Purpose
To compute, for a banded K*M-by-L*N block Toeplitz matrix T with
block size (K,L), specified by the nonzero blocks of its first
block column TC and row TR, a LOWER triangular matrix R (in band
storage scheme) such that
T T
T T = R R . (1)
It is assumed that the first MIN(M*K, N*L) columns of T are
linearly independent.
By subsequent calls of this routine, the matrix R can be computed
block column by block column.
Specification
SUBROUTINE MB02HD( TRIU, K, L, M, ML, N, NU, P, S, TC, LDTC, TR,
$ LDTR, RB, LDRB, DWORK, LDWORK, INFO )
C .. Scalar Arguments ..
CHARACTER TRIU
INTEGER INFO, K, L, LDRB, LDTC, LDTR, LDWORK, M, ML, N,
$ NU, P, S
C .. Array Arguments ..
DOUBLE PRECISION DWORK(LDWORK), RB(LDRB,*), TC(LDTC,*),
$ TR(LDTR,*)
Arguments
Mode Parameters
TRIU CHARACTER*1
Specifies the structure, if any, of the last blocks in TC
and TR, as follows:
= 'N': TC and TR have no special structure;
= 'T': TC and TR are upper and lower triangular,
respectively. Depending on the block sizes, two
different shapes of the last blocks in TC and TR
are possible, as illustrated below:
1) TC TR 2) TC TR
x x x x 0 0 x x x x x 0 0 0
0 x x x x 0 0 x x x x x 0 0
0 0 x x x x 0 0 x x x x x 0
0 0 0 x x x
Input/Output Parameters
K (input) INTEGER
The number of rows in the blocks of T. K >= 0.
L (input) INTEGER
The number of columns in the blocks of T. L >= 0.
M (input) INTEGER
The number of blocks in the first block column of T.
M >= 1.
ML (input) INTEGER
The lower block bandwidth, i.e., ML + 1 is the number of
nonzero blocks in the first block column of T.
0 <= ML < M and (ML + 1)*K >= L and
if ( M*K <= N*L ), ML >= M - INT( ( M*K - 1 )/L ) - 1;
ML >= M - INT( M*K/L ) or
MOD( M*K, L ) >= K;
if ( M*K >= N*L ), ML*K >= N*( L - K ).
N (input) INTEGER
The number of blocks in the first block row of T.
N >= 1.
NU (input) INTEGER
The upper block bandwidth, i.e., NU + 1 is the number of
nonzero blocks in the first block row of T.
If TRIU = 'N', 0 <= NU < N and
(M + NU)*L >= MIN( M*K, N*L );
if TRIU = 'T', MAX(1-ML,0) <= NU < N and
(M + NU)*L >= MIN( M*K, N*L ).
P (input) INTEGER
The number of previously computed block columns of R.
P*L < MIN( M*K,N*L ) + L and P >= 0.
S (input) INTEGER
The number of block columns of R to compute.
(P+S)*L < MIN( M*K,N*L ) + L and S >= 0.
TC (input) DOUBLE PRECISION array, dimension (LDTC,L)
On entry, if P = 0, the leading (ML+1)*K-by-L part of this
array must contain the nonzero blocks in the first block
column of T.
LDTC INTEGER
The leading dimension of the array TC.
LDTC >= MAX(1,(ML+1)*K), if P = 0.
TR (input) DOUBLE PRECISION array, dimension (LDTR,NU*L)
On entry, if P = 0, the leading K-by-NU*L part of this
array must contain the 2nd to the (NU+1)-st blocks of
the first block row of T.
LDTR INTEGER
The leading dimension of the array TR.
LDTR >= MAX(1,K), if P = 0.
RB (output) DOUBLE PRECISION array, dimension
(LDRB,MIN( S*L,MIN( M*K,N*L )-P*L ))
On exit, if INFO = 0 and TRIU = 'N', the leading
MIN( ML+NU+1,N )*L-by-MIN( S*L,MIN( M*K,N*L )-P*L ) part
of this array contains the (P+1)-th to (P+S)-th block
column of the lower R factor (1) in band storage format.
