Provided by: liblapack-doc_3.11.0-2_all 
NAME
complex16GEsing - complex16
SYNOPSIS
Functions
subroutine zgejsv (JOBA, JOBU, JOBV, JOBR, JOBT, JOBP, M, N, A, LDA, SVA, U, LDU, V, LDV,
CWORK, LWORK, RWORK, LRWORK, IWORK, INFO)
ZGEJSV
subroutine zgesdd (JOBZ, M, N, A, LDA, S, U, LDU, VT, LDVT, WORK, LWORK, RWORK, IWORK,
INFO)
ZGESDD
subroutine zgesvd (JOBU, JOBVT, M, N, A, LDA, S, U, LDU, VT, LDVT, WORK, LWORK, RWORK,
INFO)
ZGESVD computes the singular value decomposition (SVD) for GE matrices
subroutine zgesvdq (JOBA, JOBP, JOBR, JOBU, JOBV, M, N, A, LDA, S, U, LDU, V, LDV,
NUMRANK, IWORK, LIWORK, CWORK, LCWORK, RWORK, LRWORK, INFO)
ZGESVDQ computes the singular value decomposition (SVD) with a QR-Preconditioned QR
SVD Method for GE matrices
subroutine zgesvdx (JOBU, JOBVT, RANGE, M, N, A, LDA, VL, VU, IL, IU, NS, S, U, LDU, VT,
LDVT, WORK, LWORK, RWORK, IWORK, INFO)
ZGESVDX computes the singular value decomposition (SVD) for GE matrices
subroutine zggsvd3 (JOBU, JOBV, JOBQ, M, N, P, K, L, A, LDA, B, LDB, ALPHA, BETA, U, LDU,
V, LDV, Q, LDQ, WORK, LWORK, RWORK, IWORK, INFO)
ZGGSVD3 computes the singular value decomposition (SVD) for OTHER matrices
Detailed Description
This is the group of complex16 singular value driver functions for GE matrices
Function Documentation
subroutine zgejsv (character*1 JOBA, character*1 JOBU, character*1 JOBV, character*1 JOBR,
character*1 JOBT, character*1 JOBP, integer M, integer N, complex*16, dimension( lda, * )
A, integer LDA, double precision, dimension( n ) SVA, complex*16, dimension( ldu, * ) U,
integer LDU, complex*16, dimension( ldv, * ) V, integer LDV, complex*16, dimension( lwork
) CWORK, integer LWORK, double precision, dimension( lrwork ) RWORK, integer LRWORK,
integer, dimension( * ) IWORK, integer INFO)
ZGEJSV
Purpose:
ZGEJSV computes the singular value decomposition (SVD) of a complex M-by-N
matrix [A], where M >= N. The SVD of [A] is written as
[A] = [U] * [SIGMA] * [V]^*,
where [SIGMA] is an N-by-N (M-by-N) matrix which is zero except for its N
diagonal elements, [U] is an M-by-N (or M-by-M) unitary matrix, and
[V] is an N-by-N unitary matrix. The diagonal elements of [SIGMA] are
the singular values of [A]. The columns of [U] and [V] are the left and
the right singular vectors of [A], respectively. The matrices [U] and [V]
are computed and stored in the arrays U and V, respectively. The diagonal
of [SIGMA] is computed and stored in the array SVA.
Arguments:
Parameters
JOBA
JOBA is CHARACTER*1
Specifies the level of accuracy:
= 'C': This option works well (high relative accuracy) if A = B * D,
with well-conditioned B and arbitrary diagonal matrix D.
The accuracy cannot be spoiled by COLUMN scaling. The
accuracy of the computed output depends on the condition of
B, and the procedure aims at the best theoretical accuracy.
The relative error max_{i=1:N}|d sigma_i| / sigma_i is
bounded by f(M,N)*epsilon* cond(B), independent of D.
The input matrix is preprocessed with the QRF with column
pivoting. This initial preprocessing and preconditioning by
a rank revealing QR factorization is common for all values of
JOBA. Additional actions are specified as follows:
= 'E': Computation as with 'C' with an additional estimate of the
condition number of B. It provides a realistic error bound.
= 'F': If A = D1 * C * D2 with ill-conditioned diagonal scalings
D1, D2, and well-conditioned matrix C, this option gives
higher accuracy than the 'C' option. If the structure of the
input matrix is not known, and relative accuracy is
desirable, then this option is advisable. The input matrix A
is preprocessed with QR factorization with FULL (row and
column) pivoting.
= 'G': Computation as with 'F' with an additional estimate of the
condition number of B, where A=B*D. If A has heavily weighted
rows, then using this condition number gives too pessimistic
error bound.
= 'A': Small singular values are not well determined by the data
and are considered as noisy; the matrix is treated as
numerically rank deficient. The error in the computed
singular values is bounded by f(m,n)*epsilon*||A||.
The computed SVD A = U * S * V^* restores A up to
f(m,n)*epsilon*||A||.
This gives the procedure the licence to discard (set to zero)
all singular values below N*epsilon*||A||.
= 'R': Similar as in 'A'. Rank revealing property of the initial
QR factorization is used do reveal (using triangular factor)
a gap sigma_{r+1} < epsilon * sigma_r in which case the
numerical RANK is declared to be r. The SVD is computed with
absolute error bounds, but more accurately than with 'A'.
JOBU
JOBU is CHARACTER*1
Specifies whether to compute the columns of U:
= 'U': N columns of U are returned in the array U.
= 'F': full set of M left sing. vectors is returned in the array U.
= 'W': U may be used as workspace of length M*N. See the description
of U.
= 'N': U is not computed.
JOBV
JOBV is CHARACTER*1
Specifies whether to compute the matrix V:
= 'V': N columns of V are returned in the array V; Jacobi rotations
are not explicitly accumulated.
= 'J': N columns of V are returned in the array V, but they are
computed as the product of Jacobi rotations, if JOBT = 'N'.
= 'W': V may be used as workspace of length N*N. See the description
of V.
= 'N': V is not computed.
JOBR
JOBR is CHARACTER*1
Specifies the RANGE for the singular values. Issues the licence to
set to zero small positive singular values if they are outside
specified range. If A .NE. 0 is scaled so that the largest singular
value of c*A is around SQRT(BIG), BIG=DLAMCH('O'), then JOBR issues
the licence to kill columns of A whose norm in c*A is less than
SQRT(SFMIN) (for JOBR = 'R'), or less than SMALL=SFMIN/EPSLN,
where SFMIN=DLAMCH('S'), EPSLN=DLAMCH('E').
= 'N': Do not kill small columns of c*A. This option assumes that
BLAS and QR factorizations and triangular solvers are
implemented to work in that range. If the condition of A
is greater than BIG, use ZGESVJ.
= 'R': RESTRICTED range for sigma(c*A) is [SQRT(SFMIN), SQRT(BIG)]
(roughly, as described above). This option is recommended.
===========================
For computing the singular values in the FULL range [SFMIN,BIG]
use ZGESVJ.
JOBT
JOBT is CHARACTER*1
If the matrix is square then the procedure may determine to use
transposed A if A^* seems to be better with respect to convergence.
If the matrix is not square, JOBT is ignored.
The decision is based on two values of entropy over the adjoint
orbit of A^* * A. See the descriptions of WORK(6) and WORK(7).
= 'T': transpose if entropy test indicates possibly faster
convergence of Jacobi process if A^* is taken as input. If A is
replaced with A^*, then the row pivoting is included automatically.
= 'N': do not speculate.
The option 'T' can be used to compute only the singular values, or
the full SVD (U, SIGMA and V). For only one set of singular vectors
(U or V), the caller should provide both U and V, as one of the
matrices is used as workspace if the matrix A is transposed.
The implementer can easily remove this constraint and make the
code more complicated. See the descriptions of U and V.
In general, this option is considered experimental, and 'N'; should
be preferred. This is subject to changes in the future.
