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SUBROUTINE SB03MD( DICO, JOB, FACT, TRANA, N, A, LDA, U, LDU, C,
$ LDC, SCALE, SEP, FERR, WR, WI, IWORK, DWORK,
$ LDWORK, INFO )
C
C RELEASE 4.0, WGS COPYRIGHT 1999.
C
C PURPOSE
C
C To solve for X either the real continuous-time Lyapunov equation
C
C op(A)'*X + X*op(A) = scale*C (1)
C
C or the real discrete-time Lyapunov equation
C
C op(A)'*X*op(A) - X = scale*C (2)
C
C and/or estimate an associated condition number, called separation,
C where op(A) = A or A' (A**T) and C is symmetric (C = C').
C (A' denotes the transpose of the matrix A.) A is N-by-N, the right
C hand side C and the solution X are N-by-N, and scale is an output
C scale factor, set less than or equal to 1 to avoid overflow in X.
C
C ARGUMENTS
C
C Mode Parameters
C
C DICO CHARACTER*1
C Specifies the equation from which X is to be determined
C as follows:
C = 'C': Equation (1), continuous-time case;
C = 'D': Equation (2), discrete-time case.
C
C JOB CHARACTER*1
C Specifies the computation to be performed, as follows:
C = 'X': Compute the solution only;
C = 'S': Compute the separation only;
C = 'B': Compute both the solution and the separation.
C
C FACT CHARACTER*1
C Specifies whether or not the real Schur factorization
C of the matrix A is supplied on entry, as follows:
C = 'F': On entry, A and U contain the factors from the
C real Schur factorization of the matrix A;
C = 'N': The Schur factorization of A will be computed
C and the factors will be stored in A and U.
C
C TRANA CHARACTER*1
C Specifies the form of op(A) to be used, as follows:
C = 'N': op(A) = A (No transpose);
C = 'T': op(A) = A**T (Transpose);
C = 'C': op(A) = A**T (Conjugate transpose = Transpose).
C
C Input/Output Parameters
C
C N (input) INTEGER
C The order of the matrices A, X, and C. N >= 0.
C
C A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
C On entry, the leading N-by-N part of this array must
C contain the matrix A. If FACT = 'F', then A contains
C an upper quasi-triangular matrix in Schur canonical form;
C the elements below the upper Hessenberg part of the
C array A are not referenced.
C On exit, if INFO = 0 or INFO = N+1, the leading N-by-N
C upper Hessenberg part of this array contains the upper
C quasi-triangular matrix in Schur canonical form from the
C Schur factorization of A. The contents of array A is not
C modified if FACT = 'F'.
C
C LDA INTEGER
C The leading dimension of array A. LDA >= MAX(1,N).
C
C U (input or output) DOUBLE PRECISION array, dimension
C (LDU,N)
C If FACT = 'F', then U is an input argument and on entry
C the leading N-by-N part of this array must contain the
C orthogonal matrix U of the real Schur factorization of A.
C If FACT = 'N', then U is an output argument and on exit,
C if INFO = 0 or INFO = N+1, it contains the orthogonal
C N-by-N matrix from the real Schur factorization of A.
C
C LDU INTEGER
C The leading dimension of array U. LDU >= MAX(1,N).
C
C C (input/output) DOUBLE PRECISION array, dimension (LDC,N)
C On entry with JOB = 'X' or 'B', the leading N-by-N part of
C this array must contain the symmetric matrix C.
C On exit with JOB = 'X' or 'B', if INFO = 0 or INFO = N+1,
C the leading N-by-N part of C has been overwritten by the
C symmetric solution matrix X.
C If JOB = 'S', C is not referenced.
C
C LDC INTEGER
C The leading dimension of array C.
C LDC >= 1, if JOB = 'S';
C LDC >= MAX(1,N), otherwise.
C
C SCALE (output) DOUBLE PRECISION
C The scale factor, scale, set less than or equal to 1 to
C prevent the solution overflowing.
