MB02QY - SLICOT Library Routine Documentation

## MB02QY

### Minimum-norm solution to a linear least squares problem, given a rank-revealing QR factorization

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

Purpose

      To determine the minimum-norm solution to a real linear least
      squares problem:

          minimize || A * X - B ||,

      using the rank-revealing QR factorization of a real general
      M-by-N matrix  A,  computed by SLICOT Library routine  MB03OD.

Specification

          SUBROUTINE MB02QY( M, N, NRHS, RANK, A, LDA, JPVT, B, LDB, TAU,
         $                   DWORK, LDWORK, INFO )
    C     .. Scalar Arguments ..
          INTEGER            INFO, LDA, LDB, LDWORK, M, N, NRHS, RANK
    C     .. Array Arguments ..
          INTEGER            JPVT( * )
          DOUBLE PRECISION   A( LDA, * ), B( LDB, * ), DWORK( * ), TAU( * )

Arguments

Input/Output Parameters

      M       (input) INTEGER
              The number of rows of the matrices A and B.  M >= 0.

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

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

      RANK    (input) INTEGER
              The effective rank of  A,  as returned by SLICOT Library
              routine  MB03OD.  min(M,N) >= RANK >= 0.

      A       (input/output) DOUBLE PRECISION array, dimension
              ( LDA, N )
              On entry, the leading min(M,N)-by-N upper trapezoidal
              part of this array contains the triangular factor  R,  as
              returned by SLICOT Library routine  MB03OD.  The strict
              lower trapezoidal part of  A  is not referenced.
              On exit, if  RANK < N,  the leading  RANK-by-RANK  upper
              triangular part of this array contains the upper
              triangular matrix  R  of the complete orthogonal
              factorization of  A,  and the submatrix  (1:RANK,RANK+1:N)
              of this array, with the array  TAU,  represent the
              orthogonal matrix  Z  (of the complete orthogonal
              factorization of  A),  as a product of  RANK  elementary
              reflectors.
              On exit, if  RANK = N,  this array is unchanged.

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

      JPVT    (input) INTEGER array, dimension ( N )
              The recorded permutations performed by SLICOT Library
              routine  MB03OD;  if  JPVT(i) = k,  then the i-th column
              of  A*P  was the k-th column of the original matrix  A.

      B       (input/output) DOUBLE PRECISION array, dimension
              ( LDB, NRHS )
              On entry, if  NRHS > 0,  the leading M-by-NRHS part of
              this array must contain the matrix  B  (corresponding to
              the transformed matrix  A,  returned by SLICOT Library
              routine  MB03OD).
              On exit, if  NRHS > 0,  the leading N-by-NRHS part of this
              array contains the solution matrix X.
              If  M >= N  and  RANK = N,  the residual sum-of-squares
              for the solution in the i-th column is given by the sum
              of squares of elements  N+1:M  in that column.
              If  NRHS = 0,  the array  B  is not referenced.

      LDB     INTEGER
              The leading dimension of the array B.
              LDB >= max(1,M,N),  if  NRHS > 0.
              LDB >= 1,           if  NRHS = 0.

      TAU     (output) DOUBLE PRECISION array, dimension ( min(M,N) )
              The scalar factors of the elementary reflectors.
              If  RANK = N,  the array  TAU  is not referenced.

Workspace

      DWORK   DOUBLE PRECISION array, dimension ( LDWORK )
              On exit, if  INFO = 0,  DWORK(1) returns the optimal value
              of LDWORK.

      LDWORK  INTEGER
              The length of the array DWORK.
              LDWORK >= max( 1, N, NRHS ).
              For good performance,  LDWORK  should sometimes be larger.

              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.

Method

      The routine uses a QR factorization with column pivoting:

         A * P = Q * R = Q * [ R11 R12 ],
                             [  0  R22 ]

      where  R11  is an upper triangular submatrix of estimated rank
      RANK,  the effective rank of  A.  The submatrix  R22  can be
      considered as negligible.

      If  RANK < N,  then  R12  is annihilated by orthogonal
      transformations from the right, arriving at the complete
      orthogonal factorization:

         A * P = Q * [ T11 0 ] * Z.
                     [  0  0 ]

      The minimum-norm solution is then

         X = P * Z' [ inv(T11)*Q1'*B ],
                    [        0       ]

      where Q1 consists of the first  RANK  columns of Q.

      The input data for  MB02QY  are the transformed matrices  Q' * A
      (returned by SLICOT Library routine  MB03OD)  and  Q' * B.
      Matrix  Q  is not needed.

Numerical Aspects

      The implemented method is numerically stable.

Further Comments

      None

Example

Program Text

      None

Program Data

      None

Program Results

      None

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