MB02YD - SLICOT Library Routine Documentation

## MB02YD

### Solving the linear system A x = b, D x = 0, D diagonal

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

Purpose

      To determine a vector x which solves the system of linear
      equations

            A*x = b ,     D*x = 0 ,

      in the least squares sense, where A is an m-by-n matrix,
      D is an n-by-n diagonal matrix, and b is an m-vector.
      It is assumed that a QR factorization, with column pivoting, of A
      is available, that is, A*P = Q*R, where P is a permutation matrix,
      Q has orthogonal columns, and R is an upper triangular matrix
      with diagonal elements of nonincreasing magnitude.
      The routine needs the full upper triangle of R, the permutation
      matrix P, and the first n components of Q'*b (' denotes the
      transpose). The system A*x = b, D*x = 0, is then equivalent to

            R*z = Q'*b ,  P'*D*P*z = 0 ,                             (1)

      where x = P*z. If this system does not have full rank, then a
      least squares solution is obtained. On output, MB02YD also
      provides an upper triangular matrix S such that

            P'*(A'*A + D*D)*P = S'*S .

      The system (1) is equivalent to S*z = c , where c contains the
      first n components of the vector obtained by applying to
      [ (Q'*b)'  0 ]' the transformations which triangularized
      [ R'  P'*D*P ]', getting S.

Specification

          SUBROUTINE MB02YD( COND, N, R, LDR, IPVT, DIAG, QTB, RANK, X, TOL,
         $                   DWORK, LDWORK, INFO )
    C     .. Scalar Arguments ..
          CHARACTER         COND
          INTEGER           INFO, LDR, LDWORK, N, RANK
          DOUBLE PRECISION  TOL
    C     .. Array Arguments ..
          INTEGER           IPVT(*)
          DOUBLE PRECISION  DIAG(*), DWORK(*), QTB(*), R(LDR,*), X(*)

Arguments

Mode Parameters

      COND    CHARACTER*1
              Specifies whether the condition of the matrix S should be
              estimated, as follows:
              = 'E' :  use incremental condition estimation and store
                       the numerical rank of S in RANK;
              = 'N' :  do not use condition estimation, but check the
                       diagonal entries of S for zero values;
              = 'U' :  use the rank already stored in RANK.

Input/Output Parameters

      N       (input) INTEGER
              The order of the matrix R.  N >= 0.

      R       (input/output) DOUBLE PRECISION array, dimension (LDR, N)
              On entry, the leading N-by-N upper triangular part of this
              array must contain the upper triangular matrix R.
              On exit, the full upper triangle is unaltered, and the
              strict lower triangle contains the strict upper triangle
              (transposed) of the upper triangular matrix S.

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

      IPVT    (input) INTEGER array, dimension (N)
              This array must define the permutation matrix P such that
              A*P = Q*R. Column j of P is column IPVT(j) of the identity
              matrix.

      DIAG    (input) DOUBLE PRECISION array, dimension (N)
              This array must contain the diagonal elements of the
              matrix D.

      QTB     (input) DOUBLE PRECISION array, dimension (N)
              This array must contain the first n elements of the
              vector Q'*b.

      RANK    (input or output) INTEGER
              On entry, if COND = 'U', this parameter must contain the
              (numerical) rank of the matrix S.
              On exit, if COND = 'E' or 'N', this parameter contains
              the numerical rank of the matrix S, estimated according
              to the value of COND.

      X       (output) DOUBLE PRECISION array, dimension (N)
              This array contains the least squares solution of the
              system A*x = b, D*x = 0.

Tolerances

      TOL     DOUBLE PRECISION
              If COND = 'E', the tolerance to be used for finding the
              rank of the matrix S. If the user sets TOL > 0, then the
              given value of TOL is used as a lower bound for the
              reciprocal condition number;  a (sub)matrix whose
              estimated condition number is less than 1/TOL is
              considered to be of full rank.  If the user sets TOL <= 0,
              then an implicitly computed, default tolerance, defined by
              TOLDEF = N*EPS,  is used instead, where EPS is the machine
              precision (see LAPACK Library routine DLAMCH).
              This parameter is not relevant if COND = 'U' or 'N'.

Workspace

      DWORK   DOUBLE PRECISION array, dimension (LDWORK)
              On exit, the first N elements of this array contain the
              diagonal elements of the upper triangular matrix S, and
              the next N elements contain the solution z.

      LDWORK  INTEGER
              The length of the array DWORK.
              LDWORK >= 4*N, if COND =  'E';
              LDWORK >= 2*N, if COND <> 'E'.

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              < 0:  if INFO = -i, the i-th argument had an illegal
                    value.

Method

      Standard plane rotations are used to annihilate the elements of
      the diagonal matrix D, updating the upper triangular matrix R
      and the first n elements of the vector Q'*b. A basic least squares
      solution is computed.

References

      [1] More, J.J., Garbow, B.S, and Hillstrom, K.E.
          User's Guide for MINPACK-1.
          Applied Math. Division, Argonne National Laboratory, Argonne,
          Illinois, Report ANL-80-74, 1980.

Numerical Aspects

                                2
      The algorithm requires 0(N ) operations and is backward stable.

Further Comments

      This routine is a LAPACK-based modification of QRSOLV from the
      MINPACK package [1], and with optional condition estimation.
      The option COND = 'U' is useful when dealing with several
      right-hand side vectors.

Example

Program Text

      None

Program Data

      None

Program Results

      None

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