SB02RU - SLICOT Library Routine Documentation

## SB02RU

### Constructing the 2n-by-2n Hamiltonian or symplectic matrix for linear-quadratic optimization problems

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

Purpose

      To construct the 2n-by-2n Hamiltonian or symplectic matrix S
      associated to the linear-quadratic optimization problem, used to
      solve the continuous- or discrete-time algebraic Riccati equation,
      respectively.

      For a continuous-time problem, S is defined by

              ( op(A)   -G    )
          S = (               ),                                     (1)
              (  -Q   -op(A)' )

      and for a discrete-time problem by

                      -1              -1
              (  op(A)           op(A)  *G       )
          S = (        -1                   -1   ),                  (2)
              ( Q*op(A)     op(A)' + Q*op(A)  *G )

      or
                               -T             -T
              ( op(A) + G*op(A)  *Q   -G*op(A)   )
          S = (           -T                 -T  ),                  (3)
              (     -op(A)  *Q          op(A)    )

      where op(A) = A or A' (A**T), A, G, and Q are n-by-n matrices,
      with G and Q symmetric. Matrix A must be nonsingular in the
      discrete-time case.

Specification

          SUBROUTINE SB02RU( DICO, HINV, TRANA, UPLO, N, A, LDA, G, LDG, Q,
         $                   LDQ, S, LDS, IWORK, DWORK, LDWORK, INFO )
    C     .. Scalar Arguments ..
          CHARACTER         DICO, HINV, TRANA, UPLO
          INTEGER           INFO, LDA, LDG, LDQ, LDS, LDWORK, N
    C     .. Array Arguments ..
          INTEGER           IWORK(*)
          DOUBLE PRECISION  A(LDA,*), DWORK(*), G(LDG,*), Q(LDQ,*),
         $                  S(LDS,*)

Arguments

Mode Parameters

      DICO    CHARACTER*1
              Specifies the type of the system as follows:
              = 'C':  Continuous-time system;
              = 'D':  Discrete-time system.

      HINV    CHARACTER*1
              If DICO = 'D', specifies which of the matrices (2) or (3)
              is constructed, as follows:
              = 'D':  The matrix S in (2) is constructed;
              = 'I':  The (inverse) matrix S in (3) is constructed.
              HINV is not referenced if DICO = 'C'.

      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).

      UPLO    CHARACTER*1
              Specifies which triangle of the matrices G and Q is
              stored, as follows:
              = 'U':  Upper triangle is stored;
              = 'L':  Lower triangle is stored.

Input/Output Parameters

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

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

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

      G       (input/output) DOUBLE PRECISION array, dimension (LDG,N)
              On entry, the leading N-by-N upper triangular part (if
              UPLO = 'U') or lower triangular part (if UPLO = 'L') of
              this array must contain the upper triangular part or lower
              triangular part, respectively, of the symmetric matrix G.
              On exit, if DICO = 'D', the leading N-by-N part of this
              array contains the symmetric matrix G fully stored.
              If DICO = 'C', this array is not modified on exit, and the
              strictly lower triangular part (if UPLO = 'U') or strictly
              upper triangular part (if UPLO = 'L') is not referenced.

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

      Q       (input/output) DOUBLE PRECISION array, dimension (LDQ,N)
              On entry, the leading N-by-N upper triangular part (if
              UPLO = 'U') or lower triangular part (if UPLO = 'L') of
              this array must contain the upper triangular part or lower
              triangular part, respectively, of the symmetric matrix Q.
              On exit, if DICO = 'D', the leading N-by-N part of this
              array contains the symmetric matrix Q fully stored.
              If DICO = 'C', this array is not modified on exit, and the
              strictly lower triangular part (if UPLO = 'U') or strictly
              upper triangular part (if UPLO = 'L') is not referenced.

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

      S       (output) DOUBLE PRECISION array, dimension (LDS,2*N)
              If INFO = 0, the leading 2N-by-2N part of this array
              contains the Hamiltonian or symplectic matrix of the
              problem.

      LDS     INTEGER
              The leading dimension of the array S.  LDS >= MAX(1,2*N).

Workspace

      IWORK   INTEGER array, dimension (LIWORK), where
              LIWORK >= 0,   if DICO = 'C';
              LIWORK >= 2*N, if DICO = 'D'.

      DWORK   DOUBLE PRECISION array, dimension (LDWORK)
              On exit, if DICO = 'D', DWORK(1) returns the reciprocal
              condition number  RCOND  of the given matrix  A,  and
              DWORK(2) returns the reciprocal pivot growth factor
              norm(A)/norm(U) (see SLICOT Library routine MB02PD).
              If DWORK(2) is much less than 1, then the computed  S
              and  RCOND  could be unreliable. If 0 < INFO <= N, then
              DWORK(2) contains the reciprocal pivot growth factor for
              the leading INFO columns of  A.

      LDWORK  INTEGER
              The length of the array DWORK.
              LDWORK >= 0,          if DICO = 'C';
              LDWORK >= MAX(2,6*N), if DICO = 'D'.

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              < 0:  if INFO = -i, the i-th argument had an illegal
                    value;
              = i:  if the leading i-by-i (1 <= i <= N) upper triangular
                    submatrix of A is singular in discrete-time case;
              = N+1:  if matrix A is numerically singular in discrete-
                    time case.

Method

      For a continuous-time problem, the 2n-by-2n Hamiltonian matrix (1)
      is constructed.
      For a discrete-time problem, the 2n-by-2n symplectic matrix (2) or
      (3) - the inverse of the matrix in (2) - is constructed.

Numerical Aspects

      The discrete-time case needs the inverse of the matrix A, hence
      the routine should not be used when A is ill-conditioned.
                                3
      The algorithm requires 0(n ) floating point operations in the
      discrete-time case.

Further Comments

      This routine is a functionally extended and with improved accuracy
      version of the SLICOT Library routine SB02MU. Transposed problems
      can be dealt with as well. The LU factorization of  op(A)  (with
      no equilibration) and iterative refinement are used for solving
      the various linear algebraic systems involved.

Example

Program Text

      None

Program Data

      None

Program Results

      None

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