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authorSiddhesh Wani2015-05-25 14:46:31 +0530
committerSiddhesh Wani2015-05-25 14:46:31 +0530
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+ SUBROUTINE DGELSY( M, N, NRHS, A, LDA, B, LDB, JPVT, RCOND, RANK,
+ $ WORK, LWORK, INFO )
+*
+* -- LAPACK driver routine (version 3.1) --
+* Univ. of Tennessee, Univ. of California Berkeley and NAG Ltd..
+* November 2006
+*
+* .. Scalar Arguments ..
+ INTEGER INFO, LDA, LDB, LWORK, M, N, NRHS, RANK
+ DOUBLE PRECISION RCOND
+* ..
+* .. Array Arguments ..
+ INTEGER JPVT( * )
+ DOUBLE PRECISION A( LDA, * ), B( LDB, * ), WORK( * )
+* ..
+*
+* Purpose
+* =======
+*
+* DGELSY computes the minimum-norm solution to a real linear least
+* squares problem:
+* minimize || A * X - B ||
+* using a complete orthogonal factorization of A. A is an M-by-N
+* matrix which may be rank-deficient.
+*
+* Several right hand side vectors b and solution vectors x can be
+* handled in a single call; they are stored as the columns of the
+* M-by-NRHS right hand side matrix B and the N-by-NRHS solution
+* matrix X.
+*
+* The routine first computes a QR factorization with column pivoting:
+* A * P = Q * [ R11 R12 ]
+* [ 0 R22 ]
+* with R11 defined as the largest leading submatrix whose estimated
+* condition number is less than 1/RCOND. The order of R11, RANK,
+* is the effective rank of A.
+*
+* Then, R22 is considered to be negligible, and R12 is annihilated
+* by orthogonal transformations from the right, arriving at the
+* complete orthogonal factorization:
+* A * P = Q * [ T11 0 ] * Z
+* [ 0 0 ]
+* The minimum-norm solution is then
+* X = P * Z' [ inv(T11)*Q1'*B ]
+* [ 0 ]
+* where Q1 consists of the first RANK columns of Q.
+*
+* This routine is basically identical to the original xGELSX except
+* three differences:
+* o The call to the subroutine xGEQPF has been substituted by the
+* the call to the subroutine xGEQP3. This subroutine is a Blas-3
+* version of the QR factorization with column pivoting.
+* o Matrix B (the right hand side) is updated with Blas-3.
+* o The permutation of matrix B (the right hand side) is faster and
+* more simple.
+*
+* Arguments
+* =========
+*
+* M (input) INTEGER
+* The number of rows of the matrix A. M >= 0.
+*
+* N (input) INTEGER
+* The number of columns of the matrix A. N >= 0.
+*
+* NRHS (input) INTEGER
+* The number of right hand sides, i.e., the number of
+* columns of matrices B and X. NRHS >= 0.
+*
+* A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
+* On entry, the M-by-N matrix A.
+* On exit, A has been overwritten by details of its
+* complete orthogonal factorization.
+*
+* LDA (input) INTEGER
+* The leading dimension of the array A. LDA >= max(1,M).
+*
+* B (input/output) DOUBLE PRECISION array, dimension (LDB,NRHS)
+* On entry, the M-by-NRHS right hand side matrix B.
+* On exit, the N-by-NRHS solution matrix X.
+*
+* LDB (input) INTEGER
+* The leading dimension of the array B. LDB >= max(1,M,N).
+*
+* JPVT (input/output) INTEGER array, dimension (N)
+* On entry, if JPVT(i) .ne. 0, the i-th column of A is permuted
+* to the front of AP, otherwise column i is a free column.
+* On exit, if JPVT(i) = k, then the i-th column of AP
+* was the k-th column of A.
+*
+* RCOND (input) DOUBLE PRECISION
+* RCOND is used to determine the effective rank of A, which
+* is defined as the order of the largest leading triangular
+* submatrix R11 in the QR factorization with pivoting of A,
+* whose estimated condition number < 1/RCOND.
+*
+* RANK (output) INTEGER
+* The effective rank of A, i.e., the order of the submatrix
+* R11. This is the same as the order of the submatrix T11
+* in the complete orthogonal factorization of A.
