Purpose
To solve a system of linear equations T*X = B or X*T = B with a symmetric positive definite (s.p.d.) block Toeplitz matrix T. T is defined either by its first block row or its first block column, depending on the parameter TYPET.Specification
SUBROUTINE MB02ED( TYPET, K, N, NRHS, T, LDT, B, LDB, DWORK,
$ LDWORK, INFO )
C .. Scalar Arguments ..
CHARACTER TYPET
INTEGER INFO, K, LDB, LDT, LDWORK, N, NRHS
C .. Array Arguments ..
DOUBLE PRECISION B(LDB,*), DWORK(*), T(LDT,*)
Arguments
Mode Parameters
TYPET CHARACTER*1
Specifies the type of T, as follows:
= 'R': T contains the first block row of an s.p.d. block
Toeplitz matrix, and the system X*T = B is solved;
= 'C': T contains the first block column of an s.p.d.
block Toeplitz matrix, and the system T*X = B is
solved.
Note: in the sequel, the notation x / y means that
x corresponds to TYPET = 'R' and y corresponds to
TYPET = 'C'.
Input/Output Parameters
K (input) INTEGER
The number of rows / columns in T, which should be equal
to the blocksize. K >= 0.
N (input) INTEGER
The number of blocks in T. N >= 0.
NRHS (input) INTEGER
The number of right hand sides. NRHS >= 0.
T (input/output) DOUBLE PRECISION array, dimension
(LDT,N*K) / (LDT,K)
On entry, the leading K-by-N*K / N*K-by-K part of this
array must contain the first block row / column of an
s.p.d. block Toeplitz matrix.
On exit, if INFO = 0 and NRHS > 0, then the leading
K-by-N*K / N*K-by-K part of this array contains the last
row / column of the Cholesky factor of inv(T).
LDT INTEGER
The leading dimension of the array T.
LDT >= MAX(1,K), if TYPET = 'R';
LDT >= MAX(1,N*K), if TYPET = 'C'.
B (input/output) DOUBLE PRECISION array, dimension
(LDB,N*K) / (LDB,NRHS)
On entry, the leading NRHS-by-N*K / N*K-by-NRHS part of
this array must contain the right hand side matrix B.
On exit, the leading NRHS-by-N*K / N*K-by-NRHS part of
this array contains the solution matrix X.
LDB INTEGER
The leading dimension of the array B.
LDB >= MAX(1,NRHS), if TYPET = 'R';
LDB >= MAX(1,N*K), if TYPET = 'C'.
Workspace
DWORK DOUBLE PRECISION array, dimension (LDWORK)
On exit, if INFO = 0, DWORK(1) returns the optimal
value of LDWORK.
On exit, if INFO = -10, DWORK(1) returns the minimum
value of LDWORK.
LDWORK INTEGER
The length of the array DWORK.
LDWORK >= MAX(1,N*K*K+(N+2)*K).
For optimum performance LDWORK should be larger.
Error Indicator
INFO INTEGER
= 0: successful exit;
< 0: if INFO = -i, the i-th argument had an illegal
value;
= 1: the reduction algorithm failed. The Toeplitz matrix
associated with T is not (numerically) positive
definite.
Method
Householder transformations, modified hyperbolic rotations and block Gaussian eliminations are used in the Schur algorithm [1], [2].References
[1] Kailath, T. and Sayed, A.
Fast Reliable Algorithms for Matrices with Structure.
SIAM Publications, Philadelphia, 1999.
[2] Kressner, D. and Van Dooren, P.
Factorizations and linear system solvers for matrices with
Toeplitz structure.
SLICOT Working Note 2000-2, 2000.
Numerical Aspects
The implemented method is numerically equivalent with forming
the Cholesky factor R and the inverse Cholesky factor of T, using
the generalized Schur algorithm, and solving the systems of
equations R*X = L*B or X*R = B*L by a blocked backward
substitution algorithm.
3 2 2 2
The algorithm requires 0(K N + K N NRHS) floating point
operations.
Further Comments
NoneExample
Program Text
* MB02ED EXAMPLE PROGRAM TEXT
* Copyright (c) 2002-2017 NICONET e.V.
*
* .. Parameters ..
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER KMAX, NMAX
PARAMETER ( KMAX = 20, NMAX = 20 )
INTEGER LDB, LDT, LDWORK
PARAMETER ( LDB = KMAX*NMAX, LDT = KMAX*NMAX,
$ LDWORK = NMAX*KMAX*KMAX + ( NMAX+2 )*KMAX )
* .. Local Scalars ..