C
C SEP (output) DOUBLE PRECISION
C If JOB = 'S' or JOB = 'B', and INFO = 0 or INFO = N+1, SEP
C contains the estimated separation of the matrices op(A)
C and -op(A)', if DICO = 'C' or of op(A) and op(A)', if
C DICO = 'D'.
C If JOB = 'X' or N = 0, SEP is not referenced.
C
C FERR (output) DOUBLE PRECISION
C If JOB = 'B', and INFO = 0 or INFO = N+1, FERR contains an
C estimated forward error bound for the solution X.
C If XTRUE is the true solution, FERR bounds the relative
C error in the computed solution, measured in the Frobenius
C norm: norm(X - XTRUE)/norm(XTRUE).
C If JOB = 'X' or JOB = 'S', FERR is not referenced.
C
C WR (output) DOUBLE PRECISION array, dimension (N)
C WI (output) DOUBLE PRECISION array, dimension (N)
C If FACT = 'N', and INFO = 0 or INFO = N+1, WR and WI
C contain the real and imaginary parts, respectively, of
C the eigenvalues of A.
C If FACT = 'F', WR and WI are not referenced.
C
C Workspace
C
C IWORK INTEGER array, dimension (N*N)
C This array is not referenced if JOB = 'X'.
C
C DWORK DOUBLE PRECISION array, dimension (LDWORK)
C On exit, if INFO = 0 or INFO = N+1, DWORK(1) returns the
C optimal value of LDWORK.
C
C LDWORK INTEGER
C The length of the array DWORK. LDWORK >= 1, and
C If JOB = 'X' then
C If FACT = 'F', LDWORK >= N*N, for DICO = 'C';
C LDWORK >= MAX(N*N, 2*N), for DICO = 'D';
C If FACT = 'N', LDWORK >= MAX(N*N, 3*N).
C If JOB = 'S' or JOB = 'B' then
C If FACT = 'F', LDWORK >= 2*N*N, for DICO = 'C';
C LDWORK >= 2*N*N + 2*N, for DICO = 'D'.
C If FACT = 'N', LDWORK >= MAX(2*N*N, 3*N), DICO = 'C';
C LDWORK >= 2*N*N + 2*N, for DICO = 'D'.
C For optimum performance LDWORK should be larger.
C
C Error Indicator
C
C INFO INTEGER
C = 0: successful exit;
C < 0: if INFO = -i, the i-th argument had an illegal
C value;
C > 0: if INFO = i, the QR algorithm failed to compute all
C the eigenvalues (see LAPACK Library routine DGEES);
C elements i+1:n of WR and WI contain eigenvalues
C which have converged, and A contains the partially
C converged Schur form;
C = N+1: if DICO = 'C', and the matrices A and -A' have
C common or very close eigenvalues, or
C if DICO = 'D', and matrix A has almost reciprocal
C eigenvalues (that is, lambda(i) = 1/lambda(j) for
C some i and j, where lambda(i) and lambda(j) are
C eigenvalues of A and i <> j); perturbed values were
C used to solve the equation (but the matrix A is
C unchanged).
C
C METHOD
C
C The Schur factorization of a square matrix A is given by
C
C A = U*S*U'
C
C where U is orthogonal and S is block upper triangular with 1-by-1
C and 2-by-2 blocks on its diagonal, these blocks corresponding to
C the eigenvalues of A, the 2-by-2 blocks being complex conjugate
C pairs. This factorization is obtained by numerically stable
C methods: first A is reduced to upper Hessenberg form (if FACT =
C 'N') by means of Householder transformations and then the
C QR Algorithm is applied to reduce the Hessenberg form to S, the
C transformation matrices being accumulated at each step to give U.
C If A has already been factorized prior to calling the routine
C however, then the factors U and S may be supplied and the initial
C factorization omitted.
