ztgsen.f - Man Page

subroutine ztgsen (ijob, wantq, wantz, select, n, a, lda, b, ldb, alpha, beta, q, ldq, z, ldz, m, pl, pr, dif, work, lwork, iwork, liwork, info)
ZTGSEN

ZTGSEN  

Purpose:

 ZTGSEN reorders the generalized Schur decomposition of a complex
 matrix pair (A, B) (in terms of an unitary equivalence trans-
 formation Q**H * (A, B) * Z), so that a selected cluster of eigenvalues
 appears in the leading diagonal blocks of the pair (A,B). The leading
 columns of Q and Z form unitary bases of the corresponding left and
 right eigenspaces (deflating subspaces). (A, B) must be in
 generalized Schur canonical form, that is, A and B are both upper
 triangular.

 ZTGSEN also computes the generalized eigenvalues

          w(j)= ALPHA(j) / BETA(j)

 of the reordered matrix pair (A, B).

 Optionally, the routine computes estimates of reciprocal condition
 numbers for eigenvalues and eigenspaces. These are Difu[(A11,B11),
 (A22,B22)] and Difl[(A11,B11), (A22,B22)], i.e. the separation(s)
 between the matrix pairs (A11, B11) and (A22,B22) that correspond to
 the selected cluster and the eigenvalues outside the cluster, resp.,
 and norms of 'projections' onto left and right eigenspaces w.r.t.
 the selected cluster in the (1,1)-block.

Parameters

IJOB

          IJOB is INTEGER
          Specifies whether condition numbers are required for the
          cluster of eigenvalues (PL and PR) or the deflating subspaces
          (Difu and Difl):
           =0: Only reorder w.r.t. SELECT. No extras.
           =1: Reciprocal of norms of 'projections' onto left and right
               eigenspaces w.r.t. the selected cluster (PL and PR).
           =2: Upper bounds on Difu and Difl. F-norm-based estimate
               (DIF(1:2)).
           =3: Estimate of Difu and Difl. 1-norm-based estimate
               (DIF(1:2)).
               About 5 times as expensive as IJOB = 2.
           =4: Compute PL, PR and DIF (i.e. 0, 1 and 2 above): Economic
               version to get it all.
           =5: Compute PL, PR and DIF (i.e. 0, 1 and 3 above)

WANTQ

          WANTQ is LOGICAL
          .TRUE. : update the left transformation matrix Q;
          .FALSE.: do not update Q.

WANTZ

          WANTZ is LOGICAL
          .TRUE. : update the right transformation matrix Z;
          .FALSE.: do not update Z.

SELECT

          SELECT is LOGICAL array, dimension (N)
          SELECT specifies the eigenvalues in the selected cluster. To
          select an eigenvalue w(j), SELECT(j) must be set to
          .TRUE..

N

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

A

          A is COMPLEX*16 array, dimension(LDA,N)
          On entry, the upper triangular matrix A, in generalized
          Schur canonical form.
          On exit, A is overwritten by the reordered matrix A.

LDA

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

B

          B is COMPLEX*16 array, dimension(LDB,N)
          On entry, the upper triangular matrix B, in generalized
          Schur canonical form.
          On exit, B is overwritten by the reordered matrix B.

LDB

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

ALPHA

          ALPHA is COMPLEX*16 array, dimension (N)

BETA

          BETA is COMPLEX*16 array, dimension (N)

          The diagonal elements of A and B, respectively,
          when the pair (A,B) has been reduced to generalized Schur
          form.  ALPHA(i)/BETA(i) i=1,...,N are the generalized
          eigenvalues.

Q

          Q is COMPLEX*16 array, dimension (LDQ,N)
          On entry, if WANTQ = .TRUE., Q is an N-by-N matrix.
          On exit, Q has been postmultiplied by the left unitary
          transformation matrix which reorder (A, B); The leading M
          columns of Q form orthonormal bases for the specified pair of
          left eigenspaces (deflating subspaces).
          If WANTQ = .FALSE., Q is not referenced.