JOBP
JOBP is CHARACTER*1
Issues the licence to introduce structured perturbations to drown
denormalized numbers. This licence should be active if the
denormals are poorly implemented, causing slow computation,
especially in cases of fast convergence (!). For details see [1,2].
For the sake of simplicity, this perturbations are included only
when the full SVD or only the singular values are requested. The
implementer/user can easily add the perturbation for the cases of
computing one set of singular vectors.
= 'P': introduce perturbation
= 'N': do not perturb
M
M is INTEGER
The number of rows of the input matrix A. M >= 0.
N
N is INTEGER
The number of columns of the input matrix A. M >= N >= 0.
A
A is COMPLEX*16 array, dimension (LDA,N)
On entry, the M-by-N matrix A.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
SVA
SVA is DOUBLE PRECISION array, dimension (N)
On exit,
- For WORK(1)/WORK(2) = ONE: The singular values of A. During the
computation SVA contains Euclidean column norms of the
iterated matrices in the array A.
- For WORK(1) .NE. WORK(2): The singular values of A are
(WORK(1)/WORK(2)) * SVA(1:N). This factored form is used if
sigma_max(A) overflows or if small singular values have been
saved from underflow by scaling the input matrix A.
- If JOBR='R' then some of the singular values may be returned
as exact zeros obtained by "set to zero" because they are
below the numerical rank threshold or are denormalized numbers.
U
U is COMPLEX*16 array, dimension ( LDU, N )
If JOBU = 'U', then U contains on exit the M-by-N matrix of
the left singular vectors.
If JOBU = 'F', then U contains on exit the M-by-M matrix of
the left singular vectors, including an ONB
of the orthogonal complement of the Range(A).
If JOBU = 'W' .AND. (JOBV = 'V' .AND. JOBT = 'T' .AND. M = N),
then U is used as workspace if the procedure
replaces A with A^*. In that case, [V] is computed
in U as left singular vectors of A^* and then
copied back to the V array. This 'W' option is just
a reminder to the caller that in this case U is
reserved as workspace of length N*N.
If JOBU = 'N' U is not referenced, unless JOBT='T'.
LDU
LDU is INTEGER
The leading dimension of the array U, LDU >= 1.
IF JOBU = 'U' or 'F' or 'W', then LDU >= M.
V
V is COMPLEX*16 array, dimension ( LDV, N )
If JOBV = 'V', 'J' then V contains on exit the N-by-N matrix of
the right singular vectors;
If JOBV = 'W', AND (JOBU = 'U' AND JOBT = 'T' AND M = N),
then V is used as workspace if the pprocedure
replaces A with A^*. In that case, [U] is computed
in V as right singular vectors of A^* and then
copied back to the U array. This 'W' option is just
a reminder to the caller that in this case V is
reserved as workspace of length N*N.
If JOBV = 'N' V is not referenced, unless JOBT='T'.
LDV
LDV is INTEGER
The leading dimension of the array V, LDV >= 1.
If JOBV = 'V' or 'J' or 'W', then LDV >= N.
CWORK
CWORK is COMPLEX*16 array, dimension (MAX(2,LWORK))
If the call to ZGEJSV is a workspace query (indicated by LWORK=-1 or
LRWORK=-1), then on exit CWORK(1) contains the required length of
CWORK for the job parameters used in the call.
LWORK
LWORK is INTEGER
Length of CWORK to confirm proper allocation of workspace.
LWORK depends on the job:
1. If only SIGMA is needed ( JOBU = 'N', JOBV = 'N' ) and
1.1 .. no scaled condition estimate required (JOBA.NE.'E'.AND.JOBA.NE.'G'):
LWORK >= 2*N+1. This is the minimal requirement.
->> For optimal performance (blocked code) the optimal value
is LWORK >= N + (N+1)*NB. Here NB is the optimal
block size for ZGEQP3 and ZGEQRF.
In general, optimal LWORK is computed as
LWORK >= max(N+LWORK(ZGEQP3),N+LWORK(ZGEQRF), LWORK(ZGESVJ)).
1.2. .. an estimate of the scaled condition number of A is
required (JOBA='E', or 'G'). In this case, LWORK the minimal
requirement is LWORK >= N*N + 2*N.
->> For optimal performance (blocked code) the optimal value
is LWORK >= max(N+(N+1)*NB, N*N+2*N)=N**2+2*N.
In general, the optimal length LWORK is computed as
LWORK >= max(N+LWORK(ZGEQP3),N+LWORK(ZGEQRF), LWORK(ZGESVJ),
N*N+LWORK(ZPOCON)).
2. If SIGMA and the right singular vectors are needed (JOBV = 'V'),
(JOBU = 'N')
2.1 .. no scaled condition estimate requested (JOBE = 'N'):
-> the minimal requirement is LWORK >= 3*N.
-> For optimal performance,
LWORK >= max(N+(N+1)*NB, 2*N+N*NB)=2*N+N*NB,
where NB is the optimal block size for ZGEQP3, ZGEQRF, ZGELQ,
ZUNMLQ. In general, the optimal length LWORK is computed as
LWORK >= max(N+LWORK(ZGEQP3), N+LWORK(ZGESVJ),
N+LWORK(ZGELQF), 2*N+LWORK(ZGEQRF), N+LWORK(ZUNMLQ)).
2.2 .. an estimate of the scaled condition number of A is
required (JOBA='E', or 'G').
-> the minimal requirement is LWORK >= 3*N.
-> For optimal performance,
LWORK >= max(N+(N+1)*NB, 2*N,2*N+N*NB)=2*N+N*NB,
where NB is the optimal block size for ZGEQP3, ZGEQRF, ZGELQ,
ZUNMLQ. In general, the optimal length LWORK is computed as
LWORK >= max(N+LWORK(ZGEQP3), LWORK(ZPOCON), N+LWORK(ZGESVJ),
N+LWORK(ZGELQF), 2*N+LWORK(ZGEQRF), N+LWORK(ZUNMLQ)).
3. If SIGMA and the left singular vectors are needed
3.1 .. no scaled condition estimate requested (JOBE = 'N'):
-> the minimal requirement is LWORK >= 3*N.
-> For optimal performance:
if JOBU = 'U' :: LWORK >= max(3*N, N+(N+1)*NB, 2*N+N*NB)=2*N+N*NB,
where NB is the optimal block size for ZGEQP3, ZGEQRF, ZUNMQR.
In general, the optimal length LWORK is computed as
LWORK >= max(N+LWORK(ZGEQP3), 2*N+LWORK(ZGEQRF), N+LWORK(ZUNMQR)).
3.2 .. an estimate of the scaled condition number of A is
required (JOBA='E', or 'G').
-> the minimal requirement is LWORK >= 3*N.
-> For optimal performance:
if JOBU = 'U' :: LWORK >= max(3*N, N+(N+1)*NB, 2*N+N*NB)=2*N+N*NB,
where NB is the optimal block size for ZGEQP3, ZGEQRF, ZUNMQR.
In general, the optimal length LWORK is computed as
LWORK >= max(N+LWORK(ZGEQP3),N+LWORK(ZPOCON),
2*N+LWORK(ZGEQRF), N+LWORK(ZUNMQR)).
4. If the full SVD is needed: (JOBU = 'U' or JOBU = 'F') and
4.1. if JOBV = 'V'
the minimal requirement is LWORK >= 5*N+2*N*N.
4.2. if JOBV = 'J' the minimal requirement is
LWORK >= 4*N+N*N.
In both cases, the allocated CWORK can accommodate blocked runs
of ZGEQP3, ZGEQRF, ZGELQF, SUNMQR, ZUNMLQ.
If the call to ZGEJSV is a workspace query (indicated by LWORK=-1 or
LRWORK=-1), then on exit CWORK(1) contains the optimal and CWORK(2) contains the
minimal length of CWORK for the job parameters used in the call.