+*
+* WORK (workspace/output) DOUBLE PRECISION array, dimension (MAX(1,LWORK))
+* On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
+*
+* LWORK (input) INTEGER
+* The dimension of the array WORK.
+* The unblocked strategy requires that:
+* LWORK >= MAX( MN+3*N+1, 2*MN+NRHS ),
+* where MN = min( M, N ).
+* The block algorithm requires that:
+* LWORK >= MAX( MN+2*N+NB*(N+1), 2*MN+NB*NRHS ),
+* where NB is an upper bound on the blocksize returned
+* by ILAENV for the routines DGEQP3, DTZRZF, STZRQF, DORMQR,
+* and DORMRZ.
+*
+* 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 (output) INTEGER
+* = 0: successful exit
+* < 0: If INFO = -i, the i-th argument had an illegal value.
+*
+* Further Details
+* ===============
+*
+* Based on contributions by
+* A. Petitet, Computer Science Dept., Univ. of Tenn., Knoxville, USA
+* E. Quintana-Orti, Depto. de Informatica, Universidad Jaime I, Spain
+* G. Quintana-Orti, Depto. de Informatica, Universidad Jaime I, Spain
+*
+* =====================================================================
+*
+* .. Parameters ..
+ INTEGER IMAX, IMIN
+ PARAMETER ( IMAX = 1, IMIN = 2 )
+ DOUBLE PRECISION ZERO, ONE
+ PARAMETER ( ZERO = 0.0D+0, ONE = 1.0D+0 )
+* ..
+* .. Local Scalars ..
+ LOGICAL LQUERY
+ INTEGER I, IASCL, IBSCL, ISMAX, ISMIN, J, LWKMIN,
+ $ LWKOPT, MN, NB, NB1, NB2, NB3, NB4
+ DOUBLE PRECISION ANRM, BIGNUM, BNRM, C1, C2, S1, S2, SMAX,
+ $ SMAXPR, SMIN, SMINPR, SMLNUM, WSIZE
+* ..
+* .. External Functions ..
+ INTEGER ILAENV
+ DOUBLE PRECISION DLAMCH, DLANGE
+ EXTERNAL ILAENV, DLAMCH, DLANGE
+* ..
+* .. External Subroutines ..
+ EXTERNAL DCOPY, DGEQP3, DLABAD, DLAIC1, DLASCL, DLASET,
+ $ DORMQR, DORMRZ, DTRSM, DTZRZF, XERBLA
+* ..
+* .. Intrinsic Functions ..
+ INTRINSIC ABS, MAX, MIN
+* ..
+* .. Executable Statements ..
+*
+ MN = MIN( M, N )
+ ISMIN = MN + 1
+ ISMAX = 2*MN + 1
+*
+* Test the input arguments.
+*
+ INFO = 0
+ LQUERY = ( LWORK.EQ.-1 )
+ IF( M.LT.0 ) THEN
+ INFO = -1
+ ELSE IF( N.LT.0 ) THEN
+ INFO = -2
+ ELSE IF( NRHS.LT.0 ) THEN
+ INFO = -3
+ ELSE IF( LDA.LT.MAX( 1, M ) ) THEN
+ INFO = -5
+ ELSE IF( LDB.LT.MAX( 1, M, N ) ) THEN
+ INFO = -7
+ END IF
+*
+* Figure out optimal block size
+*
+ IF( INFO.EQ.0 ) THEN
+ IF( MN.EQ.0 .OR. NRHS.EQ.0 ) THEN
+ LWKMIN = 1
+ LWKOPT = 1
+ ELSE
+ NB1 = ILAENV( 1, 'DGEQRF', ' ', M, N, -1, -1 )
+ NB2 = ILAENV( 1, 'DGERQF', ' ', M, N, -1, -1 )
+ NB3 = ILAENV( 1, 'DORMQR', ' ', M, N, NRHS, -1 )
+ NB4 = ILAENV( 1, 'DORMRQ', ' ', M, N, NRHS, -1 )
+ NB = MAX( NB1, NB2, NB3, NB4 )
+ LWKMIN = MN + MAX( 2*MN, N + 1, MN + NRHS )
+ LWKOPT = MAX( LWKMIN,
