Purpose
To compute for the descriptor system (A-lambda E,B,C)
the orthogonal transformation matrices Q and Z such that the
transformed system (Q'*A*Z-lambda Q'*E*Z, Q'*B, C*Z) is in an
SVD (singular value decomposition) coordinate form with
the system matrices Q'*A*Z and Q'*E*Z in the form
( A11 A12 ) ( Er 0 )
Q'*A*Z = ( ) , Q'*E*Z = ( ) ,
( A21 A22 ) ( 0 0 )
where Er is an invertible diagonal matrix having on the diagonal
the decreasingly ordered nonzero singular values of E.
Optionally, the A22 matrix can be further reduced to the
SVD form
( Ar 0 )
A22 = ( ) ,
( 0 0 )
where Ar is an invertible diagonal matrix having on the diagonal
the decreasingly ordered nonzero singular values of A22.
The left and/or right orthogonal transformations performed
to reduce E and A22 are accumulated.
Specification
SUBROUTINE TG01ED( JOBA, L, N, M, P, A, LDA, E, LDE, B, LDB,
$ C, LDC, Q, LDQ, Z, LDZ, RANKE, RNKA22, TOL,
$ DWORK, LDWORK, INFO )
C .. Scalar Arguments ..
CHARACTER JOBA
INTEGER INFO, L, LDA, LDB, LDC, LDE, LDQ, LDWORK,
$ LDZ, M, N, P, RNKA22, RANKE
DOUBLE PRECISION TOL
C .. Array Arguments ..
DOUBLE PRECISION A( LDA, * ), B( LDB, * ), C( LDC, * ),
$ DWORK( * ), E( LDE, * ), Q( LDQ, * ),
$ Z( LDZ, * )
Arguments
Mode Parameters
JOBA CHARACTER*1
= 'N': do not reduce A22;
= 'R': reduce A22 to an SVD form.
Input/Output Parameters
L (input) INTEGER
The number of rows of matrices A, B, and E. L >= 0.
N (input) INTEGER
The number of columns of matrices A, E, and C. N >= 0.
M (input) INTEGER
The number of columns of matrix B. M >= 0.
P (input) INTEGER
The number of rows of matrix C. P >= 0.
A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
On entry, the leading L-by-N part of this array must
contain the state dynamics matrix A.
On exit, the leading L-by-N part of this array contains
the transformed matrix Q'*A*Z. If JOBA = 'R', this matrix
is in the form
( A11 * * )
Q'*A*Z = ( * Ar 0 ) ,
( * 0 0 )
where A11 is a RANKE-by-RANKE matrix and Ar is a
RNKA22-by-RNKA22 invertible diagonal matrix, with
decresingly ordered positive diagonal elements.
LDA INTEGER
The leading dimension of array A. LDA >= MAX(1,L).
E (input/output) DOUBLE PRECISION array, dimension (LDE,N)
On entry, the leading L-by-N part of this array must
contain the descriptor matrix E.
On exit, the leading L-by-N part of this array contains
the transformed matrix Q'*E*Z.
( Er 0 )
Q'*E*Z = ( ) ,
( 0 0 )
where Er is a RANKE-by-RANKE invertible diagonal matrix
having on the diagonal the decreasingly ordered positive
singular values of E.
LDE INTEGER
The leading dimension of array E. LDE >= MAX(1,L).
B (input/output) DOUBLE PRECISION array, dimension (LDB,M)
On entry, the leading L-by-M part of this array must
contain the input/state matrix B.
On exit, the leading L-by-M part of this array contains
the transformed matrix Q'*B.
LDB INTEGER
The leading dimension of array B.
LDB >= MAX(1,L) if M > 0 or LDB >= 1 if M = 0.
C (input/output) DOUBLE PRECISION array, dimension (LDC,N)
On entry, the leading P-by-N part of this array must
contain the state/output matrix C.
On exit, the leading P-by-N part of this array contains
the transformed matrix C*Z.
LDC INTEGER
The leading dimension of array C. LDC >= MAX(1,P).
Q (output) DOUBLE PRECISION array, dimension (LDQ,L)
The leading L-by-L part of this array contains the
orthogonal matrix Q, which is the accumulated product of
transformations applied to A, E, and B on the left.
LDQ INTEGER
The leading dimension of array Q. LDQ >= MAX(1,L).
Z (output) DOUBLE PRECISION array, dimension (LDZ,N)
The leading N-by-N part of this array contains the
orthogonal matrix Z, which is the accumulated product of
transformations applied to A, E, and C on the right.
LDZ INTEGER
The leading dimension of array Z. LDZ >= MAX(1,N).
RANKE (output) INTEGER
The effective rank of matrix E, and thus also the order
of the invertible diagonal submatrix Er.
RANKE is computed as the number of singular values of E
greater than TOL*SVEMAX, where SVEMAX is the maximum
singular value of E.