RWORK
RWORK is DOUBLE PRECISION array, dimension (MAX(7,LWORK))
On exit,
RWORK(1) = Determines the scaling factor SCALE = RWORK(2) / RWORK(1)
such that SCALE*SVA(1:N) are the computed singular values
of A. (See the description of SVA().)
RWORK(2) = See the description of RWORK(1).
RWORK(3) = SCONDA is an estimate for the condition number of
column equilibrated A. (If JOBA = 'E' or 'G')
SCONDA is an estimate of SQRT(||(R^* * R)^(-1)||_1).
It is computed using ZPOCON. It holds
N^(-1/4) * SCONDA <= ||R^(-1)||_2 <= N^(1/4) * SCONDA
where R is the triangular factor from the QRF of A.
However, if R is truncated and the numerical rank is
determined to be strictly smaller than N, SCONDA is
returned as -1, thus indicating that the smallest
singular values might be lost.
If full SVD is needed, the following two condition numbers are
useful for the analysis of the algorithm. They are provided for
a developer/implementer who is familiar with the details of
the method.
RWORK(4) = an estimate of the scaled condition number of the
triangular factor in the first QR factorization.
RWORK(5) = an estimate of the scaled condition number of the
triangular factor in the second QR factorization.
The following two parameters are computed if JOBT = 'T'.
They are provided for a developer/implementer who is familiar
with the details of the method.
RWORK(6) = the entropy of A^* * A :: this is the Shannon entropy
of diag(A^* * A) / Trace(A^* * A) taken as point in the
probability simplex.
RWORK(7) = the entropy of A * A^*. (See the description of RWORK(6).)
If the call to ZGEJSV is a workspace query (indicated by LWORK=-1 or
LRWORK=-1), then on exit RWORK(1) contains the required length of
RWORK for the job parameters used in the call.
LRWORK
LRWORK is INTEGER
Length of RWORK to confirm proper allocation of workspace.
LRWORK depends on the job:
1. If only the singular values are requested i.e. if
LSAME(JOBU,'N') .AND. LSAME(JOBV,'N')
then:
1.1. If LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G'),
then: LRWORK = max( 7, 2 * M ).
1.2. Otherwise, LRWORK = max( 7, N ).
2. If singular values with the right singular vectors are requested
i.e. if
(LSAME(JOBV,'V').OR.LSAME(JOBV,'J')) .AND.
.NOT.(LSAME(JOBU,'U').OR.LSAME(JOBU,'F'))
then:
2.1. If LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G'),
then LRWORK = max( 7, 2 * M ).
2.2. Otherwise, LRWORK = max( 7, N ).
3. If singular values with the left singular vectors are requested, i.e. if
(LSAME(JOBU,'U').OR.LSAME(JOBU,'F')) .AND.
.NOT.(LSAME(JOBV,'V').OR.LSAME(JOBV,'J'))
then:
3.1. If LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G'),
then LRWORK = max( 7, 2 * M ).
3.2. Otherwise, LRWORK = max( 7, N ).
4. If singular values with both the left and the right singular vectors
are requested, i.e. if
(LSAME(JOBU,'U').OR.LSAME(JOBU,'F')) .AND.
(LSAME(JOBV,'V').OR.LSAME(JOBV,'J'))
then:
4.1. If LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G'),
then LRWORK = max( 7, 2 * M ).
4.2. Otherwise, LRWORK = max( 7, N ).
If, on entry, LRWORK = -1 or LWORK=-1, a workspace query is assumed and
the length of RWORK is returned in RWORK(1).
IWORK
IWORK is INTEGER array, of dimension at least 4, that further depends
on the job:
1. If only the singular values are requested then:
If ( LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G') )
then the length of IWORK is N+M; otherwise the length of IWORK is N.
2. If the singular values and the right singular vectors are requested then:
If ( LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G') )
then the length of IWORK is N+M; otherwise the length of IWORK is N.
3. If the singular values and the left singular vectors are requested then:
If ( LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G') )
then the length of IWORK is N+M; otherwise the length of IWORK is N.
4. If the singular values with both the left and the right singular vectors
are requested, then:
4.1. If LSAME(JOBV,'J') the length of IWORK is determined as follows:
If ( LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G') )
then the length of IWORK is N+M; otherwise the length of IWORK is N.
4.2. If LSAME(JOBV,'V') the length of IWORK is determined as follows:
If ( LSAME(JOBT,'T') .OR. LSAME(JOBA,'F') .OR. LSAME(JOBA,'G') )
then the length of IWORK is 2*N+M; otherwise the length of IWORK is 2*N.
On exit,
IWORK(1) = the numerical rank determined after the initial
QR factorization with pivoting. See the descriptions
of JOBA and JOBR.
IWORK(2) = the number of the computed nonzero singular values
IWORK(3) = if nonzero, a warning message:
If IWORK(3) = 1 then some of the column norms of A
were denormalized floats. The requested high accuracy
is not warranted by the data.
IWORK(4) = 1 or -1. If IWORK(4) = 1, then the procedure used A^* to
do the job as specified by the JOB parameters.
If the call to ZGEJSV is a workspace query (indicated by LWORK = -1 or
LRWORK = -1), then on exit IWORK(1) contains the required length of
IWORK for the job parameters used in the call.
INFO
INFO is INTEGER
< 0: if INFO = -i, then the i-th argument had an illegal value.
= 0: successful exit;
> 0: ZGEJSV did not converge in the maximal allowed number
of sweeps. The computed values may be inaccurate.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Further Details:
ZGEJSV implements a preconditioned Jacobi SVD algorithm. It uses ZGEQP3,
ZGEQRF, and ZGELQF as preprocessors and preconditioners. Optionally, an
additional row pivoting can be used as a preprocessor, which in some
cases results in much higher accuracy. An example is matrix A with the
structure A = D1 * C * D2, where D1, D2 are arbitrarily ill-conditioned
diagonal matrices and C is well-conditioned matrix. In that case, complete
pivoting in the first QR factorizations provides accuracy dependent on the
condition number of C, and independent of D1, D2. Such higher accuracy is
not completely understood theoretically, but it works well in practice.
Further, if A can be written as A = B*D, with well-conditioned B and some
diagonal D, then the high accuracy is guaranteed, both theoretically and
in software, independent of D. For more details see [1], [2].
The computational range for the singular values can be the full range
( UNDERFLOW,OVERFLOW ), provided that the machine arithmetic and the BLAS
& LAPACK routines called by ZGEJSV are implemented to work in that range.
If that is not the case, then the restriction for safe computation with
the singular values in the range of normalized IEEE numbers is that the
spectral condition number kappa(A)=sigma_max(A)/sigma_min(A) does not
overflow. This code (ZGEJSV) is best used in this restricted range,
meaning that singular values of magnitude below ||A||_2 / DLAMCH('O') are
returned as zeros. See JOBR for details on this.
Further, this implementation is somewhat slower than the one described
in [1,2] due to replacement of some non-LAPACK components, and because
the choice of some tuning parameters in the iterative part (ZGESVJ) is
left to the implementer on a particular machine.
The rank revealing QR factorization (in this code: ZGEQP3) should be
implemented as in [3]. We have a new version of ZGEQP3 under development
that is more robust than the current one in LAPACK, with a cleaner cut in
rank deficient cases. It will be available in the SIGMA library [4].
If M is much larger than N, it is obvious that the initial QRF with
column pivoting can be preprocessed by the QRF without pivoting. That
well known trick is not used in ZGEJSV because in some cases heavy row
weighting can be treated with complete pivoting. The overhead in cases
M much larger than N is then only due to pivoting, but the benefits in
terms of accuracy have prevailed. The implementer/user can incorporate
this extra QRF step easily. The implementer can also improve data movement
(matrix transpose, matrix copy, matrix transposed copy) - this
implementation of ZGEJSV uses only the simplest, naive data movement.