LDQ

          LDQ is INTEGER
          The leading dimension of the array Q. LDQ >= 1.
          If WANTQ = .TRUE., LDQ >= N.

Z

          Z is COMPLEX*16 array, dimension (LDZ,N)
          On entry, if WANTZ = .TRUE., Z is an N-by-N matrix.
          On exit, Z has been postmultiplied by the left unitary
          transformation matrix which reorder (A, B); The leading M
          columns of Z form orthonormal bases for the specified pair of
          left eigenspaces (deflating subspaces).
          If WANTZ = .FALSE., Z is not referenced.

LDZ

          LDZ is INTEGER
          The leading dimension of the array Z. LDZ >= 1.
          If WANTZ = .TRUE., LDZ >= N.

M

          M is INTEGER
          The dimension of the specified pair of left and right
          eigenspaces, (deflating subspaces) 0 <= M <= N.

PL

          PL is DOUBLE PRECISION

PR

          PR is DOUBLE PRECISION

          If IJOB = 1, 4 or 5, PL, PR are lower bounds on the
          reciprocal  of the norm of 'projections' onto left and right
          eigenspace with respect to the selected cluster.
          0 < PL, PR <= 1.
          If M = 0 or M = N, PL = PR  = 1.
          If IJOB = 0, 2 or 3 PL, PR are not referenced.

DIF

          DIF is DOUBLE PRECISION array, dimension (2).
          If IJOB >= 2, DIF(1:2) store the estimates of Difu and Difl.
          If IJOB = 2 or 4, DIF(1:2) are F-norm-based upper bounds on
          Difu and Difl. If IJOB = 3 or 5, DIF(1:2) are 1-norm-based
          estimates of Difu and Difl, computed using reversed
          communication with ZLACN2.
          If M = 0 or N, DIF(1:2) = F-norm([A, B]).
          If IJOB = 0 or 1, DIF is not referenced.

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 IJOB = 1, 2 or 4, LWORK >=  2*M*(N-M)
          If IJOB = 3 or 5, LWORK >=  4*M*(N-M)

          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.

IWORK

          IWORK is INTEGER array, dimension (MAX(1,LIWORK))
          On exit, if INFO = 0, IWORK(1) returns the optimal LIWORK.

LIWORK

          LIWORK is INTEGER
          The dimension of the array IWORK. LIWORK >= 1.
          If IJOB = 1, 2 or 4, LIWORK >=  N+2;
          If IJOB = 3 or 5, LIWORK >= MAX(N+2, 2*M*(N-M));

          If LIWORK = -1, then a workspace query is assumed; the
          routine only calculates the optimal size of the IWORK array,
          returns this value as the first entry of the IWORK array, and
          no error message related to LIWORK is issued by XERBLA.

INFO

          INFO is INTEGER
            =0: Successful exit.
            <0: If INFO = -i, the i-th argument had an illegal value.
            =1: Reordering of (A, B) failed because the transformed
                matrix pair (A, B) would be too far from generalized
                Schur form; the problem is very ill-conditioned.
                (A, B) may have been partially reordered.
                If requested, 0 is returned in DIF(*), PL and PR.

Author

Univ. of Tennessee

Univ. of California Berkeley

Univ. of Colorado Denver

NAG Ltd.

Further Details:

  ZTGSEN first collects the selected eigenvalues by computing unitary
  U and W that move them to the top left corner of (A, B). In other
  words, the selected eigenvalues are the eigenvalues of (A11, B11) in

              U**H*(A, B)*W = (A11 A12) (B11 B12) n1
                              ( 0  A22),( 0  B22) n2
                                n1  n2    n1  n2

  where N = n1+n2 and U**H means the conjugate transpose of U. The first
  n1 columns of U and W span the specified pair of left and right
  eigenspaces (deflating subspaces) of (A, B).