RNKA22 (output) INTEGER
If JOBA = 'R', then RNKA22 is the effective rank of
matrix A22, and thus also the order of the invertible
diagonal submatrix Ar. RNKA22 is computed as the number
of singular values of A22 greater than TOL*SVAMAX,
where SVAMAX is an estimate of the maximum singular value
of A.
If JOBA = 'N', then RNKA22 is not referenced.
Tolerances
TOL DOUBLE PRECISION
The tolerance to be used in determining the rank of E
and of A22. If TOL > 0, then singular values less than
TOL*SVMAX are treated as zero, where SVMAX is the maximum
singular value of E or an estimate of it for A and E.
If TOL <= 0, the default tolerance TOLDEF = EPS*L*N is
used instead, where EPS is the machine precision
(see LAPACK Library routine DLAMCH). TOL < 1.
Workspace
DWORK DOUBLE PRECISION array, dimension (LDWORK)
On exit, if INFO = 0, DWORK(1) returns the optimal value
of LDWORK.
LDWORK INTEGER
The length of the array DWORK.
LDWORK >= MAX(1,MIN(L,N) +
MAX(3*MIN(L,N)+MAX(L,N), 5*MIN(L,N), M, P)).
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 when computing
singular value decomposition. In this case INFO
specifies how many superdiagonals did not converge.
This failure is not likely to occur.
Method
The routine computes the singular value decomposition (SVD) of E,
in the form
( Er 0 )
E = Q * ( ) * Z'
( 0 0 )
and finds the largest RANKE-by-RANKE leading diagonal submatrix
Er whose condition number is less than 1/TOL. RANKE defines thus
the effective rank of matrix E.
If JOBA = 'R' the same reduction is performed on A22 in the
partitioned matrix
( A11 A12 )
Q'*A*Z = ( ) ,
( A21 A22 )
to obtain it in the form
( Ar 0 )
A22 = ( ) ,
( 0 0 )
with Ar an invertible diagonal matrix.
The accumulated transformations are also applied to the rest of
matrices
B <- Q' * B, C <- C * Z.
Numerical Aspects
The algorithm is numerically backward stable and requires 0( L*L*N ) floating point operations.Further Comments
NoneExample
Program Text
* TG01ED EXAMPLE PROGRAM TEXT
* Copyright (c) 2002-2017 NICONET e.V.
*
* .. Parameters ..
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER LMAX, NMAX, MMAX, PMAX
PARAMETER ( LMAX = 20, NMAX = 20, MMAX = 20, PMAX = 20 )
INTEGER LDA, LDB, LDC, LDE, LDQ, LDZ
PARAMETER ( LDA = LMAX, LDB = LMAX, LDC = PMAX,
$ LDE = LMAX, LDQ = LMAX, LDZ = NMAX )
INTEGER LDWORK
PARAMETER ( LDWORK = MAX( 1, MIN( LMAX, NMAX ) +
$ MAX( MMAX, PMAX, 3*MIN( LMAX, NMAX ) +
$ MAX( LMAX, NMAX ),
$ 5*MIN( LMAX, NMAX ) ) ) )
* .. Local Scalars ..
CHARACTER*1 JOBA
INTEGER I, INFO, J, L, M, N, P, RANKE, RNKA22
DOUBLE PRECISION TOL
* .. Local Arrays ..
DOUBLE PRECISION A(LDA,NMAX), B(LDB,MMAX), C(LDC,NMAX),
$ DWORK(LDWORK), E(LDE,NMAX), Q(LDQ,LMAX),
$ Z(LDZ,NMAX)
* .. External Subroutines ..
EXTERNAL TG01ED
* .. Intrinsic Functions ..
INTRINSIC MAX, MIN
* .. Executable Statements ..
*
WRITE ( NOUT, FMT = 99999 )
* Skip the heading in the data file and read the data.
READ ( NIN, FMT = '()' )
READ ( NIN, FMT = * ) L, N, M, P, TOL
JOBA = 'R'
IF ( L.LT.0 .OR. L.GT.LMAX ) THEN
WRITE ( NOUT, FMT = 99989 ) L
ELSE
IF ( N.LT.0 .OR. N.GT.NMAX ) THEN
WRITE ( NOUT, FMT = 99988 ) N
ELSE
READ ( NIN, FMT = * ) ( ( A(I,J), J = 1,N ), I = 1,L )
READ ( NIN, FMT = * ) ( ( E(I,J), J = 1,N ), I = 1,L )
IF ( M.LT.0 .OR. M.GT.MMAX ) THEN
WRITE ( NOUT, FMT = 99987 ) M
ELSE
READ ( NIN, FMT = * ) ( ( B(I,J), J = 1,M ), I = 1,L )
IF ( P.LT.0 .OR. P.GT.PMAX ) THEN
WRITE ( NOUT, FMT = 99986 ) P
ELSE
READ ( NIN, FMT = * ) ( ( C(I,J), J = 1,N ), I = 1,P )
* Find the transformed descriptor system
* (A-lambda E,B,C).
