., Dongarra, J.,
          Du Croz, J., Greenbaum, A., Hammarling, S., McKenney, A.,
          Ostrouchov, S., and Sorensen, D.
          LAPACK Users' Guide: Second Edition.
          SIAM, Philadelphia, 1995.

Numerical Aspects

      The algorithm is stable and reliable, since Gaussian elimination
      with complete pivoting is used.

Further Comments

      None

Example

Program Text

      None

Program Data

      None

Program Results

      None

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