Purpose
To compute all, or part, of the singular value decomposition of a
real upper triangular matrix.
The N-by-N upper triangular matrix A is factored as A = Q*S*P',
where Q and P are N-by-N orthogonal matrices and S is an
N-by-N diagonal matrix with non-negative diagonal elements,
SV(1), SV(2), ..., SV(N), ordered such that
SV(1) >= SV(2) >= ... >= SV(N) >= 0.
The columns of Q are the left singular vectors of A, the diagonal
elements of S are the singular values of A and the columns of P
are the right singular vectors of A.
Either or both of Q and P' may be requested.
When P' is computed, it is returned in A.
Specification
SUBROUTINE MB03UD( JOBQ, JOBP, N, A, LDA, Q, LDQ, SV, DWORK,
$ LDWORK, INFO )
C .. Scalar Arguments ..
CHARACTER JOBP, JOBQ
INTEGER INFO, LDA, LDQ, LDWORK, N
C .. Array Arguments ..
DOUBLE PRECISION A(LDA,*), DWORK(*), Q(LDQ,*), SV(*)
Arguments
Mode Parameters
JOBQ CHARACTER*1
Specifies whether the user wishes to compute the matrix Q
of left singular vectors as follows:
= 'V': Left singular vectors are computed;
= 'N': No left singular vectors are computed.
JOBP CHARACTER*1
Specifies whether the user wishes to compute the matrix P'
of right singular vectors as follows:
= 'V': Right singular vectors are computed;
= 'N': No right singular vectors are computed.
Input/Output Parameters
N (input) INTEGER
The order of the matrix A. N >= 0.
A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
On entry, the leading N-by-N upper triangular part of this
array must contain the upper triangular matrix A.
On exit, if JOBP = 'V', the leading N-by-N part of this
array contains the N-by-N orthogonal matrix P'; otherwise
the N-by-N upper triangular part of A is used as internal
workspace. The strictly lower triangular part of A is set
internally to zero before the reduction to bidiagonal form
is performed.
LDA INTEGER
The leading dimension of array A. LDA >= MAX(1,N).
Q (output) DOUBLE PRECISION array, dimension (LDQ,N)
If JOBQ = 'V', the leading N-by-N part of this array
contains the orthogonal matrix Q.
If JOBQ = 'N', Q is not referenced.
LDQ INTEGER
The leading dimension of array Q.
LDQ >= 1, and when JOBQ = 'V', LDQ >= MAX(1,N).
SV (output) DOUBLE PRECISION array, dimension (N)
The N singular values of the matrix A, sorted in
descending order.
Workspace
DWORK DOUBLE PRECISION array, dimension (LDWORK)
On exit, if INFO = 0, DWORK(1) returns the optimal LDWORK;
if INFO > 0, DWORK(2:N) contains the unconverged
superdiagonal elements of an upper bidiagonal matrix B
whose diagonal is in SV (not necessarily sorted).
B satisfies A = Q*B*P', so it has the same singular
values as A, and singular vectors related by Q and P'.
LDWORK INTEGER
The length of the array DWORK.
LDWORK >= MAX(1,5*N).
For optimum performance LDWORK should 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;
> 0: the QR 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 routine reduces A to bidiagonal form by means of elementary reflectors and then uses the QR algorithm on the bidiagonal form.Further Comments
NoneExample
Program Text
* MB03UD EXAMPLE PROGRAM TEXT
* Copyright (c) 2002-2017 NICONET e.V.
*
* .. Parameters ..
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER NMAX
PARAMETER ( NMAX = 10 )
INTEGER LDA, LDQ
PARAMETER ( LDA = NMAX, LDQ = NMAX )
INTEGER LDWORK
PARAMETER ( LDWORK = MAX( 1, 5*NMAX ) )
* .. Local Scalars ..
CHARACTER*1 JOBQ, JOBP
INTEGER I, INFO, J, N
* .. Local Arrays ..
DOUBLE PRECISION A(LDA,NMAX), DWORK(LDWORK), Q(LDQ,NMAX),
$ SV(NMAX)
* .. External Functions ..
LOGICAL LSAME
* .. External Subroutines ..
EXTERNAL MB03UD
* .. Intrinsic Functions ..
INTRINSIC MAX
* .. Executable Statements ..
*
WRITE ( NOUT, FMT = 99999 )
* Skip the heading in the data file and read the data.
READ ( NIN, FMT = '()' )
READ ( NIN, FMT = * ) N, JOBQ, JOBP
IF ( N.LT.0 .OR. N.GT.NMAX ) THEN
WRITE ( NOUT, FMT = 99993 ) N
ELSE
READ ( NIN, FMT = * ) ( ( A(I,J), J = 1,N ), I = 1,N )
* Compute the singular values and vectors.
CALL MB03UD( JOBQ, JOBP, N, A, LDA, Q, LDQ, SV, DWORK,
$ LDWORK, INFO )
IF ( INFO.NE.0 ) THEN
WRITE ( NOUT, FMT = 99998 ) INFO
ELSE
WRITE ( NOUT, FMT = 99997 )
WRITE ( NOUT, FMT = 99995 ) ( SV(I), I = 1,N )
IF ( LSAME( JOBP, 'V' ) ) THEN
WRITE ( NOUT, FMT = 99996 )
DO 10 I = 1, N
WRITE ( NOUT, FMT = 99995 ) ( A(I,J), J = 1,N )
10 CONTINUE
END IF
IF ( LSAME( JOBQ, 'V' ) ) THEN
WRITE ( NOUT, FMT = 99994 )
DO 20 I = 1, N
WRITE ( NOUT, FMT = 99995 ) ( Q(I,J), J = 1,N )
20 CONTINUE
END IF
END IF
END IF
*
STOP
*
99999 FORMAT (' MB03UD EXAMPLE PROGRAM RESULTS',/1X)
99998 FORMAT (' INFO on exit from MB03UD = ',I2)
99997 FORMAT (' Singular values are ',I5)
99996 FORMAT (/' The transpose of the right singular vectors matrix is '
$ )
99995 FORMAT (8X,20(1X,F8.4))
99994 FORMAT (/' The left singular vectors matrix is ')
99993 FORMAT (/' N is out of range.',/' N = ',I5)
END
Program Data
MB03UD EXAMPLE PROGRAM DATA 4 V V -1.0 37.0 -12.0 -12.0 0.0 -10.0 0.0 4.0 0.0 0.0 7.0 -6.0 0.0 0.0 0.0 -9.0Program Results
MB03UD EXAMPLE PROGRAM RESULTS
Singular values are
42.0909 11.7764 5.4420 0.2336
The transpose of the right singular vectors matrix is
0.0230 -0.9084 0.2759 0.3132
0.0075 -0.1272 0.5312 -0.8376
0.0092 0.3978 0.8009 0.4476
0.9997 0.0182 -0.0177 -0.0050
The left singular vectors matrix is
-0.9671 -0.0882 -0.0501 -0.2335
0.2456 -0.1765 -0.4020 -0.8643
0.0012 0.7425 0.5367 -0.4008
-0.0670 0.6401 -0.7402 0.1945