MB02UD - SLICOT Library Routine Documentation

## MB02UD

### Minimum norm least squares solution of op(R) X = alpha B, or X op(R) = alpha B, with R upper triangular, using singular value decomposition

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

Purpose

      To compute the minimum norm least squares solution of one of the
      following linear systems

         op(R)*X = alpha*B,                                          (1)
         X*op(R) = alpha*B,                                          (2)

      where alpha is a real scalar, op(R) is either R or its transpose,
      R', R is an L-by-L real upper triangular matrix, B is an M-by-N
      real matrix, and L = M for (1), or L = N for (2). Singular value
      decomposition, R = Q*S*P', is used, assuming that R is rank
      deficient.

Specification

          SUBROUTINE MB02UD( FACT, SIDE, TRANS, JOBP, M, N, ALPHA, RCOND,
         $                   RANK, R, LDR, Q, LDQ, SV, B, LDB, RP, LDRP,
         $                   DWORK, LDWORK, INFO )
    C     .. Scalar Arguments ..
          CHARACTER         FACT, JOBP, SIDE, TRANS
          INTEGER           INFO, LDB, LDQ, LDR, LDRP, LDWORK, M, N, RANK
          DOUBLE PRECISION  ALPHA, RCOND
    C     .. Array Arguments ..
          DOUBLE PRECISION  B(LDB,*), DWORK(*), Q(LDQ,*), R(LDR,*),
         $                  RP(LDRP,*), SV(*)

Arguments

Mode Parameters

      FACT    CHARACTER*1
              Specifies whether R has been previously factored or not,
              as follows:
              = 'F':  R has been factored and its rank and singular
                      value decomposition, R = Q*S*P', are available;
              = 'N':  R has not been factored and its singular value
                      decomposition, R = Q*S*P', should be computed.

      SIDE    CHARACTER*1
              Specifies whether op(R) appears on the left or right
              of X as follows:
              = 'L':  Solve op(R)*X = alpha*B  (op(R) is on the left);
              = 'R':  Solve X*op(R) = alpha*B  (op(R) is on the right).

      TRANS   CHARACTER*1
              Specifies the form of op(R) to be used as follows:
              = 'N':  op(R) = R;
              = 'T':  op(R) = R';
              = 'C':  op(R) = R'.

      JOBP    CHARACTER*1
              Specifies whether or not the pseudoinverse of R is to be
              computed or it is available as follows:
              = 'P':  Compute pinv(R), if FACT = 'N', or
                      use pinv(R),     if FACT = 'F';
              = 'N':  Do not compute or use pinv(R).

Input/Output Parameters

      M       (input) INTEGER
              The number of rows of the matrix B.  M >= 0.

      N       (input) INTEGER
              The number of columns of the matrix B.  N >= 0.

      ALPHA   (input) DOUBLE PRECISION
              The scalar alpha. When alpha is zero then B need not be
              set before entry.

      RCOND   (input) DOUBLE PRECISION
              RCOND is used to determine the effective rank of R.
              Singular values of R satisfying Sv(i) <= RCOND*Sv(1) are
              treated as zero. If RCOND <= 0, then EPS is used instead,
              where EPS is the relative machine precision (see LAPACK
              Library routine DLAMCH).  RCOND <= 1.
              RCOND is not used if FACT = 'F'.

      RANK    (input or output) INTEGER
              The rank of matrix R.
              RANK is an input parameter when FACT = 'F', and an output
              parameter when FACT = 'N'.  L >= RANK >= 0.

      R       (input/output) DOUBLE PRECISION array, dimension (LDR,L)
              On entry, if FACT = 'F', the leading L-by-L part of this
              array must contain the L-by-L orthogonal matrix P' from
              singular value decomposition, R = Q*S*P', of the matrix R;
              if JOBP = 'P', the first RANK rows of P' are assumed to be
              scaled by inv(S(1:RANK,1:RANK)).
              On entry, if FACT = 'N', the leading L-by-L upper
              triangular part of this array must contain the upper
              triangular matrix R.
              On exit, if INFO = 0, the leading L-by-L part of this
              array contains the L-by-L orthogonal matrix P', with its
              first RANK rows scaled by inv(S(1:RANK,1:RANK)), when
              JOBP = 'P'.

      LDR     INTEGER
              The leading dimension of array R.  LDR >= MAX(1,L).