CALL TG01ED( JOBA, L, N, M, P, A, LDA, E, LDE, B, LDB,
$ C, LDC, Q, LDQ, Z, LDZ, RANKE, RNKA22,
$ TOL, DWORK, LDWORK, INFO )
*
IF ( INFO.NE.0 ) THEN
WRITE ( NOUT, FMT = 99998 ) INFO
ELSE
WRITE ( NOUT, FMT = 99994 ) RANKE, RNKA22
WRITE ( NOUT, FMT = 99997 )
DO 10 I = 1, L
WRITE ( NOUT, FMT = 99995 ) ( A(I,J), J = 1,N )
10 CONTINUE
WRITE ( NOUT, FMT = 99996 )
DO 20 I = 1, L
WRITE ( NOUT, FMT = 99995 ) ( E(I,J), J = 1,N )
20 CONTINUE
WRITE ( NOUT, FMT = 99993 )
DO 30 I = 1, L
WRITE ( NOUT, FMT = 99995 ) ( B(I,J), J = 1,M )
30 CONTINUE
WRITE ( NOUT, FMT = 99992 )
DO 40 I = 1, P
WRITE ( NOUT, FMT = 99995 ) ( C(I,J), J = 1,N )
40 CONTINUE
WRITE ( NOUT, FMT = 99991 )
DO 50 I = 1, L
WRITE ( NOUT, FMT = 99995 ) ( Q(I,J), J = 1,L )
50 CONTINUE
WRITE ( NOUT, FMT = 99990 )
DO 60 I = 1, N
WRITE ( NOUT, FMT = 99995 ) ( Z(I,J), J = 1,N )
60 CONTINUE
END IF
END IF
END IF
END IF
END IF
STOP
*
99999 FORMAT (' TG01ED EXAMPLE PROGRAM RESULTS',/1X)
99998 FORMAT (' INFO on exit from TG01ED = ',I2)
99997 FORMAT (/' The transformed state dynamics matrix Q''*A*Z is ')
99996 FORMAT (/' The transformed descriptor matrix Q''*E*Z is ')
99995 FORMAT (20(1X,F8.4))
99994 FORMAT (' Rank of matrix E =', I5/
$ ' Rank of matrix A22 =', I5)
99993 FORMAT (/' The transformed input/state matrix Q''*B is ')
99992 FORMAT (/' The transformed state/output matrix C*Z is ')
99991 FORMAT (/' The left transformation matrix Q is ')
99990 FORMAT (/' The right transformation matrix Z is ')
99989 FORMAT (/' L is out of range.',/' L = ',I5)
99988 FORMAT (/' N is out of range.',/' N = ',I5)
99987 FORMAT (/' M is out of range.',/' M = ',I5)
99986 FORMAT (/' P is out of range.',/' P = ',I5)
END
Program Data
TG01ED EXAMPLE PROGRAM DATA
4 4 2 2 0.0
-1 0 0 3
0 0 1 2
1 1 0 4
0 0 0 0
1 2 0 0
0 1 0 1
3 9 6 3
0 0 2 0
1 0
0 0
0 1
1 1
-1 0 1 0
0 1 -1 1
Program Results
TG01ED EXAMPLE PROGRAM RESULTS Rank of matrix E = 3 Rank of matrix A22 = 1 The transformed state dynamics matrix Q'*A*Z is 2.1882 -0.8664 -3.5097 -2.1353 -0.4569 -0.2146 1.9802 0.3531 -0.5717 -0.5245 -0.4591 0.4696 -0.4766 -0.5846 2.1414 0.3086 The transformed descriptor matrix Q'*E*Z is 11.8494 0.0000 0.0000 0.0000 0.0000 2.1302 0.0000 0.0000 0.0000 0.0000 1.0270 0.0000 0.0000 0.0000 0.0000 0.0000 The transformed input/state matrix Q'*B is -0.2396 -1.0668 -0.2656 -0.8393 -0.7657 -0.1213 1.1339 0.3780 The transformed state/output matrix C*Z is -0.2499 -1.0573 0.3912 -0.8165 -0.5225 1.3958 0.8825 0.0000 The left transformation matrix Q is -0.1534 0.5377 -0.6049 0.5669 -0.0872 0.2536 0.7789 0.5669 -0.9805 -0.0360 0.0395 -0.1890 -0.0863 -0.8033 -0.1608 0.5669 The right transformation matrix Z is -0.2612 0.2017 -0.4737 0.8165 -0.7780 0.4718 -0.0738 -0.4082 -0.5111 -0.8556 -0.0826 0.0000 -0.2556 0.0684 0.8737 0.4082