INTEGER I, INFO, J, K, M, N, NRHS
CHARACTER TYPET
* .. Local Arrays ..
* The arrays B and T are dimensioned for both TYPET = 'R' and
* TYPET = 'C'.
* NRHS is assumed to be not larger than KMAX*NMAX.
DOUBLE PRECISION B(LDB, KMAX*NMAX), DWORK(LDWORK),
$ T(LDT, KMAX*NMAX)
* .. External Functions ..
LOGICAL LSAME
EXTERNAL LSAME
* .. External Subroutines ..
EXTERNAL MB02ED
*
* .. Executable Statements ..
WRITE ( NOUT, FMT = 99999 )
* Skip the heading in the data file and read the data.
READ ( NIN, FMT = '()' )
READ ( NIN, FMT = * ) N, K, NRHS, TYPET
M = N*K
IF ( N.LE.0 .OR. N.GT.NMAX ) THEN
WRITE ( NOUT, FMT = 99994 ) N
ELSE
IF ( K.LE.0 .OR. K.GT.KMAX ) THEN
WRITE ( NOUT, FMT = 99993 ) K
ELSE
IF ( NRHS.LE.0 .OR. NRHS.GT.KMAX*NMAX ) THEN
WRITE ( NOUT, FMT = 99992 ) NRHS
ELSE
IF ( LSAME( TYPET, 'R' ) ) THEN
READ ( NIN, FMT = * ) ( ( T(I,J), J = 1,M ), I = 1,K )
ELSE
READ ( NIN, FMT = * ) ( ( T(I,J), J = 1,K ), I = 1,M )
END IF
IF ( LSAME( TYPET, 'R' ) ) THEN
READ (NIN, FMT = * ) ( ( B(I,J), J = 1,M ), I = 1,
$ NRHS )
ELSE
READ (NIN, FMT = * ) ( ( B(I,J), J = 1,NRHS ), I = 1,
$ M )
END IF
* Compute the solution of X T = B or T X = B.
CALL MB02ED( TYPET, K, N, NRHS, T, LDT, B, LDB, DWORK,
$ LDWORK, INFO )
IF ( INFO.NE.0 ) THEN
WRITE ( NOUT, FMT = 99998 ) INFO
ELSE
IF ( LSAME( TYPET, 'R' ) ) THEN
WRITE ( NOUT, FMT = 99997 )
DO 10 I = 1, NRHS
WRITE ( NOUT, FMT = 99995 ) ( B(I,J), J = 1, M )
10 CONTINUE
ELSE
WRITE ( NOUT, FMT = 99996 )
DO 20 I = 1, M
WRITE ( NOUT, FMT = 99995 ) ( B(I,J), J = 1,
$ NRHS )
20 CONTINUE
END IF
END IF
END IF
END IF
END IF
STOP
*
99999 FORMAT (' MB02ED EXAMPLE PROGRAM RESULTS',/1X)
99998 FORMAT (' INFO on exit from MB02ED = ',I2)
99997 FORMAT (' The solution of X*T = B is ')
99996 FORMAT (' The solution of T*X = B is ')
99995 FORMAT (20(1X,F8.4))
99994 FORMAT (/' N is out of range.',/' N = ',I5)
99993 FORMAT (/' K is out of range.',/' K = ',I5)
99992 FORMAT (/' NRHS is out of range.',/' NRHS = ',I5)
END
Program Data
MB02ED EXAMPLE PROGRAM DATA
3 3 2 C
3.0000 1.0000 0.2000
1.0000 4.0000 0.4000
0.2000 0.4000 5.0000
0.1000 0.1000 0.2000
0.2000 0.0400 0.0300
0.0500 0.2000 0.1000
0.1000 0.0300 0.1000
0.0400 0.0200 0.2000
0.0100 0.0300 0.0200
1.0000 2.0000
1.0000 2.0000
1.0000 2.0000
1.0000 2.0000
1.0000 2.0000
1.0000 2.0000
1.0000 2.0000
1.0000 2.0000
1.0000 2.0000
Program Results
MB02ED EXAMPLE PROGRAM RESULTS The solution of T*X = B is 0.2408 0.4816 0.1558 0.3116 0.1534 0.3068 0.2302 0.4603 0.1467 0.2934 0.1537 0.3075 0.2349 0.4698 0.1498 0.2995 0.1653 0.3307