C _ _
C If we now put C = U'CU and X = UXU' equations (1) and (2) (see
C PURPOSE) become (for TRANS = 'N')
C _ _ _
C S'X + XS = C, (3)
C and
C _ _ _
C S'XS - X = C, (4)
C
C respectively. Partition S, C and X as
C _ _ _ _
C (s s') (c c') (x x')
C ( 11 ) _ ( 11 ) _ ( 11 )
C S = ( ), C = ( ), X = ( )
C ( ) ( _ ) ( _ )
C ( 0 S ) ( c C ) ( x X )
C 1 1 1
C _ _
C where s , c and x are either scalars or 2-by-2 matrices and s,
C 11 11 11
C _ _
C c and x are either (N-1) element vectors or matrices with two
C columns. Equations (3) and (4) can then be re-written as
C _ _ _
C s' x + x s = c (3.1)
C 11 11 11 11 11
C
C _ _ _ _
C S'x + xs = c - sx (3.2)
C 1 11 11
C
C _ _
C S'X + X S = C - (sx' + xs') (3.3)
C 1 1 1 1 1
C and
C _ _ _
C s' x s - x = c (4.1)
C 11 11 11 11 11
C
C _ _ _ _
C S'xs - x = c - sx s (4.2)
C 1 11 11 11
C
C _ _ _
C S'X S - X = C - sx s' - [s(S'x)' + (S'x)s'] (4.3)
C 1 1 1 1 1 11 1 1
C _
C respectively. If DICO = 'C' ['D'], then once x has been
C 11
C found from equation (3.1) [(4.1)], equation (3.2) [(4.2)] can be
C _
C solved by forward substitution for x and then equation (3.3)
C [(4.3)] is of the same form as (3) [(4)] but of the order (N-1) or
C (N-2) depending upon whether s is 1-by-1 or 2-by-2.
C 11
C _ _
C When s is 2-by-2 then x and c will be 1-by-2 matrices and s,
C 11 11 11
C _ _
C x and c are matrices with two columns. In this case, equation
C (3.1) [(4.1)] defines the three equations in the unknown elements
C _
C of x and equation (3.2) [(4.2)] can then be solved by forward
C 11 _
C substitution, a row of x being found at each step.
C
C REFERENCES
C
C [1] Barraud, A.Y. T
C A numerical algorithm to solve A XA - X = Q.
C IEEE Trans. Auto. Contr., AC-22, pp. 883-885, 1977.
C
C [2] Bartels, R.H. and Stewart, G.W. T
C Solution of the matrix equation A X + XB = C.
C Comm. A.C.M., 15, pp. 820-826, 1972.
C
C [3] Hammarling, S.J.
C Numerical solution of the stable, non-negative definite
C Lyapunov equation.
C IMA J. Num. Anal., 2, pp. 303-325, 1982.
C
C NUMERICAL ASPECTS
C 3
C The algorithm requires 0(N ) operations and is backward stable.
C
C FURTHER COMMENTS
C
C If DICO = 'C', SEP is defined as the separation of op(A) and
C -op(A)':
C
C sep( op(A), -op(A)' ) = sigma_min( T )
C
C and if DICO = 'D', SEP is defined as
C
C sep( op(A), op(A)' ) = sigma_min( T )
C
C where sigma_min(T) is the smallest singular value of the
C N*N-by-N*N matrix
C
C T = kprod( I(N), op(A)' ) + kprod( op(A)', I(N) ) (DICO = 'C'),
C
C T = kprod( op(A)', op(A)' ) - I(N**2) (DICO = 'D').
C
C I(x) is an x-by-x identity matrix, and kprod denotes the Kronecker
C product. The program estimates sigma_min(T) by the reciprocal of
C an estimate of the 1-norm of inverse(T). The true reciprocal
C 1-norm of inverse(T) cannot differ from sigma_min(T) by more
C than a factor of N.
C
C When SEP is small, small changes in A, C can cause large changes
C in the solution of the equation. An approximate bound on the
C maximum relative error in the computed solution is
C
C EPS * norm(A) / SEP (DICO = 'C'),
C
C EPS * norm(A)**2 / SEP (DICO = 'D'),
C
C where EPS is the machine precision.
C
C CONTRIBUTOR
C
C Release 3.0: V. Sima, Katholieke Univ. Leuven, Belgium, July 1997.
C Supersedes Release 2.0 routine SB03AD by Control Systems Research
C Group, Kingston Polytechnic, United Kingdom.