Contributor:
Zlatko Drmac, Department of Mathematics, Faculty of Science, University of Zagreb
(Zagreb, Croatia); drmac@math.hr
References:
[1] Z. Drmac and K. Veselic: New fast and accurate Jacobi SVD algorithm I.
SIAM J. Matrix Anal. Appl. Vol. 35, No. 2 (2008), pp. 1322-1342.
LAPACK Working note 169.
[2] Z. Drmac and K. Veselic: New fast and accurate Jacobi SVD algorithm II.
SIAM J. Matrix Anal. Appl. Vol. 35, No. 2 (2008), pp. 1343-1362.
LAPACK Working note 170.
[3] Z. Drmac and Z. Bujanovic: On the failure of rank-revealing QR
factorization software - a case study.
ACM Trans. Math. Softw. Vol. 35, No 2 (2008), pp. 1-28.
LAPACK Working note 176.
[4] Z. Drmac: SIGMA - mathematical software library for accurate SVD, PSV,
QSVD, (H,K)-SVD computations.
Department of Mathematics, University of Zagreb, 2008, 2016.
Bugs, examples and comments:
Please report all bugs and send interesting examples and/or comments to drmac@math.hr.
Thank you.
subroutine zgesdd (character JOBZ, integer M, integer N, complex*16, dimension( lda, * ) A,
integer LDA, double precision, dimension( * ) S, complex*16, dimension( ldu, * ) U,
integer LDU, complex*16, dimension( ldvt, * ) VT, integer LDVT, complex*16, dimension( * )
WORK, integer LWORK, double precision, dimension( * ) RWORK, integer, dimension( * )
IWORK, integer INFO)
ZGESDD
Purpose:
ZGESDD computes the singular value decomposition (SVD) of a complex
M-by-N matrix A, optionally computing the left and/or right singular
vectors, by using divide-and-conquer method. The SVD is written
A = U * SIGMA * conjugate-transpose(V)
where SIGMA is an M-by-N matrix which is zero except for its
min(m,n) diagonal elements, U is an M-by-M unitary matrix, and
V is an N-by-N unitary matrix. The diagonal elements of SIGMA
are the singular values of A; they are real and non-negative, and
are returned in descending order. The first min(m,n) columns of
U and V are the left and right singular vectors of A.
Note that the routine returns VT = V**H, not V.
The divide and conquer algorithm makes very mild assumptions about
floating point arithmetic. It will work on machines with a guard
digit in add/subtract, or on those binary machines without guard
digits which subtract like the Cray X-MP, Cray Y-MP, Cray C-90, or
Cray-2. It could conceivably fail on hexadecimal or decimal machines
without guard digits, but we know of none.
Parameters
JOBZ
JOBZ is CHARACTER*1
Specifies options for computing all or part of the matrix U:
= 'A': all M columns of U and all N rows of V**H are
returned in the arrays U and VT;
= 'S': the first min(M,N) columns of U and the first
min(M,N) rows of V**H are returned in the arrays U
and VT;
= 'O': If M >= N, the first N columns of U are overwritten
in the array A and all rows of V**H are returned in
the array VT;
otherwise, all columns of U are returned in the
array U and the first M rows of V**H are overwritten
in the array A;
= 'N': no columns of U or rows of V**H are computed.
M
M is INTEGER
The number of rows of the input matrix A. M >= 0.
N
N is INTEGER
The number of columns of the input matrix A. N >= 0.
A
A is COMPLEX*16 array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit,
if JOBZ = 'O', A is overwritten with the first N columns
of U (the left singular vectors, stored
columnwise) if M >= N;
A is overwritten with the first M rows
of V**H (the right singular vectors, stored
rowwise) otherwise.
if JOBZ .ne. 'O', the contents of A are destroyed.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
S
S is DOUBLE PRECISION array, dimension (min(M,N))
The singular values of A, sorted so that S(i) >= S(i+1).
U
U is COMPLEX*16 array, dimension (LDU,UCOL)
UCOL = M if JOBZ = 'A' or JOBZ = 'O' and M < N;
UCOL = min(M,N) if JOBZ = 'S'.
If JOBZ = 'A' or JOBZ = 'O' and M < N, U contains the M-by-M
unitary matrix U;
if JOBZ = 'S', U contains the first min(M,N) columns of U
(the left singular vectors, stored columnwise);
if JOBZ = 'O' and M >= N, or JOBZ = 'N', U is not referenced.
LDU
LDU is INTEGER
The leading dimension of the array U. LDU >= 1;
if JOBZ = 'S' or 'A' or JOBZ = 'O' and M < N, LDU >= M.
VT
VT is COMPLEX*16 array, dimension (LDVT,N)
If JOBZ = 'A' or JOBZ = 'O' and M >= N, VT contains the
N-by-N unitary matrix V**H;
if JOBZ = 'S', VT contains the first min(M,N) rows of
V**H (the right singular vectors, stored rowwise);
if JOBZ = 'O' and M < N, or JOBZ = 'N', VT is not referenced.
LDVT
LDVT is INTEGER
The leading dimension of the array VT. LDVT >= 1;
if JOBZ = 'A' or JOBZ = 'O' and M >= N, LDVT >= N;
if JOBZ = 'S', LDVT >= min(M,N).
WORK
WORK is COMPLEX*16 array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK. LWORK >= 1.
If LWORK = -1, a workspace query is assumed. The optimal
size for the WORK array is calculated and stored in WORK(1),
and no other work except argument checking is performed.
Let mx = max(M,N) and mn = min(M,N).
If JOBZ = 'N', LWORK >= 2*mn + mx.
If JOBZ = 'O', LWORK >= 2*mn*mn + 2*mn + mx.
If JOBZ = 'S', LWORK >= mn*mn + 3*mn.
If JOBZ = 'A', LWORK >= mn*mn + 2*mn + mx.
These are not tight minimums in all cases; see comments inside code.
For good performance, LWORK should generally be larger;
a query is recommended.
RWORK
RWORK is DOUBLE PRECISION array, dimension (MAX(1,LRWORK))
Let mx = max(M,N) and mn = min(M,N).
If JOBZ = 'N', LRWORK >= 5*mn (LAPACK <= 3.6 needs 7*mn);
else if mx >> mn, LRWORK >= 5*mn*mn + 5*mn;
else LRWORK >= max( 5*mn*mn + 5*mn,
2*mx*mn + 2*mn*mn + mn ).
IWORK
IWORK is INTEGER array, dimension (8*min(M,N))
INFO
INFO is INTEGER
< 0: if INFO = -i, the i-th argument had an illegal value.
= -4: if A had a NAN entry.
> 0: The updating process of DBDSDC did not converge.
= 0: successful exit.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Contributors:
Ming Gu and Huan Ren, Computer Science Division, University of California at Berkeley,
USA
subroutine zgesvd (character JOBU, character JOBVT, integer M, integer N, complex*16,
dimension( lda, * ) A, integer LDA, double precision, dimension( * ) S, complex*16,
dimension( ldu, * ) U, integer LDU, complex*16, dimension( ldvt, * ) VT, integer LDVT,
complex*16, dimension( * ) WORK, integer LWORK, double precision, dimension( * ) RWORK,
integer INFO)
ZGESVD computes the singular value decomposition (SVD) for GE matrices
Purpose:
ZGESVD computes the singular value decomposition (SVD) of a complex
M-by-N matrix A, optionally computing the left and/or right singular
vectors. The SVD is written
A = U * SIGMA * conjugate-transpose(V)
where SIGMA is an M-by-N matrix which is zero except for its
min(m,n) diagonal elements, U is an M-by-M unitary matrix, and
V is an N-by-N unitary matrix. The diagonal elements of SIGMA
are the singular values of A; they are real and non-negative, and
are returned in descending order. The first min(m,n) columns of
U and V are the left and right singular vectors of A.
Note that the routine returns V**H, not V.
