Purpose
To compute the eigenvalues of a complex N-by-N skew-Hamiltonian/
Hamiltonian pencil aS - bH, with
( B F ) ( Z11 Z12 )
S = J Z' J' Z and H = ( ), Z = ( ),
( G -B' ) ( Z21 Z22 )
(1)
( 0 I )
J = ( ).
( -I 0 )
The structured Schur form of the embedded real skew-Hamiltonian/
skew-Hamiltonian pencil, aB_S - bB_T, with B_S = J B_Z' J' B_Z,
( Re(Z11) -Im(Z11) | Re(Z12) -Im(Z12) )
( | )
( Im(Z11) Re(Z11) | Im(Z12) Re(Z12) )
( | )
B_Z = (---------------------+---------------------) ,
( | )
( Re(Z21) -Im(Z21) | Re(Z22) -Im(Z22) )
( | )
( Im(Z21) Re(Z21) | Im(Z22) Re(Z22) )
(2)
( -Im(B) -Re(B) | -Im(F) -Re(F) )
( | )
( Re(B) -Im(B) | Re(F) -Im(F) )
( | )
B_T = (-----------------+-----------------) , T = i*H,
( | )
( -Im(G) -Re(G) | -Im(B') Re(B') )
( | )
( Re(G) -Im(G) | -Re(B') -Im(B') )
is determined and used to compute the eigenvalues. Optionally, if
COMPQ = 'C', an orthonormal basis of the right deflating subspace,
Def_-(S, H), of the pencil aS - bH in (1), corresponding to the
eigenvalues with strictly negative real part, is computed. Namely,
after transforming aB_S - bB_H, in the factored form, by unitary
matrices, we have B_Sout = J B_Zout' J' B_Zout,
( BA BD ) ( BB BF )
B_Zout = ( ) and B_Hout = ( ), (3)
( 0 BC ) ( 0 -BB' )
and the eigenvalues with strictly negative real part of the
complex pencil aB_Sout - bB_Hout are moved to the top. The
notation M' denotes the conjugate transpose of the matrix M.
Optionally, if COMPU = 'C', an orthonormal basis of the companion
subspace, range(P_U) [1], which corresponds to the eigenvalues
with negative real part, is computed. The embedding doubles the
multiplicities of the eigenvalues of the pencil aS - bH.
Specification
SUBROUTINE MB03FZ( COMPQ, COMPU, ORTH, N, Z, LDZ, B, LDB, FG,
$ LDFG, NEIG, D, LDD, C, LDC, Q, LDQ, U, LDU,
$ ALPHAR, ALPHAI, BETA, IWORK, LIWORK, DWORK,
$ LDWORK, ZWORK, LZWORK, BWORK, INFO )
C .. Scalar Arguments ..
CHARACTER COMPQ, COMPU, ORTH
INTEGER INFO, LDB, LDC, LDD, LDFG, LDQ, LDU, LDWORK,
$ LDZ, LIWORK, LZWORK, N, NEIG
C .. Array Arguments ..
LOGICAL BWORK( * )
INTEGER IWORK( * )
DOUBLE PRECISION ALPHAI( * ), ALPHAR( * ), BETA( * ), DWORK( * )
COMPLEX*16 B( LDB, * ), C( LDC, * ), D( LDD, * ),
$ FG( LDFG, * ), Q( LDQ, * ), U( LDU, * ),
$ Z( LDZ, * ), ZWORK( * )
Arguments
Mode Parameters
COMPQ CHARACTER*1
Specifies whether to compute the right deflating subspace
corresponding to the eigenvalues of aS - bH with strictly
negative real part.
= 'N': do not compute the deflating subspace;
= 'C': compute the deflating subspace and store it in the
leading subarray of Q.
COMPU CHARACTER*1
Specifies whether to compute the companion subspace
corresponding to the eigenvalues of aS - bH with strictly
negative real part.
= 'N': do not compute the companion subspace;
= 'C': compute the companion subspace and store it in the
leading subarray of U.
ORTH CHARACTER*1
If COMPQ = 'C' or COMPU = 'C', specifies the technique for
computing the orthonormal bases of the deflating subspace
and companion subspace, as follows:
= 'P': QR factorization with column pivoting;
= 'S': singular value decomposition.
