SB03SX - SLICOT Library Routine Documentation

## SB03SX

### Estimating a forward error bound for the solution of a discrete-time Lyapunov equation

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

Purpose

      To estimate a forward error bound for the solution X of a real
      discrete-time Lyapunov matrix equation,

             op(A)'*X*op(A) - X = C,

      where op(A) = A or A' (A**T) and C is symmetric (C = C**T). The
      matrix A, the right hand side C, and the solution X are N-by-N.
      An absolute residual matrix, which takes into account the rounding
      errors in forming it, is given in the array R.

Specification

          SUBROUTINE SB03SX( TRANA, UPLO, LYAPUN, N, XANORM, T, LDT, U, LDU,
         $                   R, LDR, FERR, IWORK, DWORK, LDWORK, INFO )
    C     .. Scalar Arguments ..
          CHARACTER          LYAPUN, TRANA, UPLO
          INTEGER            INFO, LDR, LDT, LDU, LDWORK, N
          DOUBLE PRECISION   FERR, XANORM
    C     .. Array Arguments ..
          INTEGER            IWORK( * )
          DOUBLE PRECISION   DWORK( * ), R( LDR, * ), T( LDT, * ),
         $                   U( LDU, * )

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).

      UPLO    CHARACTER*1
              Specifies which part of the symmetric matrix R is to be
              used, as follows:
              = 'U':  Upper triangular part;
              = 'L':  Lower triangular part.

      LYAPUN  CHARACTER*1
              Specifies whether or not the original Lyapunov equations
              should be solved, as follows:
              = 'O':  Solve the original Lyapunov equations, updating
                      the right-hand sides and solutions with the
                      matrix U, e.g., X <-- U'*X*U;
              = 'R':  Solve reduced Lyapunov equations only, without
                      updating the right-hand sides and solutions.

Input/Output Parameters

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

      XANORM  (input) DOUBLE PRECISION
              The absolute (maximal) norm of the symmetric solution
              matrix X of the Lyapunov equation.  XANORM >= 0.

      T       (input) DOUBLE PRECISION array, dimension (LDT,N)
              The leading N-by-N upper Hessenberg part of this array
              must contain the upper quasi-triangular matrix T in Schur
              canonical form from a Schur factorization of A.

      LDT     INTEGER
              The leading dimension of array T.  LDT >= MAX(1,N).

      U       (input) DOUBLE PRECISION array, dimension (LDU,N)
              The leading N-by-N part of this array must contain the
              orthogonal matrix U from a real Schur factorization of A.
              If LYAPUN = 'R', the array U is not referenced.

      LDU     INTEGER
              The leading dimension of array U.
              LDU >= 1,        if LYAPUN = 'R';
              LDU >= MAX(1,N), if LYAPUN = 'O'.

      R       (input/output) DOUBLE PRECISION array, dimension (LDR,N)
              On entry, if UPLO = 'U', the leading N-by-N upper
              triangular part of this array must contain the upper
              triangular part of the absolute residual matrix R, with
              bounds on rounding errors added.
              On entry, if UPLO = 'L', the leading N-by-N lower
              triangular part of this array must contain the lower
              triangular part of the absolute residual matrix R, with
              bounds on rounding errors added.
              On exit, the leading N-by-N part of this array contains
              the symmetric absolute residual matrix R (with bounds on
              rounding errors added), fully stored.

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

      FERR    (output) DOUBLE PRECISION
              An estimated forward error bound for the solution X.
              If XTRUE is the true solution, FERR bounds the magnitude
              of the largest entry in (X - XTRUE) divided by the
              magnitude of the largest entry in X.
              If N = 0 or XANORM = 0, FERR is set to 0, without any
              calculations.

Workspace

      IWORK   INTEGER array, dimension (N*N)

      DWORK   DOUBLE PRECISION array, dimension (LDWORK)

      LDWORK  INTEGER
              The length of the array DWORK.
              LDWORK >= 0,            if N = 0;
              LDWORK >= MAX(3,2*N*N), if N > 0.

Error Indicator

      INFO    INTEGER
              = 0:  successful exit;
              < 0:  if INFO = -i, the i-th argument had an illegal
                    value;
              = N+1:  if T has almost reciprocal eigenvalues; perturbed
                    values were used to solve Lyapunov equations (but
                    the matrix T is unchanged).

Method

      The forward error bound is estimated using a practical error bound
      similar to the one proposed in [1], based on the 1-norm estimator
      in [2].

References

      [1] Higham, N.J.
          Perturbation theory and backward error for AX-XB=C.
          BIT, vol. 33, pp. 124-136, 1993.

      [2] Higham, N.J.
          FORTRAN codes for estimating the one-norm of a real or
          complex matrix, with applications to condition estimation.
          ACM Trans. Math. Softw., 14, pp. 381-396, 1988.

Numerical Aspects

                                3
      The algorithm requires 0(N ) operations.

Further Comments

      The option LYAPUN = 'R' may occasionally produce slightly worse
      or better estimates, and it is much faster than the option 'O'.
      The routine can be also used as a final step in estimating a
      forward error bound for the solution of a discrete-time algebraic
      matrix Riccati equation.

Example

Program Text

      None

Program Data

      None

Program Results

      None

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