Parameters
JOBU
JOBU is CHARACTER*1
Specifies options for computing all or part of the matrix U:
= 'A': all M columns of U are returned in array U:
= 'S': the first min(m,n) columns of U (the left singular
vectors) are returned in the array U;
= 'O': the first min(m,n) columns of U (the left singular
vectors) are overwritten on the array A;
= 'N': no columns of U (no left singular vectors) are
computed.
JOBVT
JOBVT is CHARACTER*1
Specifies options for computing all or part of the matrix
V**H:
= 'A': all N rows of V**H are returned in the array VT;
= 'S': the first min(m,n) rows of V**H (the right singular
vectors) are returned in the array VT;
= 'O': the first min(m,n) rows of V**H (the right singular
vectors) are overwritten on the array A;
= 'N': no rows of V**H (no right singular vectors) are
computed.
JOBVT and JOBU cannot both be 'O'.
M
M is INTEGER
The number of rows of the input matrix A. M >= 0.
N
N is INTEGER
The number of columns of the input matrix A. N >= 0.
A
A is COMPLEX*16 array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit,
if JOBU = 'O', A is overwritten with the first min(m,n)
columns of U (the left singular vectors,
stored columnwise);
if JOBVT = 'O', A is overwritten with the first min(m,n)
rows of V**H (the right singular vectors,
stored rowwise);
if JOBU .ne. 'O' and JOBVT .ne. 'O', the contents of A
are destroyed.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
S
S is DOUBLE PRECISION array, dimension (min(M,N))
The singular values of A, sorted so that S(i) >= S(i+1).
U
U is COMPLEX*16 array, dimension (LDU,UCOL)
(LDU,M) if JOBU = 'A' or (LDU,min(M,N)) if JOBU = 'S'.
If JOBU = 'A', U contains the M-by-M unitary matrix U;
if JOBU = 'S', U contains the first min(m,n) columns of U
(the left singular vectors, stored columnwise);
if JOBU = 'N' or 'O', U is not referenced.
LDU
LDU is INTEGER
The leading dimension of the array U. LDU >= 1; if
JOBU = 'S' or 'A', LDU >= M.
VT
VT is COMPLEX*16 array, dimension (LDVT,N)
If JOBVT = 'A', VT contains the N-by-N unitary matrix
V**H;
if JOBVT = 'S', VT contains the first min(m,n) rows of
V**H (the right singular vectors, stored rowwise);
if JOBVT = 'N' or 'O', VT is not referenced.
LDVT
LDVT is INTEGER
The leading dimension of the array VT. LDVT >= 1; if
JOBVT = 'A', LDVT >= N; if JOBVT = 'S', LDVT >= min(M,N).
WORK
WORK is COMPLEX*16 array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK.
LWORK >= MAX(1,2*MIN(M,N)+MAX(M,N)).
For good performance, LWORK should generally be larger.
If LWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the WORK array, returns
this value as the first entry of the WORK array, and no error
message related to LWORK is issued by XERBLA.
RWORK
RWORK is DOUBLE PRECISION array, dimension (5*min(M,N))
On exit, if INFO > 0, RWORK(1:MIN(M,N)-1) contains the
unconverged superdiagonal elements of an upper bidiagonal
matrix B whose diagonal is in S (not necessarily sorted).
B satisfies A = U * B * VT, so it has the same singular
values as A, and singular vectors related by U and VT.
INFO
INFO is INTEGER
= 0: successful exit.
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: if ZBDSQR did not converge, INFO specifies how many
superdiagonals of an intermediate bidiagonal form B
did not converge to zero. See the description of RWORK
above for details.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
subroutine zgesvdq (character JOBA, character JOBP, character JOBR, character JOBU, character
JOBV, integer M, integer N, complex*16, dimension( lda, * ) A, integer LDA, double
precision, dimension( * ) S, complex*16, dimension( ldu, * ) U, integer LDU, complex*16,
dimension( ldv, * ) V, integer LDV, integer NUMRANK, integer, dimension( * ) IWORK,
integer LIWORK, complex*16, dimension( * ) CWORK, integer LCWORK, double precision,
dimension( * ) RWORK, integer LRWORK, integer INFO)
ZGESVDQ computes the singular value decomposition (SVD) with a QR-Preconditioned QR SVD
Method for GE matrices
Purpose:
ZCGESVDQ computes the singular value decomposition (SVD) of a complex
M-by-N matrix A, where M >= N. The SVD of A is written as
[++] [xx] [x0] [xx]
A = U * SIGMA * V^*, [++] = [xx] * [ox] * [xx]
[++] [xx]
where SIGMA is an N-by-N diagonal matrix, U is an M-by-N orthonormal
matrix, and V is an N-by-N unitary matrix. The diagonal elements
of SIGMA are the singular values of A. The columns of U and V are the
left and the right singular vectors of A, respectively.
Parameters
JOBA
JOBA is CHARACTER*1
Specifies the level of accuracy in the computed SVD
= 'A' The requested accuracy corresponds to having the backward
error bounded by || delta A ||_F <= f(m,n) * EPS * || A ||_F,
where EPS = DLAMCH('Epsilon'). This authorises ZGESVDQ to
truncate the computed triangular factor in a rank revealing
QR factorization whenever the truncated part is below the
threshold of the order of EPS * ||A||_F. This is aggressive
truncation level.
= 'M' Similarly as with 'A', but the truncation is more gentle: it
is allowed only when there is a drop on the diagonal of the
triangular factor in the QR factorization. This is medium
truncation level.
= 'H' High accuracy requested. No numerical rank determination based
on the rank revealing QR factorization is attempted.
= 'E' Same as 'H', and in addition the condition number of column
scaled A is estimated and returned in RWORK(1).
N^(-1/4)*RWORK(1) <= ||pinv(A_scaled)||_2 <= N^(1/4)*RWORK(1)
JOBP
JOBP is CHARACTER*1
= 'P' The rows of A are ordered in decreasing order with respect to
||A(i,:)||_infty. This enhances numerical accuracy at the cost
of extra data movement. Recommended for numerical robustness.
= 'N' No row pivoting.
JOBR
JOBR is CHARACTER*1
= 'T' After the initial pivoted QR factorization, ZGESVD is applied to
the adjoint R**H of the computed triangular factor R. This involves
some extra data movement (matrix transpositions). Useful for
experiments, research and development.
= 'N' The triangular factor R is given as input to CGESVD. This may be
preferred as it involves less data movement.
JOBU
JOBU is CHARACTER*1
= 'A' All M left singular vectors are computed and returned in the
matrix U. See the description of U.
= 'S' or 'U' N = min(M,N) left singular vectors are computed and returned
in the matrix U. See the description of U.
= 'R' Numerical rank NUMRANK is determined and only NUMRANK left singular
vectors are computed and returned in the matrix U.
= 'F' The N left singular vectors are returned in factored form as the
product of the Q factor from the initial QR factorization and the
N left singular vectors of (R**H , 0)**H. If row pivoting is used,
then the necessary information on the row pivoting is stored in
IWORK(N+1:N+M-1).
= 'N' The left singular vectors are not computed.
JOBV
JOBV is CHARACTER*1
= 'A', 'V' All N right singular vectors are computed and returned in
the matrix V.
= 'R' Numerical rank NUMRANK is determined and only NUMRANK right singular
vectors are computed and returned in the matrix V. This option is
allowed only if JOBU = 'R' or JOBU = 'N'; otherwise it is illegal.
= 'N' The right singular vectors are not computed.
M
M is INTEGER
The number of rows of the input matrix A. M >= 0.
N
N is INTEGER
The number of columns of the input matrix A. M >= N >= 0.
A
A is COMPLEX*16 array of dimensions LDA x N
On entry, the input matrix A.
On exit, if JOBU .NE. 'N' or JOBV .NE. 'N', the lower triangle of A contains
the Householder vectors as stored by ZGEQP3. If JOBU = 'F', these Householder
vectors together with CWORK(1:N) can be used to restore the Q factors from
the initial pivoted QR factorization of A. See the description of U.
