NAME

       dggglm.f -

SYNOPSIS

   Functions/Subroutines
       subroutine dggglm (N, M, P, A, LDA, B, LDB, D, X, Y, WORK, LWORK, INFO)
            DGGEVX computes the eigenvalues and, optionally, the left and/or right eigenvectors
           for GE matrices

Function/Subroutine Documentation

   subroutine dggglm (integerN, integerM, integerP, double precision, dimension( lda, * )A,
       integerLDA, double precision, dimension( ldb, * )B, integerLDB, double precision,
       dimension( * )D, double precision, dimension( * )X, double precision, dimension( * )Y,
       double precision, dimension( * )WORK, integerLWORK, integerINFO)
        DGGEVX computes the eigenvalues and, optionally, the left and/or right eigenvectors for
       GE matrices

       Purpose:

            DGGGLM solves a general Gauss-Markov linear model (GLM) problem:

                    minimize || y ||_2   subject to   d = A*x + B*y
                        x

            where A is an N-by-M matrix, B is an N-by-P matrix, and d is a
            given N-vector. It is assumed that M <= N <= M+P, and

                       rank(A) = M    and    rank( A B ) = N.

            Under these assumptions, the constrained equation is always
            consistent, and there is a unique solution x and a minimal 2-norm
            solution y, which is obtained using a generalized QR factorization
            of the matrices (A, B) given by

               A = Q*(R),   B = Q*T*Z.
                     (0)

            In particular, if matrix B is square nonsingular, then the problem
            GLM is equivalent to the following weighted linear least squares
            problem

                         minimize || inv(B)*(d-A*x) ||_2
                             x

            where inv(B) denotes the inverse of B.

       Parameters:
           N

                     N is INTEGER
                     The number of rows of the matrices A and B.  N >= 0.

           M

                     M is INTEGER
                     The number of columns of the matrix A.  0 <= M <= N.

           P

                     P is INTEGER
                     The number of columns of the matrix B.  P >= N-M.

           A

                     A is DOUBLE PRECISION array, dimension (LDA,M)
                     On entry, the N-by-M matrix A.
                     On exit, the upper triangular part of the array A contains
                     the M-by-M upper triangular matrix R.

           LDA

                     LDA is INTEGER
                     The leading dimension of the array A. LDA >= max(1,N).

           B

                     B is DOUBLE PRECISION array, dimension (LDB,P)
                     On entry, the N-by-P matrix B.
                     On exit, if N <= P, the upper triangle of the subarray
                     B(1:N,P-N+1:P) contains the N-by-N upper triangular matrix T;
                     if N > P, the elements on and above the (N-P)th subdiagonal
                     contain the N-by-P upper trapezoidal matrix T.

           LDB

                     LDB is INTEGER
                     The leading dimension of the array B. LDB >= max(1,N).

           D

                     D is DOUBLE PRECISION array, dimension (N)
                     On entry, D is the left hand side of the GLM equation.
                     On exit, D is destroyed.

           X

                     X is DOUBLE PRECISION array, dimension (M)

           Y

                     Y is DOUBLE PRECISION array, dimension (P)

                     On exit, X and Y are the solutions of the GLM problem.

           WORK

                     WORK is DOUBLE PRECISION 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,N+M+P).
                     For optimum performance, LWORK >= M+min(N,P)+max(N,P)*NB,
                     where NB is an upper bound for the optimal blocksizes for
                     DGEQRF, SGERQF, DORMQR and SORMRQ.

                     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.

           INFO

                     INFO is INTEGER
                     = 0:  successful exit.
                     < 0:  if INFO = -i, the i-th argument had an illegal value.
                     = 1:  the upper triangular factor R associated with A in the
                           generalized QR factorization of the pair (A, B) is
                           singular, so that rank(A) < M; the least squares
                           solution could not be computed.
                     = 2:  the bottom (N-M) by (N-M) part of the upper trapezoidal
                           factor T associated with B in the generalized QR
                           factorization of the pair (A, B) is singular, so that
                           rank( A B ) < N; the least squares solution could not
                           be computed.

       Author:
           Univ. of Tennessee

           Univ. of California Berkeley

           Univ. of Colorado Denver

           NAG Ltd.

       Date:
           November 2011

       Definition at line 185 of file dggglm.f.

Author

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