      Q       (input or output) DOUBLE PRECISION array, dimension
              (LDQ,L)
              On entry, if FACT = 'F', the leading L-by-L part of this
              array must contain the L-by-L orthogonal matrix Q from
              singular value decomposition, R = Q*S*P', of the matrix R.
              If FACT = 'N', this array need not be set on entry, and
              on exit, if INFO = 0, the leading L-by-L part of this
              array contains the orthogonal matrix Q.

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

      SV      (input or output) DOUBLE PRECISION array, dimension (L)
              On entry, if FACT = 'F', the first RANK entries of this
              array must contain the reciprocal of the largest RANK
              singular values of the matrix R, and the last L-RANK
              entries of this array must contain the remaining singular
              values of R sorted in descending order.
              If FACT = 'N', this array need not be set on input, and
              on exit, if INFO = 0, the first RANK entries of this array
              contain the reciprocal of the largest RANK singular values
              of the matrix R, and the last L-RANK entries of this array
              contain the remaining singular values of R sorted in
              descending order.

      B       (input/output) DOUBLE PRECISION array, dimension (LDB,N)
              On entry, if ALPHA <> 0, the leading M-by-N part of this
              array must contain the matrix B.
              On exit, if INFO = 0 and RANK > 0, the leading M-by-N part
              of this array contains the M-by-N solution matrix X.

      LDB     INTEGER
              The leading dimension of array B.  LDB >= MAX(1,M).

      RP      (input or output) DOUBLE PRECISION array, dimension
              (LDRP,L)
              On entry, if FACT = 'F', JOBP = 'P', and RANK > 0, the
              leading L-by-L part of this array must contain the L-by-L
              matrix pinv(R), the Moore-Penrose pseudoinverse of R.
              On exit, if FACT = 'N', JOBP = 'P', and RANK > 0, the
              leading L-by-L part of this array contains the L-by-L
              matrix pinv(R), the Moore-Penrose pseudoinverse of R.
              If JOBP = 'N', this array is not referenced.

      LDRP    INTEGER
              The leading dimension of array RP.
              LDRP >= MAX(1,L), if JOBP = 'P'.
              LDRP >= 1,        if JOBP = 'N'.

Workspace

      DWORK   DOUBLE PRECISION array, dimension (LDWORK)
              On exit, if INFO = 0, DWORK(1) returns the optimal LDWORK;
              if INFO = i, 1 <= i <= L, then DWORK(2:L) contain the
              unconverged superdiagonal elements of an upper bidiagonal
              matrix D whose diagonal is in SV (not necessarily sorted).
              D satisfies R = Q*D*P', so it has the same singular
              values as R, and singular vectors related by Q and P'.

      LDWORK  INTEGER
              The length of the array DWORK.
              LDWORK >= MAX(1,L),   if FACT = 'F';
              LDWORK >= MAX(1,5*L), if FACT = 'N'.
              For optimum performance LDWORK should be larger than
              MAX(1,L,M*N),   if FACT = 'F';
              MAX(1,5*L,M*N), if FACT = 'N'.

              If LDWORK = -1, then a workspace query is assumed;
              the routine only calculates the optimal size of the
              DWORK array, returns this value as the first entry of
              the DWORK array, and no error message related to LDWORK
              is issued by XERBLA.

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              < 0:  if INFO = -i, the i-th argument had an illegal
                    value;
              > 0:  if INFO = i, i = 1:L, the SVD algorithm has failed
                    to converge. In this case INFO specifies how many
                    superdiagonals did not converge (see the description
                    of DWORK); this failure is not likely to occur.

Method

      The L-by-L upper triangular matrix R is factored as  R = Q*S*P',
      if FACT = 'N', using SLICOT Library routine MB03UD, where Q and P
      are L-by-L orthogonal matrices and S is an L-by-L diagonal matrix
      with non-negative diagonal elements, SV(1), SV(2), ..., SV(L),
      ordered decreasingly. Then, the effective rank of R is estimated,
      and matrix (or matrix-vector) products and scalings are used to
      compute X. If FACT = 'F', only matrix (or matrix-vector) products
      and scalings are performed.

Further Comments

      Option JOBP = 'P' should be used only if the pseudoinverse is
      really needed. Usually, it is possible to avoid the use of
      pseudoinverse, by computing least squares solutions.
      The routine uses BLAS 3 calculations if LDWORK >= M*N, and BLAS 2
      calculations, otherwise. No advantage of any additional workspace
      larger than L is taken for matrix products, but the routine can
      be called repeatedly for chunks of columns of B, if LDWORK < M*N.

Example

Program Text

      None

Program Data

      None

Program Results

      None

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