LDA
LDA is INTEGER.
The leading dimension of the array A. LDA >= max(1,M).
S
S is DOUBLE PRECISION array of dimension N.
The singular values of A, ordered so that S(i) >= S(i+1).
U
U is COMPLEX*16 array, dimension
LDU x M if JOBU = 'A'; see the description of LDU. In this case,
on exit, U contains the M left singular vectors.
LDU x N if JOBU = 'S', 'U', 'R' ; see the description of LDU. In this
case, U contains the leading N or the leading NUMRANK left singular vectors.
LDU x N if JOBU = 'F' ; see the description of LDU. In this case U
contains N x N unitary matrix that can be used to form the left
singular vectors.
If JOBU = 'N', U is not referenced.
LDU
LDU is INTEGER.
The leading dimension of the array U.
If JOBU = 'A', 'S', 'U', 'R', LDU >= max(1,M).
If JOBU = 'F', LDU >= max(1,N).
Otherwise, LDU >= 1.
V
V is COMPLEX*16 array, dimension
LDV x N if JOBV = 'A', 'V', 'R' or if JOBA = 'E' .
If JOBV = 'A', or 'V', V contains the N-by-N unitary matrix V**H;
If JOBV = 'R', V contains the first NUMRANK rows of V**H (the right
singular vectors, stored rowwise, of the NUMRANK largest singular values).
If JOBV = 'N' and JOBA = 'E', V is used as a workspace.
If JOBV = 'N', and JOBA.NE.'E', V is not referenced.
LDV
LDV is INTEGER
The leading dimension of the array V.
If JOBV = 'A', 'V', 'R', or JOBA = 'E', LDV >= max(1,N).
Otherwise, LDV >= 1.
NUMRANK
NUMRANK is INTEGER
NUMRANK is the numerical rank first determined after the rank
revealing QR factorization, following the strategy specified by the
value of JOBA. If JOBV = 'R' and JOBU = 'R', only NUMRANK
leading singular values and vectors are then requested in the call
of CGESVD. The final value of NUMRANK might be further reduced if
some singular values are computed as zeros.
IWORK
IWORK is INTEGER array, dimension (max(1, LIWORK)).
On exit, IWORK(1:N) contains column pivoting permutation of the
rank revealing QR factorization.
If JOBP = 'P', IWORK(N+1:N+M-1) contains the indices of the sequence
of row swaps used in row pivoting. These can be used to restore the
left singular vectors in the case JOBU = 'F'.
If LIWORK, LCWORK, or LRWORK = -1, then on exit, if INFO = 0,
IWORK(1) returns the minimal LIWORK.
LIWORK
LIWORK is INTEGER
The dimension of the array IWORK.
LIWORK >= N + M - 1, if JOBP = 'P';
LIWORK >= N if JOBP = 'N'.
If LIWORK = -1, then a workspace query is assumed; the routine
only calculates and returns the optimal and minimal sizes
for the CWORK, IWORK, and RWORK arrays, and no error
message related to LCWORK is issued by XERBLA.
CWORK
CWORK is COMPLEX*12 array, dimension (max(2, LCWORK)), used as a workspace.
On exit, if, on entry, LCWORK.NE.-1, CWORK(1:N) contains parameters
needed to recover the Q factor from the QR factorization computed by
ZGEQP3.
If LIWORK, LCWORK, or LRWORK = -1, then on exit, if INFO = 0,
CWORK(1) returns the optimal LCWORK, and
CWORK(2) returns the minimal LCWORK.
LCWORK
LCWORK is INTEGER
The dimension of the array CWORK. It is determined as follows:
Let LWQP3 = N+1, LWCON = 2*N, and let
LWUNQ = { MAX( N, 1 ), if JOBU = 'R', 'S', or 'U'
{ MAX( M, 1 ), if JOBU = 'A'
LWSVD = MAX( 3*N, 1 )
LWLQF = MAX( N/2, 1 ), LWSVD2 = MAX( 3*(N/2), 1 ), LWUNLQ = MAX( N, 1 ),
LWQRF = MAX( N/2, 1 ), LWUNQ2 = MAX( N, 1 )
Then the minimal value of LCWORK is:
= MAX( N + LWQP3, LWSVD ) if only the singular values are needed;
= MAX( N + LWQP3, LWCON, LWSVD ) if only the singular values are needed,
and a scaled condition estimate requested;
= N + MAX( LWQP3, LWSVD, LWUNQ ) if the singular values and the left
singular vectors are requested;
= N + MAX( LWQP3, LWCON, LWSVD, LWUNQ ) if the singular values and the left
singular vectors are requested, and also
a scaled condition estimate requested;
= N + MAX( LWQP3, LWSVD ) if the singular values and the right
singular vectors are requested;
= N + MAX( LWQP3, LWCON, LWSVD ) if the singular values and the right
singular vectors are requested, and also
a scaled condition etimate requested;
= N + MAX( LWQP3, LWSVD, LWUNQ ) if the full SVD is requested with JOBV = 'R';
independent of JOBR;
= N + MAX( LWQP3, LWCON, LWSVD, LWUNQ ) if the full SVD is requested,
JOBV = 'R' and, also a scaled condition
estimate requested; independent of JOBR;
= MAX( N + MAX( LWQP3, LWSVD, LWUNQ ),
N + MAX( LWQP3, N/2+LWLQF, N/2+LWSVD2, N/2+LWUNLQ, LWUNQ) ) if the
full SVD is requested with JOBV = 'A' or 'V', and
JOBR ='N'
= MAX( N + MAX( LWQP3, LWCON, LWSVD, LWUNQ ),
N + MAX( LWQP3, LWCON, N/2+LWLQF, N/2+LWSVD2, N/2+LWUNLQ, LWUNQ ) )
if the full SVD is requested with JOBV = 'A' or 'V', and
JOBR ='N', and also a scaled condition number estimate
requested.
= MAX( N + MAX( LWQP3, LWSVD, LWUNQ ),
N + MAX( LWQP3, N/2+LWQRF, N/2+LWSVD2, N/2+LWUNQ2, LWUNQ ) ) if the
full SVD is requested with JOBV = 'A', 'V', and JOBR ='T'
= MAX( N + MAX( LWQP3, LWCON, LWSVD, LWUNQ ),
N + MAX( LWQP3, LWCON, N/2+LWQRF, N/2+LWSVD2, N/2+LWUNQ2, LWUNQ ) )
if the full SVD is requested with JOBV = 'A', 'V' and
JOBR ='T', and also a scaled condition number estimate
requested.
Finally, LCWORK must be at least two: LCWORK = MAX( 2, LCWORK ).
If LCWORK = -1, then a workspace query is assumed; the routine
only calculates and returns the optimal and minimal sizes
for the CWORK, IWORK, and RWORK arrays, and no error
message related to LCWORK is issued by XERBLA.
RWORK
RWORK is DOUBLE PRECISION array, dimension (max(1, LRWORK)).
On exit,
1. If JOBA = 'E', RWORK(1) contains an estimate of the condition
number of column scaled A. If A = C * D where D is diagonal and C
has unit columns in the Euclidean norm, then, assuming full column rank,
N^(-1/4) * RWORK(1) <= ||pinv(C)||_2 <= N^(1/4) * RWORK(1).
Otherwise, RWORK(1) = -1.
2. RWORK(2) contains the number of singular values computed as
exact zeros in ZGESVD applied to the upper triangular or trapezoidal
R (from the initial QR factorization). In case of early exit (no call to
ZGESVD, such as in the case of zero matrix) RWORK(2) = -1.
If LIWORK, LCWORK, or LRWORK = -1, then on exit, if INFO = 0,
RWORK(1) returns the minimal LRWORK.
LRWORK
LRWORK is INTEGER.