On exit, if INFO = 0 and TRIU = 'T', the leading
MIN( (ML+NU)*L+1,N*L )-by-MIN( S*L,MIN( M*K,N*L )-P*L )
part of this array contains the (P+1)-th to (P+S)-th block
column of the lower R factor (1) in band storage format.
For further details regarding the band storage scheme see
the documentation of the LAPACK routine DPBTF2.
LDRB INTEGER
The leading dimension of the array RB.
LDRB >= MAX( MIN( ML+NU+1,N )*L,1 ), if TRIU = 'N';
LDRB >= MAX( MIN( (ML+NU)*L+1,N*L ),1 ), if TRIU = 'T'.
Workspace
DWORK DOUBLE PRECISION array, dimension (LDWORK)
On exit, if INFO = 0, DWORK(1) returns the optimal
value of LDWORK.
On exit, if INFO = -17, DWORK(1) returns the minimum
value of LDWORK.
The first 1 + 2*MIN( ML+NU+1,N )*L*(K+L) elements of DWORK
should be preserved during successive calls of the routine.
LDWORK INTEGER
The length of the array DWORK.
Let x = MIN( ML+NU+1,N ), then
LDWORK >= 1 + MAX( x*L*L + (2*NU+1)*L*K,
2*x*L*(K+L) + (6+x)*L ), if P = 0;
LDWORK >= 1 + 2*x*L*(K+L) + (6+x)*L, if P > 0.
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;
= 1: the full rank condition for the first MIN(M*K, N*L)
columns of T is (numerically) violated.
Method
Householder transformations and modified hyperbolic rotations 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 yields a factor R which has comparable
accuracy with the Cholesky factor of T^T * T.
The algorithm requires
2 2
O( L *K*N*( ML + NU ) + N*( ML + NU )*L *( L + K ) )
floating point operations.
Further Comments
NoneExample
Program Text
* MB02HD EXAMPLE PROGRAM TEXT
* Copyright (c) 2002-2017 NICONET e.V.
*
* .. Parameters ..
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER KMAX, LMAX, MMAX, MLMAX, NMAX, NUMAX
PARAMETER ( KMAX = 20, LMAX = 20, MMAX = 20, MLMAX = 10,
$ NMAX = 20, NUMAX = 10 )
INTEGER LDRB, LDTC, LDTR, LDWORK
PARAMETER ( LDRB = ( MLMAX + NUMAX + 1 )*LMAX,
$ LDTC = ( MLMAX + 1 )*KMAX, LDTR = KMAX )
PARAMETER ( LDWORK = LDRB*LMAX + ( 2*NUMAX + 1 )*LMAX*KMAX
$ + 2*LDRB*( KMAX + LMAX ) + LDRB
$ + 6*LMAX )
* .. Local Scalars ..
INTEGER I, INFO, J, K, L, LENR, M, ML, N, NU, S
CHARACTER TRIU
* .. Local Arrays ..
DOUBLE PRECISION DWORK(LDWORK), RB(LDRB,NMAX*LMAX),
$ TC(LDTC,LMAX), TR(LDTR,NMAX*LMAX)
* .. External Functions ..
LOGICAL LSAME
EXTERNAL LSAME
* .. External Subroutines ..
EXTERNAL MB02HD
* .. Intrinsic Functions ..
INTRINSIC MIN
*
* .. Executable Statements ..
WRITE ( NOUT, FMT = 99999 )
* Skip the heading in the data file and read the data.
