dgesvdq.f - Man Page

subroutine dgesvdq (joba, jobp, jobr, jobu, jobv, m, n, a, lda, s, u, ldu, v, ldv, numrank, iwork, liwork, work, lwork, rwork, lrwork, info)
DGESVDQ computes the singular value decomposition (SVD) with a QR-Preconditioned QR SVD Method for GE matrices

DGESVDQ computes the singular value decomposition (SVD) with a QR-Preconditioned QR SVD Method for GE matrices  

Purpose:

 DGESVDQ computes the singular value decomposition (SVD) of a real
 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 orthogonal 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 DGESVDQ 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, DGESVD is applied to
          the transposed R**T 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 DGESVD. 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**T , 0)**T. 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 DOUBLE PRECISION 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 DGEQP3. If JOBU = 'F', these Householder
          vectors together with WORK(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 DOUBLE PRECISION 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 orthogonal 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 DOUBLE PRECISION 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 orthogonal matrix  V**T;
          If JOBV = 'R', V contains the first NUMRANK rows of V**T (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 DGESVD. 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, LWORK, 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' and JOBA .NE. 'E';
          LIWORK >= N              if JOBP = 'N' and JOBA .NE. 'E';
          LIWORK >= N + M - 1 + N, if JOBP = 'P' and JOBA = 'E';
          LIWORK >= N + N          if JOBP = 'N' and JOBA = 'E'.

          If LIWORK = -1, then a workspace query is assumed; the routine
          only calculates and returns the optimal and minimal sizes
          for the WORK, IWORK, and RWORK arrays, and no error
          message related to LWORK is issued by XERBLA.

WORK

          WORK is DOUBLE PRECISION array, dimension (max(2, LWORK)), used as a workspace.
          On exit, if, on entry, LWORK.NE.-1, WORK(1:N) contains parameters
          needed to recover the Q factor from the QR factorization computed by
          DGEQP3.

          If LIWORK, LWORK, or LRWORK = -1, then on exit, if INFO = 0,
          WORK(1) returns the optimal LWORK, and
          WORK(2) returns the minimal LWORK.

LWORK

          LWORK is INTEGER
          The dimension of the array WORK. It is determined as follows:
          Let  LWQP3 = 3*N+1,  LWCON = 3*N, and let
          LWORQ = { MAX( N, 1 ),  if JOBU = 'R', 'S', or 'U'
                  { MAX( M, 1 ),  if JOBU = 'A'
          LWSVD = MAX( 5*N, 1 )
          LWLQF = MAX( N/2, 1 ), LWSVD2 = MAX( 5*(N/2), 1 ), LWORLQ = MAX( N, 1 ),
          LWQRF = MAX( N/2, 1 ), LWORQ2 = MAX( N, 1 )
          Then the minimal value of LWORK 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, LWORQ ) if the singular values and the left
                                   singular vectors are requested;
          = N + MAX( LWQP3, LWCON, LWSVD, LWORQ ) 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, LWORQ ) if the full SVD is requested with JOBV = 'R';
                                   independent of JOBR;
          = N + MAX( LWQP3, LWCON, LWSVD, LWORQ ) if the full SVD is requested,
                                   JOBV = 'R' and, also a scaled condition
                                   estimate requested; independent of JOBR;
          = MAX( N + MAX( LWQP3, LWSVD, LWORQ ),
         N + MAX( LWQP3, N/2+LWLQF, N/2+LWSVD2, N/2+LWORLQ, LWORQ) ) if the
                         full SVD is requested with JOBV = 'A' or 'V', and
                         JOBR ='N'
          = MAX( N + MAX( LWQP3, LWCON, LWSVD, LWORQ ),
         N + MAX( LWQP3, LWCON, N/2+LWLQF, N/2+LWSVD2, N/2+LWORLQ, LWORQ ) )
                         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, LWORQ ),
         N + MAX( LWQP3, N/2+LWQRF, N/2+LWSVD2, N/2+LWORQ2, LWORQ ) ) if the
                         full SVD is requested with JOBV = 'A', 'V', and JOBR ='T'
          = MAX( N + MAX( LWQP3, LWCON, LWSVD, LWORQ ),
         N + MAX( LWQP3, LWCON, N/2+LWQRF, N/2+LWSVD2, N/2+LWORQ2, LWORQ ) )
                         if the full SVD is requested with JOBV = 'A' or 'V', and
                         JOBR ='T', and also a scaled condition number estimate
                         requested.
          Finally, LWORK must be at least two: LWORK = MAX( 2, LWORK ).

          If LWORK = -1, then a workspace query is assumed; the routine
          only calculates and returns the optimal and minimal sizes
          for the WORK, IWORK, and RWORK arrays, and no error
          message related to LWORK 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 DGESVD applied to the upper triangular or trapezoidal
          R (from the initial QR factorization). In case of early exit (no call to
          DGESVD, such as in the case of zero matrix) RWORK(2) = -1.

          If LIWORK, LWORK, 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).
          Otherwise, LRWORK >= 2

          If LRWORK = -1, then a workspace query is assumed; the routine
          only calculates and returns the optimal and minimal sizes
          for the WORK, IWORK, and RWORK arrays, 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.
          > 0:  if DBDSQR did not converge, INFO specifies how many superdiagonals
          of an intermediate bidiagonal form B (computed in DGESVD) 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, enclosed 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.

Definition at line 412 of file dgesvdq.f.