The dimension of the array RWORK.
If JOBP ='P', then LRWORK >= MAX(2, M, 5*N);
Otherwise, LRWORK >= MAX(2, 5*N).
If LRWORK = -1, then a workspace query is assumed; the routine
only calculates and returns the optimal and minimal sizes
for the CWORK, IWORK, and RWORK arrays, and no error
message related to LCWORK is issued by XERBLA.
INFO
INFO is INTEGER
= 0: successful exit.
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: if ZBDSQR did not converge, INFO specifies how many superdiagonals
of an intermediate bidiagonal form B (computed in ZGESVD) did not
converge to zero.
Further Details:
1. The data movement (matrix transpose) is coded using simple nested
DO-loops because BLAS and LAPACK do not provide corresponding subroutines.
Those DO-loops are easily identified in this source code - by the CONTINUE
statements labeled with 11**. In an optimized version of this code, the
nested DO loops should be replaced with calls to an optimized subroutine.
2. This code scales A by 1/SQRT(M) if the largest ABS(A(i,j)) could cause
column norm overflow. This is the minial precaution and it is left to the
SVD routine (CGESVD) to do its own preemptive scaling if potential over-
or underflows are detected. To avoid repeated scanning of the array A,
an optimal implementation would do all necessary scaling before calling
CGESVD and the scaling in CGESVD can be switched off.
3. Other comments related to code optimization are given in comments in the
code, enlosed in [[double brackets]].
Bugs, examples and comments
Please report all bugs and send interesting examples and/or comments to
drmac@math.hr. Thank you.
References
[1] Zlatko Drmac, Algorithm 977: A QR-Preconditioned QR SVD Method for
Computing the SVD with High Accuracy. ACM Trans. Math. Softw.
44(1): 11:1-11:30 (2017)
SIGMA library, xGESVDQ section updated February 2016.
Developed and coded by Zlatko Drmac, Department of Mathematics
University of Zagreb, Croatia, drmac@math.hr
Contributors:
Developed and coded by Zlatko Drmac, Department of Mathematics
University of Zagreb, Croatia, drmac@math.hr
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
subroutine zgesvdx (character JOBU, character JOBVT, character RANGE, integer M, integer N,
complex*16, dimension( lda, * ) A, integer LDA, double precision VL, double precision VU,
integer IL, integer IU, integer NS, double precision, dimension( * ) S, complex*16,
dimension( ldu, * ) U, integer LDU, complex*16, dimension( ldvt, * ) VT, integer LDVT,
complex*16, dimension( * ) WORK, integer LWORK, double precision, dimension( * ) RWORK,
integer, dimension( * ) IWORK, integer INFO)
ZGESVDX computes the singular value decomposition (SVD) for GE matrices
Purpose:
ZGESVDX computes the singular value decomposition (SVD) of a complex
M-by-N matrix A, optionally computing the left and/or right singular
vectors. The SVD is written
A = U * SIGMA * transpose(V)
where SIGMA is an M-by-N matrix which is zero except for its
min(m,n) diagonal elements, U is an M-by-M unitary matrix, and
V is an N-by-N unitary matrix. The diagonal elements of SIGMA
are the singular values of A; they are real and non-negative, and
are returned in descending order. The first min(m,n) columns of
U and V are the left and right singular vectors of A.
ZGESVDX uses an eigenvalue problem for obtaining the SVD, which
allows for the computation of a subset of singular values and
vectors. See DBDSVDX for details.
Note that the routine returns V**T, not V.
Parameters
JOBU
JOBU is CHARACTER*1
Specifies options for computing all or part of the matrix U:
= 'V': the first min(m,n) columns of U (the left singular
vectors) or as specified by RANGE are returned in
the array U;
= 'N': no columns of U (no left singular vectors) are
computed.
JOBVT
JOBVT is CHARACTER*1
Specifies options for computing all or part of the matrix
V**T:
= 'V': the first min(m,n) rows of V**T (the right singular
vectors) or as specified by RANGE are returned in
the array VT;
= 'N': no rows of V**T (no right singular vectors) are
computed.
RANGE
RANGE is CHARACTER*1
= 'A': all singular values will be found.
= 'V': all singular values in the half-open interval (VL,VU]
will be found.
= 'I': the IL-th through IU-th singular values will be found.
M
M is INTEGER
The number of rows of the input matrix A. M >= 0.
N
N is INTEGER
The number of columns of the input matrix A. N >= 0.
A
A is COMPLEX*16 array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit, the contents of A are destroyed.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
VL
VL is DOUBLE PRECISION
If RANGE='V', the lower bound of the interval to
be searched for singular values. VU > VL.
Not referenced if RANGE = 'A' or 'I'.
VU
VU is DOUBLE PRECISION
If RANGE='V', the upper bound of the interval to
be searched for singular values. VU > VL.
Not referenced if RANGE = 'A' or 'I'.
IL
IL is INTEGER
If RANGE='I', the index of the
smallest singular value to be returned.
1 <= IL <= IU <= min(M,N), if min(M,N) > 0.
Not referenced if RANGE = 'A' or 'V'.
IU
IU is INTEGER
If RANGE='I', the index of the
largest singular value to be returned.
1 <= IL <= IU <= min(M,N), if min(M,N) > 0.
Not referenced if RANGE = 'A' or 'V'.
NS
NS is INTEGER
The total number of singular values found,
0 <= NS <= min(M,N).
If RANGE = 'A', NS = min(M,N); if RANGE = 'I', NS = IU-IL+1.
S
S is DOUBLE PRECISION array, dimension (min(M,N))
The singular values of A, sorted so that S(i) >= S(i+1).
U
U is COMPLEX*16 array, dimension (LDU,UCOL)
If JOBU = 'V', U contains columns of U (the left singular
vectors, stored columnwise) as specified by RANGE; if
JOBU = 'N', U is not referenced.
Note: The user must ensure that UCOL >= NS; if RANGE = 'V',
the exact value of NS is not known in advance and an upper
bound must be used.
LDU
LDU is INTEGER
The leading dimension of the array U. LDU >= 1; if
JOBU = 'V', LDU >= M.
VT
VT is COMPLEX*16 array, dimension (LDVT,N)
If JOBVT = 'V', VT contains the rows of V**T (the right singular
vectors, stored rowwise) as specified by RANGE; if JOBVT = 'N',
VT is not referenced.
Note: The user must ensure that LDVT >= NS; if RANGE = 'V',
the exact value of NS is not known in advance and an upper
bound must be used.
LDVT
LDVT is INTEGER
The leading dimension of the array VT. LDVT >= 1; if
JOBVT = 'V', LDVT >= NS (see above).
WORK
WORK is COMPLEX*16 array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK;
LWORK
LWORK is INTEGER
The dimension of the array WORK.
LWORK >= MAX(1,MIN(M,N)*(MIN(M,N)+4)) for the paths (see
comments inside the code):
- PATH 1 (M much larger than N)
- PATH 1t (N much larger than M)
LWORK >= MAX(1,MIN(M,N)*2+MAX(M,N)) for the other paths.
For good performance, LWORK should generally be larger.
If LWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the WORK array, returns
this value as the first entry of the WORK array, and no error
message related to LWORK is issued by XERBLA.
RWORK
RWORK is DOUBLE PRECISION array, dimension (MAX(1,LRWORK))
LRWORK >= MIN(M,N)*(MIN(M,N)*2+15*MIN(M,N)).
IWORK
IWORK is INTEGER array, dimension (12*MIN(M,N))
If INFO = 0, the first NS elements of IWORK are zero. If INFO > 0,
then IWORK contains the indices of the eigenvectors that failed
to converge in DBDSVDX/DSTEVX.