+ $ MN + 2*N + NB*( N + 1 ), 2*MN + NB*NRHS )
+ END IF
+ WORK( 1 ) = LWKOPT
+*
+ IF( LWORK.LT.LWKMIN .AND. .NOT.LQUERY ) THEN
+ INFO = -12
+ END IF
+ END IF
+*
+ IF( INFO.NE.0 ) THEN
+ CALL XERBLA( 'DGELSY', -INFO )
+ RETURN
+ ELSE IF( LQUERY ) THEN
+ RETURN
+ END IF
+*
+* Quick return if possible
+*
+ IF( MN.EQ.0 .OR. NRHS.EQ.0 ) THEN
+ RANK = 0
+ RETURN
+ END IF
+*
+* Get machine parameters
+*
+ SMLNUM = DLAMCH( 'S' ) / DLAMCH( 'P' )
+ BIGNUM = ONE / SMLNUM
+ CALL DLABAD( SMLNUM, BIGNUM )
+*
+* Scale A, B if max entries outside range [SMLNUM,BIGNUM]
+*
+ ANRM = DLANGE( 'M', M, N, A, LDA, WORK )
+ IASCL = 0
+ IF( ANRM.GT.ZERO .AND. ANRM.LT.SMLNUM ) THEN
+*
+* Scale matrix norm up to SMLNUM
+*
+ CALL DLASCL( 'G', 0, 0, ANRM, SMLNUM, M, N, A, LDA, INFO )
+ IASCL = 1
+ ELSE IF( ANRM.GT.BIGNUM ) THEN
+*
+* Scale matrix norm down to BIGNUM
+*
+ CALL DLASCL( 'G', 0, 0, ANRM, BIGNUM, M, N, A, LDA, INFO )
+ IASCL = 2
+ ELSE IF( ANRM.EQ.ZERO ) THEN
+*
+* Matrix all zero. Return zero solution.
+*
+ CALL DLASET( 'F', MAX( M, N ), NRHS, ZERO, ZERO, B, LDB )
+ RANK = 0
+ GO TO 70
+ END IF
+*
+ BNRM = DLANGE( 'M', M, NRHS, B, LDB, WORK )
+ IBSCL = 0
+ IF( BNRM.GT.ZERO .AND. BNRM.LT.SMLNUM ) THEN
+*
+* Scale matrix norm up to SMLNUM
+*
+ CALL DLASCL( 'G', 0, 0, BNRM, SMLNUM, M, NRHS, B, LDB, INFO )
+ IBSCL = 1
+ ELSE IF( BNRM.GT.BIGNUM ) THEN
+*
+* Scale matrix norm down to BIGNUM
+*
+ CALL DLASCL( 'G', 0, 0, BNRM, BIGNUM, M, NRHS, B, LDB, INFO )
+ IBSCL = 2
+ END IF
+*
+* Compute QR factorization with column pivoting of A:
+* A * P = Q * R
+*
+ CALL DGEQP3( M, N, A, LDA, JPVT, WORK( 1 ), WORK( MN+1 ),
+ $ LWORK-MN, INFO )
+ WSIZE = MN + WORK( MN+1 )
+*
+* workspace: MN+2*N+NB*(N+1).
+* Details of Householder rotations stored in WORK(1:MN).
+*
+* Determine RANK using incremental condition estimation
+*
+ WORK( ISMIN ) = ONE
+ WORK( ISMAX ) = ONE
+ SMAX = ABS( A( 1, 1 ) )
+ SMIN = SMAX
+ IF( ABS( A( 1, 1 ) ).EQ.ZERO ) THEN
+ RANK = 0
+ CALL DLASET( 'F', MAX( M, N ), NRHS, ZERO, ZERO, B, LDB )
+ GO TO 70
+ ELSE
+ RANK = 1
+ END IF
+*
+ 10 CONTINUE
+ IF( RANK.LT.MN ) THEN
+ I = RANK + 1
+ CALL DLAIC1( IMIN, RANK, WORK( ISMIN ), SMIN, A( 1, I ),
+ $ A( I, I ), SMINPR, S1, C1 )
+ CALL DLAIC1( IMAX, RANK, WORK( ISMAX ), SMAX, A( 1, I ),
+ $ A( I, I ), SMAXPR, S2, C2 )
+*
+ IF( SMAXPR*RCOND.LE.SMINPR ) THEN
+ DO 20 I = 1, RANK
+ WORK( ISMIN+I-1 ) = S1*WORK( ISMIN+I-1 )
+ WORK( ISMAX+I-1 ) = S2*WORK( ISMAX+I-1 )
+ 20 CONTINUE
+ WORK( ISMIN+RANK ) = C1
+ WORK( ISMAX+RANK ) = C2
+ SMIN = SMINPR
+ SMAX = SMAXPR
+ RANK = RANK + 1
+ GO TO 10
+ END IF
+ END IF
+*
+* workspace: 3*MN.