C
C REVISIONS
C
C V. Sima, Katholieke Univ. Leuven, Belgium, May 1999.
C
C KEYWORDS
C
C Lyapunov equation, orthogonal transformation, real Schur form,
C Sylvester equation.
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, ONE
PARAMETER ( ZERO = 0.0D0, ONE = 1.0D0 )
C .. Scalar Arguments ..
CHARACTER DICO, FACT, JOB, TRANA
INTEGER INFO, LDA, LDC, LDU, LDWORK, N
DOUBLE PRECISION FERR, SCALE, SEP
C .. Array Arguments ..
INTEGER IWORK( * )
DOUBLE PRECISION A( LDA, * ), C( LDC, * ), DWORK( * ),
$ U( LDU, * ), WI( * ), WR( * )
C .. Local Scalars ..
LOGICAL CONT, NOFACT, NOTA, WANTBH, WANTSP, WANTX
CHARACTER NOTRA, NTRNST, TRANST, UPLO
INTEGER I, IERR, KASE, LWA, MINWRK, NN, NN2, SDIM
DOUBLE PRECISION EPS, EST, SCALEF
C .. Local Arrays ..
LOGICAL BWORK( 1 )
C .. External Functions ..
LOGICAL LSAME, SELECT1
DOUBLE PRECISION DLAMCH, DLANHS
EXTERNAL DLAMCH, DLANHS, LSAME, SELECT1
C .. External Subroutines ..
EXTERNAL DCOPY, DGEES, DLACON, MB01RD, SB03MX, SB03MY,
$ XERBLA
C .. Intrinsic Functions ..
INTRINSIC DBLE, INT, MAX
C .. Executable Statements ..
C
C Decode and Test input parameters.
C
CONT = LSAME( DICO, 'C' )
WANTX = LSAME( JOB, 'X' )
WANTSP = LSAME( JOB, 'S' )
WANTBH = LSAME( JOB, 'B' )
NOFACT = LSAME( FACT, 'N' )
NOTA = LSAME( TRANA, 'N' )
NN = N*N
NN2 = 2*NN
C
INFO = 0
IF( .NOT.CONT .AND. .NOT.LSAME( DICO, 'D' ) ) THEN
INFO = -1
ELSE IF( .NOT.WANTBH .AND. .NOT.WANTSP .AND. .NOT.WANTX ) THEN
INFO = -2
ELSE IF( .NOT.NOFACT .AND. .NOT.LSAME( FACT, 'F' ) ) THEN
INFO = -3
ELSE IF( .NOT.NOTA .AND. .NOT.LSAME( TRANA, 'T' ) .AND.
$ .NOT.LSAME( TRANA, 'C' ) ) THEN
INFO = -4
ELSE IF( N.LT.0 ) THEN
INFO = -5
ELSE IF( LDA.LT.MAX( 1, N ) ) THEN
INFO = -7
ELSE IF( LDU.LT.MAX( 1, N ) ) THEN
INFO = -9
ELSE IF( WANTSP .AND. LDC.LT.1 .OR.
$ .NOT.WANTSP .AND. LDC.LT.MAX( 1, N ) ) THEN
INFO = -11
ELSE
IF ( WANTX ) THEN
IF ( NOFACT ) THEN
MINWRK = MAX( NN, 3*N )
ELSE IF ( CONT ) THEN
MINWRK = NN
ELSE
MINWRK = MAX( NN, 2*N )
END IF
ELSE
IF ( CONT ) THEN
IF ( NOFACT ) THEN
MINWRK = MAX( NN2, 3*N )
ELSE
MINWRK = NN2
END IF
ELSE
MINWRK = NN2 + 2*N
END IF
END IF
IF( LDWORK.LT.MAX( 1, MINWRK ) )
$ INFO = -19
END IF
C
IF ( INFO.NE.0 ) THEN
C
C Error return.