INFO
INFO is INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal value
> 0: if INFO = i, then i eigenvectors failed to converge
in DBDSVDX/DSTEVX.
if INFO = N*2 + 1, an internal error occurred in
DBDSVDX
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
subroutine zggsvd3 (character JOBU, character JOBV, character JOBQ, integer M, integer N,
integer P, integer K, integer L, complex*16, dimension( lda, * ) A, integer LDA,
complex*16, dimension( ldb, * ) B, integer LDB, double precision, dimension( * ) ALPHA,
double precision, dimension( * ) BETA, complex*16, dimension( ldu, * ) U, integer LDU,
complex*16, dimension( ldv, * ) V, integer LDV, complex*16, dimension( ldq, * ) Q, integer
LDQ, complex*16, dimension( * ) WORK, integer LWORK, double precision, dimension( * )
RWORK, integer, dimension( * ) IWORK, integer INFO)
ZGGSVD3 computes the singular value decomposition (SVD) for OTHER matrices
Purpose:
ZGGSVD3 computes the generalized singular value decomposition (GSVD)
of an M-by-N complex matrix A and P-by-N complex matrix B:
U**H*A*Q = D1*( 0 R ), V**H*B*Q = D2*( 0 R )
where U, V and Q are unitary matrices.
Let K+L = the effective numerical rank of the
matrix (A**H,B**H)**H, then R is a (K+L)-by-(K+L) nonsingular upper
triangular matrix, D1 and D2 are M-by-(K+L) and P-by-(K+L) "diagonal"
matrices and of the following structures, respectively:
If M-K-L >= 0,
K L
D1 = K ( I 0 )
L ( 0 C )
M-K-L ( 0 0 )
K L
D2 = L ( 0 S )
P-L ( 0 0 )
N-K-L K L
( 0 R ) = K ( 0 R11 R12 )
L ( 0 0 R22 )
where
C = diag( ALPHA(K+1), ... , ALPHA(K+L) ),
S = diag( BETA(K+1), ... , BETA(K+L) ),
C**2 + S**2 = I.
R is stored in A(1:K+L,N-K-L+1:N) on exit.
If M-K-L < 0,
K M-K K+L-M
D1 = K ( I 0 0 )
M-K ( 0 C 0 )
K M-K K+L-M
D2 = M-K ( 0 S 0 )
K+L-M ( 0 0 I )
P-L ( 0 0 0 )
N-K-L K M-K K+L-M
( 0 R ) = K ( 0 R11 R12 R13 )
M-K ( 0 0 R22 R23 )
K+L-M ( 0 0 0 R33 )
where
C = diag( ALPHA(K+1), ... , ALPHA(M) ),
S = diag( BETA(K+1), ... , BETA(M) ),
C**2 + S**2 = I.
(R11 R12 R13 ) is stored in A(1:M, N-K-L+1:N), and R33 is stored
( 0 R22 R23 )
in B(M-K+1:L,N+M-K-L+1:N) on exit.
The routine computes C, S, R, and optionally the unitary
transformation matrices U, V and Q.
In particular, if B is an N-by-N nonsingular matrix, then the GSVD of
A and B implicitly gives the SVD of A*inv(B):
A*inv(B) = U*(D1*inv(D2))*V**H.
If ( A**H,B**H)**H has orthonormal columns, then the GSVD of A and B is also
equal to the CS decomposition of A and B. Furthermore, the GSVD can
be used to derive the solution of the eigenvalue problem:
A**H*A x = lambda* B**H*B x.
In some literature, the GSVD of A and B is presented in the form
U**H*A*X = ( 0 D1 ), V**H*B*X = ( 0 D2 )
where U and V are orthogonal and X is nonsingular, and D1 and D2 are
``diagonal''. The former GSVD form can be converted to the latter
form by taking the nonsingular matrix X as
X = Q*( I 0 )
( 0 inv(R) )
Parameters
JOBU
JOBU is CHARACTER*1
= 'U': Unitary matrix U is computed;
= 'N': U is not computed.
JOBV
JOBV is CHARACTER*1
= 'V': Unitary matrix V is computed;
= 'N': V is not computed.
JOBQ
JOBQ is CHARACTER*1
= 'Q': Unitary matrix Q is computed;
= 'N': Q is not computed.
M
M is INTEGER
The number of rows of the matrix A. M >= 0.
N
N is INTEGER
The number of columns of the matrices A and B. N >= 0.
P
P is INTEGER
The number of rows of the matrix B. P >= 0.
K
K is INTEGER
L
L is INTEGER
On exit, K and L specify the dimension of the subblocks
described in Purpose.
K + L = effective numerical rank of (A**H,B**H)**H.
A
A is COMPLEX*16 array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit, A contains the triangular matrix R, or part of R.
See Purpose for details.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
B
B is COMPLEX*16 array, dimension (LDB,N)
On entry, the P-by-N matrix B.
On exit, B contains part of the triangular matrix R if
M-K-L < 0. See Purpose for details.
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,P).
ALPHA
ALPHA is DOUBLE PRECISION array, dimension (N)
BETA
BETA is DOUBLE PRECISION array, dimension (N)
On exit, ALPHA and BETA contain the generalized singular
value pairs of A and B;
ALPHA(1:K) = 1,
BETA(1:K) = 0,
and if M-K-L >= 0,
ALPHA(K+1:K+L) = C,
BETA(K+1:K+L) = S,
or if M-K-L < 0,
ALPHA(K+1:M)=C, ALPHA(M+1:K+L)=0
BETA(K+1:M) =S, BETA(M+1:K+L) =1
and
ALPHA(K+L+1:N) = 0
BETA(K+L+1:N) = 0
U
U is COMPLEX*16 array, dimension (LDU,M)
If JOBU = 'U', U contains the M-by-M unitary matrix U.
If JOBU = 'N', U is not referenced.
LDU
LDU is INTEGER
The leading dimension of the array U. LDU >= max(1,M) if
JOBU = 'U'; LDU >= 1 otherwise.
V
V is COMPLEX*16 array, dimension (LDV,P)
If JOBV = 'V', V contains the P-by-P unitary matrix V.
If JOBV = 'N', V is not referenced.
LDV
LDV is INTEGER
The leading dimension of the array V. LDV >= max(1,P) if
JOBV = 'V'; LDV >= 1 otherwise.
Q
Q is COMPLEX*16 array, dimension (LDQ,N)
If JOBQ = 'Q', Q contains the N-by-N unitary matrix Q.
If JOBQ = 'N', Q is not referenced.
LDQ
LDQ is INTEGER
The leading dimension of the array Q. LDQ >= max(1,N) if
JOBQ = 'Q'; LDQ >= 1 otherwise.
WORK
WORK is COMPLEX*16 array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK.
If LWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the WORK array, returns
this value as the first entry of the WORK array, and no error
message related to LWORK is issued by XERBLA.
RWORK
RWORK is DOUBLE PRECISION array, dimension (2*N)
IWORK
IWORK is INTEGER array, dimension (N)
On exit, IWORK stores the sorting information. More
precisely, the following loop will sort ALPHA
for I = K+1, min(M,K+L)
swap ALPHA(I) and ALPHA(IWORK(I))
endfor
such that ALPHA(1) >= ALPHA(2) >= ... >= ALPHA(N).
INFO
INFO is INTEGER
= 0: successful exit.
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: if INFO = 1, the Jacobi-type procedure failed to
converge. For further details, see subroutine ZTGSJA.
Internal Parameters:
TOLA DOUBLE PRECISION
TOLB DOUBLE PRECISION
TOLA and TOLB are the thresholds to determine the effective
rank of (A**H,B**H)**H. Generally, they are set to
TOLA = MAX(M,N)*norm(A)*MACHEPS,
TOLB = MAX(P,N)*norm(B)*MACHEPS.
The size of TOLA and TOLB may affect the size of backward
errors of the decomposition.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Contributors:
Ming Gu and Huan Ren, Computer Science Division, University of California at Berkeley,
USA
Further Details:
ZGGSVD3 replaces the deprecated subroutine ZGGSVD.
Author
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