+*
+* Logically partition R = [ R11 R12 ]
+* [ 0 R22 ]
+* where R11 = R(1:RANK,1:RANK)
+*
+* [R11,R12] = [ T11, 0 ] * Y
+*
+ IF( RANK.LT.N )
+ $ CALL DTZRZF( RANK, N, A, LDA, WORK( MN+1 ), WORK( 2*MN+1 ),
+ $ LWORK-2*MN, INFO )
+*
+* workspace: 2*MN.
+* Details of Householder rotations stored in WORK(MN+1:2*MN)
+*
+* B(1:M,1:NRHS) := Q' * B(1:M,1:NRHS)
+*
+ CALL DORMQR( 'Left', 'Transpose', M, NRHS, MN, A, LDA, WORK( 1 ),
+ $ B, LDB, WORK( 2*MN+1 ), LWORK-2*MN, INFO )
+ WSIZE = MAX( WSIZE, 2*MN+WORK( 2*MN+1 ) )
+*
+* workspace: 2*MN+NB*NRHS.
+*
+* B(1:RANK,1:NRHS) := inv(T11) * B(1:RANK,1:NRHS)
+*
+ CALL DTRSM( 'Left', 'Upper', 'No transpose', 'Non-unit', RANK,
+ $ NRHS, ONE, A, LDA, B, LDB )
+*
+ DO 40 J = 1, NRHS
+ DO 30 I = RANK + 1, N
+ B( I, J ) = ZERO
+ 30 CONTINUE
+ 40 CONTINUE
+*
+* B(1:N,1:NRHS) := Y' * B(1:N,1:NRHS)
+*
+ IF( RANK.LT.N ) THEN
+ CALL DORMRZ( 'Left', 'Transpose', N, NRHS, RANK, N-RANK, A,
+ $ LDA, WORK( MN+1 ), B, LDB, WORK( 2*MN+1 ),
+ $ LWORK-2*MN, INFO )
+ END IF
+*
+* workspace: 2*MN+NRHS.
+*
+* B(1:N,1:NRHS) := P * B(1:N,1:NRHS)
+*
+ DO 60 J = 1, NRHS
+ DO 50 I = 1, N
+ WORK( JPVT( I ) ) = B( I, J )
+ 50 CONTINUE
+ CALL DCOPY( N, WORK( 1 ), 1, B( 1, J ), 1 )
+ 60 CONTINUE
+*
+* workspace: N.
+*
+* Undo scaling
+*
+ IF( IASCL.EQ.1 ) THEN
+ CALL DLASCL( 'G', 0, 0, ANRM, SMLNUM, N, NRHS, B, LDB, INFO )
+ CALL DLASCL( 'U', 0, 0, SMLNUM, ANRM, RANK, RANK, A, LDA,
+ $ INFO )
+ ELSE IF( IASCL.EQ.2 ) THEN
+ CALL DLASCL( 'G', 0, 0, ANRM, BIGNUM, N, NRHS, B, LDB, INFO )
+ CALL DLASCL( 'U', 0, 0, BIGNUM, ANRM, RANK, RANK, A, LDA,
+ $ INFO )
+ END IF
+ IF( IBSCL.EQ.1 ) THEN
+ CALL DLASCL( 'G', 0, 0, SMLNUM, BNRM, N, NRHS, B, LDB, INFO )
+ ELSE IF( IBSCL.EQ.2 ) THEN
+ CALL DLASCL( 'G', 0, 0, BIGNUM, BNRM, N, NRHS, B, LDB, INFO )
+ END IF
+*
+ 70 CONTINUE
+ WORK( 1 ) = LWKOPT
+*
+ RETURN
+*
+* End of DGELSY
+*
+ END