C
CALL XERBLA( 'SB03MD', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
IF( N.EQ.0 ) THEN
SCALE = ONE
IF( WANTBH )
$ FERR = ZERO
DWORK(1) = ONE
RETURN
END IF
C
LWA = 0
C
IF( NOFACT ) THEN
C
C Compute the Schur factorization of A.
C Workspace: need 3*N;
C prefer larger.
C (Note: Comments in the code beginning "Workspace:" describe the
C minimal amount of real workspace needed at that point in the
C code, as well as the preferred amount for good performance.
C NB refers to the optimal block size for the immediately
C following subroutine, as returned by ILAENV.)
C
CALL DGEES( 'Vectors', 'Not ordered', SELECT1, N, A, LDA, SDIM,
$ WR, WI, U, LDU, DWORK, LDWORK, BWORK, INFO )
IF( INFO.GT.0 )
$ RETURN
LWA = INT( DWORK( 1 ) )
END IF
C
IF( .NOT.WANTSP ) THEN
C
C Transform the right-hand side.
C Workspace: N*N.
C
NTRNST = 'N'
TRANST = 'T'
UPLO = 'U'
CALL MB01RD( UPLO, TRANST, N, N, ZERO, ONE, C, LDC, U, LDU, C,
$ LDC, DWORK, LDWORK, INFO )
C
DO 10 I = 2, N
CALL DCOPY( I-1, C(1,I), 1, C(I,1), LDC )
10 CONTINUE
C
LWA = MAX( LWA, NN )
C
C Solve the transformed equation.
C Workspace for DICO = 'D': 2*N.
C
IF ( CONT ) THEN
CALL SB03MY( TRANA, N, A, LDA, C, LDC, SCALE, INFO )
ELSE
CALL SB03MX( TRANA, N, A, LDA, C, LDC, SCALE, DWORK, INFO )
END IF
IF( INFO.GT.0 )
$ INFO = N + 1
C
C Transform back the solution.
C Workspace: N*N.
C
CALL MB01RD( UPLO, NTRNST, N, N, ZERO, ONE, C, LDC, U, LDU, C,
$ LDC, DWORK, LDWORK, IERR )
C
DO 20 I = 2, N
CALL DCOPY( I-1, C(1,I), 1, C(I,1), LDC )
20 CONTINUE
C
END IF
C
IF( .NOT.WANTX ) THEN
C
C Estimate the separation.
C Workspace: 2*N*N for DICO = 'C';
C 2*N*N + 2*N for DICO = 'D'.
C
IF( NOTA ) THEN
NOTRA = 'T'
ELSE
NOTRA = 'N'
END IF
C
EST = ZERO
KASE = 0
C REPEAT
30 CONTINUE
CALL DLACON( NN, DWORK(NN+1), DWORK, IWORK, EST, KASE )
IF( KASE.NE.0 ) THEN
IF( KASE.EQ.1 ) THEN
IF( CONT ) THEN
CALL SB03MY( TRANA, N, A, LDA, DWORK, N, SCALEF,
$ IERR )
ELSE
CALL SB03MX( TRANA, N, A, LDA, DWORK, N, SCALEF,
$ DWORK(NN2+1), IERR )
END IF
ELSE
IF( CONT ) THEN
CALL SB03MY( NOTRA, N, A, LDA, DWORK, N, SCALEF,
$ IERR )
ELSE
CALL SB03MX( NOTRA, N, A, LDA, DWORK, N, SCALEF,
$ DWORK(NN2+1), IERR )
END IF
END IF
GO TO 30
END IF
C UNTIL KASE = 0
C
SEP = SCALEF / EST
C
IF( WANTBH ) THEN
C
C Get the machine precision.
C
EPS = DLAMCH( 'P' )
C
C Compute the estimate of the relative error.
C
IF ( CONT ) THEN
FERR = EPS*DLANHS( 'Frobenius', N, A, LDA, DWORK )/SEP
ELSE
FERR = EPS*DLANHS( 'Frobenius', N, A, LDA, DWORK )**2/SEP
END IF
END IF
END IF
C
DWORK( 1 ) = DBLE( MAX( LWA, MINWRK ) )
RETURN
C *** Last line of SB03MD ***
END
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