If COMPQ = 'N' and COMPU = 'N', the ORTH value is not
used.
Input/Output Parameters
N (input) INTEGER
Order of the pencil aS - bH. N >= 0, even.
Z (input/output) COMPLEX*16 array, dimension (LDZ, N)
On entry, the leading N-by-N part of this array must
contain the non-trivial factor Z in the factorization
S = J Z' J' Z of the skew-Hamiltonian matrix S.
On exit, if COMPQ = 'C' or COMPU = 'C', the leading
N-by-N part of this array contains the upper triangular
matrix BA in (3) (see also METHOD). The strictly lower
triangular part is not zeroed.
If COMPQ = 'N' and COMPU = 'N', this array is unchanged
on exit.
LDZ INTEGER
The leading dimension of the array Z. LDZ >= MAX(1, N).
B (input/output) COMPLEX*16 array, dimension (LDB, N)
On entry, the leading N/2-by-N/2 part of this array must
contain the matrix B.
On exit, if COMPQ = 'C' or COMPU = 'C', the leading
N-by-N part of this array contains the upper triangular
matrix BB in (3) (see also METHOD). The strictly lower
triangular part is not zeroed.
If COMPQ = 'N' and COMPU = 'N', this array is unchanged
on exit.
LDB INTEGER
The leading dimension of the array B. LDB >= MAX(1, N).
FG (input/output) COMPLEX*16 array, dimension (LDFG, N)
On entry, the leading N/2-by-N/2 lower triangular part of
this array must contain the lower triangular part of the
Hermitian matrix G, and the N/2-by-N/2 upper triangular
part of the submatrix in the columns 2 to N/2+1 of this
array must contain the upper triangular part of the
Hermitian matrix F.
On exit, if COMPQ = 'C' or COMPU = 'C', the leading
N-by-N part of this array contains the Hermitian matrix
BF in (3) (see also METHOD). The strictly lower triangular
part of the input matrix is preserved. The diagonal
elements might have tiny imaginary parts.
If COMPQ = 'N' and COMPU = 'N', this array is unchanged
on exit.
LDFG INTEGER
The leading dimension of the array FG. LDFG >= MAX(1, N).
NEIG (output) INTEGER
If COMPQ = 'C' or COMPU = 'C', the number of eigenvalues
in aS - bH with strictly negative real part.
D (output) COMPLEX*16 array, dimension (LDD, N)
If COMPQ = 'C' or COMPU = 'C', the leading N-by-N part of
this array contains the matrix BD in (3) (see METHOD).
If COMPQ = 'N' and COMPU = 'N', this array is not
referenced.
LDD INTEGER
The leading dimension of the array D.
LDD >= 1, if COMPQ = 'N' and COMPU = 'N';
LDD >= MAX(1, N), if COMPQ = 'C' or COMPU = 'C'.
C (output) COMPLEX*16 array, dimension (LDC, N)
If COMPQ = 'C' or COMPU = 'C', the leading N-by-N part of
this array contains the lower triangular matrix BC in (3)
(see also METHOD). The strictly upper triangular part is
not zeroed.
If COMPQ = 'N' and COMPU = 'N', this array is not
referenced.
LDC INTEGER
The leading dimension of the array C.
LDC >= 1, if COMPQ = 'N' and COMPU = 'N';
LDC >= MAX(1, N), if COMPQ = 'C' or COMPU = 'C'.
Q (output) COMPLEX*16 array, dimension (LDQ, 2*N)
On exit, if COMPQ = 'C', the leading N-by-NEIG part of
this array contains an orthonormal basis of the right
deflating subspace corresponding to the eigenvalues of the
pencil aS - bH with strictly negative real part.
The remaining entries are meaningless.
If COMPQ = 'N', this array is not referenced.
LDQ INTEGER
The leading dimension of the array Q.
LDQ >= 1, if COMPQ = 'N';
LDQ >= MAX(1, 2*N), if COMPQ = 'C'.