  If (A, B) has been obtained from the generalized real Schur
  decomposition of a matrix pair (C, D) = Q*(A, B)*Z**H, then the
  reordered generalized Schur form of (C, D) is given by

           (C, D) = (Q*U)*(U**H *(A, B)*W)*(Z*W)**H,

  and the first n1 columns of Q*U and Z*W span the corresponding
  deflating subspaces of (C, D) (Q and Z store Q*U and Z*W, resp.).

  Note that if the selected eigenvalue is sufficiently ill-conditioned,
  then its value may differ significantly from its value before
  reordering.

  The reciprocal condition numbers of the left and right eigenspaces
  spanned by the first n1 columns of U and W (or Q*U and Z*W) may
  be returned in DIF(1:2), corresponding to Difu and Difl, resp.

  The Difu and Difl are defined as:

       Difu[(A11, B11), (A22, B22)] = sigma-min( Zu )
  and
       Difl[(A11, B11), (A22, B22)] = Difu[(A22, B22), (A11, B11)],

  where sigma-min(Zu) is the smallest singular value of the
  (2*n1*n2)-by-(2*n1*n2) matrix

       Zu = [ kron(In2, A11)  -kron(A22**H, In1) ]
            [ kron(In2, B11)  -kron(B22**H, In1) ].

  Here, Inx is the identity matrix of size nx and A22**H is the
  conjugate transpose of A22. kron(X, Y) is the Kronecker product between
  the matrices X and Y.

  When DIF(2) is small, small changes in (A, B) can cause large changes
  in the deflating subspace. An approximate (asymptotic) bound on the
  maximum angular error in the computed deflating subspaces is

       EPS * norm((A, B)) / DIF(2),

  where EPS is the machine precision.

  The reciprocal norm of the projectors on the left and right
  eigenspaces associated with (A11, B11) may be returned in PL and PR.
  They are computed as follows. First we compute L and R so that
  P*(A, B)*Q is block diagonal, where

       P = ( I -L ) n1           Q = ( I R ) n1
           ( 0  I ) n2    and        ( 0 I ) n2
             n1 n2                    n1 n2

  and (L, R) is the solution to the generalized Sylvester equation

       A11*R - L*A22 = -A12
       B11*R - L*B22 = -B12

  Then PL = (F-norm(L)**2+1)**(-1/2) and PR = (F-norm(R)**2+1)**(-1/2).
  An approximate (asymptotic) bound on the average absolute error of
  the selected eigenvalues is

       EPS * norm((A, B)) / PL.

  There are also global error bounds which valid for perturbations up
  to a certain restriction:  A lower bound (x) on the smallest
  F-norm(E,F) for which an eigenvalue of (A11, B11) may move and
  coalesce with an eigenvalue of (A22, B22) under perturbation (E,F),
  (i.e. (A + E, B + F), is

   x = min(Difu,Difl)/((1/(PL*PL)+1/(PR*PR))**(1/2)+2*max(1/PL,1/PR)).

  An approximate bound on x can be computed from DIF(1:2), PL and PR.

  If y = ( F-norm(E,F) / x) <= 1, the angles between the perturbed
  (L', R') and unperturbed (L, R) left and right deflating subspaces
  associated with the selected cluster in the (1,1)-blocks can be
  bounded as

   max-angle(L, L') <= arctan( y * PL / (1 - y * (1 - PL * PL)**(1/2))
   max-angle(R, R') <= arctan( y * PR / (1 - y * (1 - PR * PR)**(1/2))

  See LAPACK User's Guide section 4.11 or the following references
  for more information.

  Note that if the default method for computing the Frobenius-norm-
  based estimate DIF is not wanted (see ZLATDF), then the parameter
  IDIFJB (see below) should be changed from 3 to 4 (routine ZLATDF
  (IJOB = 2 will be used)). See ZTGSYL for more details.

Contributors:

Bo Kagstrom and Peter Poromaa, Department of Computing Science, Umea University, S-901 87 Umea, Sweden.

References:

Definition at line 430 of file ztgsen.f.