READ ( NIN, FMT = '()' )
READ ( NIN, FMT = * ) K, L, M, ML, N, NU, TRIU
IF( K.LT.0 .OR. K.GT.KMAX ) THEN
WRITE ( NOUT, FMT = 99990 ) K
ELSE IF( L.LT.0 .OR. L.GT.LMAX ) THEN
WRITE ( NOUT, FMT = 99991 ) L
ELSE IF( M.LE.0 .OR. M.GT.MMAX ) THEN
WRITE ( NOUT, FMT = 99992 ) M
ELSE IF( ML.LT.0 .OR. ML.GT.MLMAX ) THEN
WRITE ( NOUT, FMT = 99993 ) ML
ELSE IF( N.LE.0 .OR. N.GT.NMAX ) THEN
WRITE ( NOUT, FMT = 99994 ) N
ELSE IF( NU.LT.0 .OR. NU.GT.NUMAX ) THEN
WRITE ( NOUT, FMT = 99995 ) NU
ELSE
READ ( NIN, FMT = * ) ( ( TC(I,J), J = 1,L ), I = 1,(ML+1)*K )
READ ( NIN, FMT = * ) ( ( TR(I,J), J = 1,NU*L ), I = 1,K )
S = ( MIN( M*K, N*L ) + L - 1 ) / L
* Compute the banded R factor.
CALL MB02HD( TRIU, K, L, M, ML, N, NU, 0, S, TC, LDTC, TR,
$ LDTR, RB, LDRB, DWORK, LDWORK, INFO )
IF ( INFO.NE.0 ) THEN
WRITE ( NOUT, FMT = 99998 ) INFO
ELSE
WRITE ( NOUT, FMT = 99997 )
LENR = ( ML + NU + 1 )*L
IF ( LSAME( TRIU, 'T' ) ) LENR = ( ML + NU )*L + 1
LENR = MIN( LENR, N*L )
DO 10 I = 1, LENR
WRITE ( NOUT, FMT = 99996 ) ( RB(I,J), J = 1,
$ MIN( N*L, M*K ) )
10 CONTINUE
END IF
END IF
STOP
*
99999 FORMAT (' MB02HD EXAMPLE PROGRAM RESULTS',/1X)
99998 FORMAT (' INFO on exit from MB02HD = ',I2)
99997 FORMAT (/' The lower triangular factor R in banded storage ')
99996 FORMAT (20(1X,F8.4))
99995 FORMAT (/' NU is out of range.',/' NU = ',I5)
99994 FORMAT (/' N is out of range.',/' N = ',I5)
99993 FORMAT (/' ML is out of range.',/' ML = ',I5)
99992 FORMAT (/' M is out of range.',/' M = ',I5)
99991 FORMAT (/' L is out of range.',/' L = ',I5)
99990 FORMAT (/' K is out of range.',/' K = ',I5)
END
Program Data
MB02HD EXAMPLE PROGRAM DATA
2 2 6 2 5 1 N
4.0 4.0
1.0 3.0
2.0 1.0
2.0 2.0
4.0 4.0
3.0 4.0
1.0 3.0
2.0 1.0
Program Results
MB02HD EXAMPLE PROGRAM RESULTS The lower triangular factor R in banded storage -7.0711 -2.4125 6.0822 2.9967 5.9732 2.8593 5.8497 2.7914 2.7298 1.9557 -7.4953 -0.0829 5.8986 -0.5571 5.5329 0.2059 5.6797 0.3414 0.9565 0.0000 -4.2426 0.9202 2.4747 -1.6425 2.9472 -1.0052 2.4396 -0.7785 0.0000 0.0000 -5.2326 0.6218 2.8391 -0.0820 3.2670 0.6327 2.7067 0.0000 0.0000 0.0000 -3.5355 0.8207 3.1160 -0.4451 3.5758 0.5701 0.0000 0.0000 0.0000 0.0000 -4.6669 -0.5803 3.9454 0.7682 4.5481 0.0000 0.0000 0.0000 0.0000 0.0000 -1.4142 -0.0415 1.6441 0.4848 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 -2.1213 0.0000 2.4662 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000