U (output) COMPLEX*16 array, dimension (LDU, 2*N)
On exit, if COMPU = 'C', the leading N-by-NEIG part of
this array contains an orthonormal basis of the companion
subspace corresponding to the eigenvalues of the
pencil aS - bH with strictly negative real part. The
remaining entries are meaningless.
If COMPU = 'N', this array is not referenced.
LDU INTEGER
The leading dimension of the array U.
LDU >= 1, if COMPU = 'N';
LDU >= MAX(1, N), if COMPU = 'C'.
ALPHAR (output) DOUBLE PRECISION array, dimension (N)
The real parts of each scalar alpha defining an eigenvalue
of the pencil aS - bH.
ALPHAI (output) DOUBLE PRECISION array, dimension (N)
The imaginary parts of each scalar alpha defining an
eigenvalue of the pencil aS - bH.
If ALPHAI(j) is zero, then the j-th eigenvalue is real.
BETA (output) DOUBLE PRECISION array, dimension (N)
The scalars beta that define the eigenvalues of the pencil
aS - bH.
Together, the quantities alpha = (ALPHAR(j),ALPHAI(j)) and
beta = BETA(j) represent the j-th eigenvalue of the pencil
aS - bH, in the form lambda = alpha/beta. Since lambda may
overflow, the ratios should not, in general, be computed.
Workspace
IWORK INTEGER array, dimension (LIWORK)
LIWORK INTEGER
The dimension of the array IWORK. LIWORK >= 2*N+9.
DWORK DOUBLE PRECISION array, dimension (LDWORK)
On exit, if INFO = 0, DWORK(1) returns the optimal LDWORK.
On exit, if INFO = -26, DWORK(1) returns the minimum
value of LDWORK.
LDWORK INTEGER
The dimension of the array DWORK.
LDWORK >= c*N**2 + N + MAX(2*N, 24) + 3, where
c = 18, if COMPU = 'C';
c = 16, if COMPQ = 'C' and COMPU = 'N';
c = 13, if COMPQ = 'N' and COMPU = 'N'.
For good performance LDWORK should be generally 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.
ZWORK COMPLEX*16 array, dimension (LZWORK)
On exit, if INFO = 0, ZWORK(1) returns the optimal LZWORK.
On exit, if INFO = -28, ZWORK(1) returns the minimum
value of LZWORK.
LZWORK INTEGER
The dimension of the array ZWORK.
LZWORK >= 8*N + 28, if COMPQ = 'C';
LZWORK >= 6*N + 28, if COMPQ = 'N' and COMPU = 'C';
LZWORK >= 1, if COMPQ = 'N' and COMPU = 'N'.
For good performance LZWORK should be generally larger.
If LZWORK = -1, then a workspace query is assumed;
the routine only calculates the optimal size of the
ZWORK array, returns this value as the first entry of
the ZWORK array, and no error message related to LZWORK
is issued by XERBLA.
BWORK LOGICAL array, dimension (LBWORK)
LBWORK >= 0, if COMPQ = 'N' and COMPU = 'N';
LBWORK >= N, if COMPQ = 'C' or COMPU = 'C'.
Error Indicator
INFO INTEGER
= 0: succesful exit;
< 0: if INFO = -i, the i-th argument had an illegal value;
= 1: the algorithm was not able to reveal information
about the eigenvalues from the 2-by-2 blocks in the
SLICOT Library routine MB03BD (called by MB04ED);
= 2: periodic QZ iteration failed in the SLICOT Library
routines MB03BD or MB03BZ when trying to
triangularize the 2-by-2 blocks;
= 3: the singular value decomposition failed in the LAPACK
routine ZGESVD (for ORTH = 'S').
Method
First T = i*H is set. Then, the embeddings, B_Z and B_T, of the
matrices S and T, are determined and, subsequently, the SLICOT
Library routine MB04ED is applied to compute the structured Schur
form, i.e., the factorizations
~ ( BZ11 BZ12 )
B_Z = U' B_Z Q = ( ) and
( 0 BZ22 )
~ ( T11 T12 )
B_T = J Q' J' B_T Q = ( ),
( 0 T11' )
where Q is real orthogonal, U is real orthogonal symplectic, BZ11,
BZ22' are upper triangular and T11 is upper quasi-triangular.
