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LAPACK-3

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LAPACK-3: computes the singular values and, optionally, the right and/or left singular vectors from the singular value

NAME

LAPACK-3 - computes the singular values and, optionally, the right and/or left singular vectors from the singular value decomposition (SVD) of a real N-by-N (upper or lower) bidiagonal matrix B using the implicit zero-shift QR algorithm
SYNOPSIS
SUBROUTINE DBDSQR( UPLO, N, NCVT, NRU, NCC, D, E, VT, LDVT, U, LDU, C, LDC, WORK, INFO ) CHARACTER UPLO INTEGER INFO, LDC, LDU, LDVT, N, NCC, NCVT, NRU DOUBLE PRECISION C( LDC, * ), D( * ), E( * ), U( LDU, * ), VT( LDVT, * ), WORK( * )
PURPOSE
DBDSQR computes the singular values and, optionally, the right and/or left singular vectors from the singular value decomposition (SVD) of a real N-by-N (upper or lower) bidiagonal matrix B using the implicit zero-shift QR algorithm. The SVD of B has the form B = Q * S * P**T where S is the diagonal matrix of singular values, Q is an orthogonal matrix of left singular vectors, and P is an orthogonal matrix of right singular vectors. If left singular vectors are requested, this subroutine actually returns U*Q instead of Q, and, if right singular vectors are requested, this subroutine returns P**T*VT instead of P**T, for given real input matrices U and VT. When U and VT are the orthogonal matrices that reduce a general matrix A to bidiagonal form: A = U*B*VT, as computed by DGEBRD, then A = (U*Q) * S * (P**T*VT) is the SVD of A. Optionally, the subroutine may also compute Q**T*C for a given real input matrix C. See "Computing Small Singular Values of Bidiagonal Matrices With Guaranteed High Relative Accuracy," by J. Demmel and W. Kahan, LAPACK Working Note #3 (or SIAM J. Sci. Statist. Comput. vol. 11, no. 5, pp. 873-912, Sept 1990) and "Accurate singular values and differential qd algorithms," by B. Parlett and V. Fernando, Technical Report CPAM-554, Mathematics Department, University of California at Berkeley, July 1992 for a detailed description of the algorithm.

ARGUMENTS

UPLO (input) CHARACTER*1 = 'U': B is upper bidiagonal; = 'L': B is lower bidiagonal. N (input) INTEGER The order of the matrix B. N >= 0. NCVT (input) INTEGER The number of columns of the matrix VT. NCVT >= 0. NRU (input) INTEGER The number of rows of the matrix U. NRU >= 0. NCC (input) INTEGER The number of columns of the matrix C. NCC >= 0. D (input/output) DOUBLE PRECISION array, dimension (N) On entry, the n diagonal elements of the bidiagonal matrix B. On exit, if INFO=0, the singular values of B in decreasing order. E (input/output) DOUBLE PRECISION array, dimension (N-1) On entry, the N-1 offdiagonal elements of the bidiagonal matrix B. On exit, if INFO = 0, E is destroyed; if INFO > 0, D and E will contain the diagonal and superdiagonal elements of a bidiagonal matrix orthogonally equivalent to the one given as input. VT (input/output) DOUBLE PRECISION array, dimension (LDVT, NCVT) On entry, an N-by-NCVT matrix VT. On exit, VT is overwritten by P**T * VT. Not referenced if NCVT = 0. LDVT (input) INTEGER The leading dimension of the array VT. LDVT >= max(1,N) if NCVT > 0; LDVT >= 1 if NCVT = 0. U (input/output) DOUBLE PRECISION array, dimension (LDU, N) On entry, an NRU-by-N matrix U. On exit, U is overwritten by U * Q. Not referenced if NRU = 0. LDU (input) INTEGER The leading dimension of the array U. LDU >= max(1,NRU). C (input/output) DOUBLE PRECISION array, dimension (LDC, NCC) On entry, an N-by-NCC matrix C. On exit, C is overwritten by Q**T * C. Not referenced if NCC = 0. LDC (input) INTEGER The leading dimension of the array C. LDC >= max(1,N) if NCC > 0; LDC >=1 if NCC = 0. WORK (workspace) DOUBLE PRECISION array, dimension (4*N) INFO (output) INTEGER = 0: successful exit < 0: If INFO = -i, the i-th argument had an illegal value > 0: if NCVT = NRU = NCC = 0, = 1, a split was marked by a positive value in E = 2, current block of Z not diagonalized after 30*N iterations (in inner while loop) = 3, termination criterion of outer while loop not met (program created more than N unreduced blocks) else NCVT = NRU = NCC = 0, the algorithm did not converge; D and E contain the elements of a bidiagonal matrix which is orthogonally similar to the input matrix B; if INFO = i, i elements of E have not converged to zero.

PARAMETERS

TOLMUL DOUBLE PRECISION, default = max(10,min(100,EPS**(-1/8))) TOLMUL controls the convergence criterion of the QR loop. If it is positive, TOLMUL*EPS is the desired relative precision in the computed singular values. If it is negative, abs(TOLMUL*EPS*sigma_max) is the desired absolute accuracy in the computed singular values (corresponds to relative accuracy abs(TOLMUL*EPS) in the largest singular value. abs(TOLMUL) should be between 1 and 1/EPS, and preferably between 10 (for fast convergence) and .1/EPS (for there to be some accuracy in the results). Default is to lose at either one eighth or 2 of the available decimal digits in each computed singular value (whichever is smaller). MAXITR INTEGER, default = 6 MAXITR controls the maximum number of passes of the algorithm through its inner loop. The algorithms stops (and so fails to converge) if the number of passes through the inner loop exceeds MAXITR*N**2. LAPACK routine (version 3.3.0) March 2011 LAPACK-3(3)
 
 
 

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