Second, the SLICOT Library routine MB03IZ is applied, to compute a
~ ~
unitary matrix Q and a unitary symplectic matrix U, such that
~ ~
~ ~ ~ ( Z11 Z12 )
U' B_Z Q = ( ~ ) =: B_Zout,
( 0 Z22 )
~ ~ ~ ( H11 H12 )
J Q' J'(-i*B_T) Q = ( ) =: B_Hout,
( 0 -H11' )
~ ~
with Z11, Z22', H11 upper triangular, and such that the spectrum
~ ~ ~
Spec_-(J B_Z' J' B_Z, -i*B_T) is contained in the spectrum of the
~ ~
2*NEIG-by-2*NEIG leading principal subpencil aZ22'*Z11 - bH11.
Finally, the right deflating subspace and the companion subspace
are computed. See also page 21 in [1] for more details.
References
[1] Benner, P., Byers, R., Mehrmann, V. and Xu, H.
Numerical Computation of Deflating Subspaces of Embedded
Hamiltonian Pencils.
Tech. Rep. SFB393/99-15, Technical University Chemnitz,
Germany, June 1999.
Numerical Aspects
3 The algorithm is numerically backward stable and needs O(N ) complex floating point operations.Further Comments
This routine does not perform any scaling of the matrices. Scaling might sometimes be useful, and it should be done externally.Example
Program Text
* MB03FZ EXAMPLE PROGRAM TEXT
* Copyright (c) 2002-2017 NICONET e.V.
*
* .. Parameters ..
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER NMAX
PARAMETER ( NMAX = 50 )
INTEGER LDB, LDC, LDD, LDFG, LDQ, LDU, LDWORK, LDZ,
$ LIWORK, LZWORK
PARAMETER ( LDB = NMAX, LDC = NMAX, LDD = NMAX,
$ LDFG = NMAX, LDQ = 2*NMAX, LDU = NMAX,
$ LDWORK = 18*NMAX*NMAX + NMAX + 3 +
$ MAX( 2*NMAX, 24 ), LDZ = NMAX,
$ LIWORK = 2*NMAX + 9, LZWORK = 8*NMAX + 28 )
*
* .. Local Scalars ..
CHARACTER COMPQ, COMPU, ORTH
INTEGER I, INFO, J, M, N, NEIG
*
* .. Local Arrays ..
COMPLEX*16 B( LDB, NMAX ), C( LDC, NMAX ), D( LDD, NMAX ),
$ FG( LDFG, NMAX ), Q( LDQ, 2*NMAX ),
$ U( LDU, 2*NMAX ), Z( LDZ, NMAX ),
$ ZWORK( LZWORK )
DOUBLE PRECISION ALPHAI( NMAX ), ALPHAR( NMAX ), BETA( NMAX ),
$ DWORK( LDWORK )
INTEGER IWORK( LIWORK )
LOGICAL BWORK( NMAX )
*
* .. External Functions ..
LOGICAL LSAME
EXTERNAL LSAME
*
* .. External Subroutines ..
EXTERNAL MB03FZ
*
* .. Intrinsic Functions ..
INTRINSIC MAX, MOD
*
* .. Executable Statements ..
*
WRITE( NOUT, FMT = 99999 )
* Skip the heading in the data file and read in the data.
READ( NIN, FMT = * )
READ( NIN, FMT = * ) COMPQ, COMPU, ORTH, N
IF( N.LT.0 .OR. N.GT.NMAX .OR. MOD( N, 2 ).NE.0 ) THEN
WRITE( NOUT, FMT = 99998 ) N
ELSE
M = N/2
READ( NIN, FMT = * ) ( ( Z( I, J ), J = 1, N ), I = 1, N )
READ( NIN, FMT = * ) ( ( B( I, J ), J = 1, M ), I = 1, M )
READ( NIN, FMT = * ) ( ( FG( I, J ), J = 1, M+1 ), I = 1, M )
* Compute the eigenvalues and orthogonal bases of the right
* deflating subspace and companion subspace of a complex
* skew-Hamiltonian/Hamiltonian pencil, corresponding to the
* eigenvalues with strictly negative real part.
CALL MB03FZ( COMPQ, COMPU, ORTH, N, Z, LDZ, B, LDB, FG, LDFG,
$ NEIG, D, LDD, C, LDC, Q, LDQ, U, LDU, ALPHAR,
$ ALPHAI, BETA, IWORK, LIWORK, DWORK, LDWORK, ZWORK,
$ LZWORK, BWORK, INFO )
*
IF( INFO.NE.0 ) THEN
WRITE( NOUT, FMT = 99997 ) INFO
ELSE
WRITE( NOUT, FMT = 99996 )
DO 10 I = 1, N
WRITE( NOUT, FMT = 99995 ) ( Z( I, J ), J = 1, N )
10 CONTINUE
IF( LSAME( COMPQ, 'C' ) .OR. LSAME( COMPU, 'C' ) ) THEN
WRITE( NOUT, FMT = 99994 )
DO 20 I = 1, N
WRITE( NOUT, FMT = 99995 ) ( D( I, J ), J = 1, N )
20 CONTINUE
WRITE( NOUT, FMT = 99993 )
DO 30 I = 1, N
WRITE( NOUT, FMT = 99995 ) ( C( I, J ), J = 1, N )
30 CONTINUE
WRITE( NOUT, FMT = 99992 )
DO 40 I = 1, N
WRITE( NOUT, FMT = 99995 ) ( B( I, J ), J = 1, N )
40 CONTINUE
WRITE( NOUT, FMT = 99991 )
DO 50 I = 1, N
WRITE( NOUT, FMT = 99995 ) ( FG( I, J ), J = 1, N )
50 CONTINUE
END IF
WRITE( NOUT, FMT = 99990 )
WRITE( NOUT, FMT = 99989 ) ( ALPHAR( I ), I = 1, N )
WRITE( NOUT, FMT = 99988 )
WRITE( NOUT, FMT = 99989 ) ( ALPHAI( I ), I = 1, N )
WRITE( NOUT, FMT = 99987 )
WRITE( NOUT, FMT = 99989 ) ( BETA( I ), I = 1, N )
IF( LSAME( COMPQ, 'C' ) .AND. NEIG.GT.0 ) THEN
WRITE( NOUT, FMT = 99986 )
DO 60 I = 1, N
WRITE( NOUT, FMT = 99995 ) ( Q( I, J ), J = 1, NEIG )
60 CONTINUE
END IF
IF( LSAME( COMPU, 'C' ) .AND. NEIG.GT.0 ) THEN
WRITE( NOUT, FMT = 99985 )
DO 70 I = 1, N
WRITE( NOUT, FMT = 99995 ) ( U( I, J ), J = 1, NEIG )
70 CONTINUE
END IF
IF( LSAME( COMPQ, 'C' ) .OR. LSAME( COMPU, 'C' ) )
$ WRITE( NOUT, FMT = 99984 ) NEIG
END IF
END IF
STOP
*
99999 FORMAT ( 'MB03FZ EXAMPLE PROGRAM RESULTS', 1X )
99998 FORMAT ( 'N is out of range.', /, 'N = ', I5 )
99997 FORMAT ( 'INFO on exit from MB03FZ = ', I2 )
99996 FORMAT (/'The matrix Z on exit is ' )
99995 FORMAT ( 20( 1X, F9.4, SP, F9.4, S, 'i ') )
99994 FORMAT (/'The matrix D is ' )
99993 FORMAT (/'The matrix C is ' )
99992 FORMAT (/'The matrix B on exit is ' )
99991 FORMAT (/'The matrix F on exit is ' )
99990 FORMAT (/'The vector ALPHAR is ' )
99989 FORMAT ( 50( 1X, F8.4 ) )
99988 FORMAT (/'The vector ALPHAI is ' )
99987 FORMAT (/'The vector BETA is ' )
99986 FORMAT (/'The deflating subspace corresponding to the ',
$ 'eigenvalues with negative real part is ' )
99985 FORMAT (/'The companion subspace corresponding to the ',
$ 'eigenvalues with negative real part is ' )
99984 FORMAT (/'The number of eigenvalues in the initial pencil with ',
$ 'negative real part is ', I2 )
END
Program Data
MB03FZ EXAMPLE PROGRAM DATA
C C P 4
(0.0328,0.9611) (0.6428,0.2585) (0.7033,0.4254) (0.2552,0.7053)
(0.0501,0.2510) (0.2827,0.8865) (0.4719,0.5387) (0.0389,0.5676)
(0.5551,0.4242) (0.0643,0.2716) (0.1165,0.7875) (0.9144,0.3891)
(0.0539,0.7931) (0.0408,0.2654) (0.9912,0.0989) (0.0991,0.6585)
(0.0547,0.8726) (0.4008,0.8722)
(0.7423,0.6166) (0.2631,0.5872)
0.8740 0.3697 (0.9178,0.6418)
(0.7748,0.5358) 0.1652 0.2441
Program Results
MB03FZ EXAMPLE PROGRAM RESULTS
The matrix Z on exit is
1.1347 -0.1694i 0.0920 -0.0894i 0.5253 +0.0280i -0.0597 +0.1098i
0.0000 +0.0000i -0.9874 -0.6015i 0.2523 -0.0600i 0.3178 -0.0902i
0.5551 +0.4242i 0.0643 +0.2716i 0.7553 -0.3356i 0.4772 -0.3177i
0.0539 +0.7931i 0.0408 +0.2654i 0.9912 +0.0989i 0.9064 -0.1055i
The matrix D is
-0.7634 -0.2773i -0.8466 -0.9586i -0.0308 -0.0175i -0.2754 -0.0715i
1.2612 -0.2643i -0.7291 -0.3165i 0.0282 -0.1748i 0.4091 +0.0233i
0.3773 -0.1536i -0.3937 -0.0480i -0.1635 +0.1617i -0.1775 +0.1277i
0.7540 -0.0280i -0.6860 -0.8306i -0.2446 +0.0943i -0.0722 +0.0517i
The matrix C is
0.5063 +0.1548i 0.0000 +0.0000i 0.0000 +0.0000i 0.0000 +0.0000i
-0.0046 +0.1049i 0.3884 +0.3420i 0.0000 +0.0000i 0.0000 +0.0000i
-1.1206 +0.1313i -0.2270 -0.1753i 0.4300 -0.6107i 0.0000 +0.0000i
-0.6127 -0.1939i -0.5713 -0.7913i 0.3739 -0.2943i -1.1501 -0.0850i
The matrix B on exit is
0.3322 +1.9093i -0.1216 -0.1193i -0.0030 +0.0330i 0.0405 +0.0592i
0.0000 +0.0000i 0.1863 -1.8998i 0.2983 +0.2974i 0.6636 +0.5916i
0.0000 +0.0000i 0.0000 +0.0000i 0.4459 -0.7452i -0.0625 +0.2197i
0.0000 +0.0000i 0.0000 +0.0000i 0.0000 +0.0000i 0.1418 +0.7392i
The matrix F on exit is
0.0258 +0.0000i -0.0878 +0.1090i 0.3547 +0.5306i -0.0138 -0.8770i
0.7748 +0.5358i 0.0864 +0.0000i -0.3788 -0.2829i -0.3303 -0.0415i
0.0000 +0.0000i 0.0000 +0.0000i -0.0184 +0.0000i 0.1077 -0.0795i
0.0000 +0.0000i 0.0000 +0.0000i 0.0000 +0.0000i -0.0938 +0.0000i
The vector ALPHAR is
0.4295 -0.4295 0.0000 0.0000
The vector ALPHAI is
1.5363 1.5363 -1.4069 -0.7153
The vector BETA is
0.5000 0.5000 1.0000 1.0000
The deflating subspace corresponding to the eigenvalues with negative real part is
-0.2249 +0.4158i
-0.1984 -0.3100i
0.7286 -0.0427i
0.3282 -0.0251i
The companion subspace corresponding to the eigenvalues with negative real part is
-0.1542 -0.0712i
-0.4162 -0.3021i
-0.0806 -0.6946i
-0.4580 -0.0889i
The number of eigenvalues in the initial pencil with negative real part is 1