1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
1001
1002
1003
1004
1005
1006
1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
1019
1020
1021
1022
1023
1024
1025
1026
1027
1028
1029
1030
1031
1032
1033
1034
1035
1036
1037
1038
1039
1040
1041
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
1055
1056
1057
1058
1059
1060
1061
1062
1063
1064
1065
1066
1067
1068
1069
1070
1071
1072
1073
1074
1075
1076
1077
1078
1079
1080
1081
1082
1083
1084
1085
1086
1087
1088
1089
1090
1091
1092
1093
1094
1095
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
1112
1113
1114
1115
1116
1117
1118
1119
1120
1121
1122
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
1144
1145
1146
1147
1148
1149
1150
1151
1152
1153
1154
1155
1156
1157
1158
1159
1160
1161
1162
1163
1164
1165
1166
1167
1168
1169
1170
1171
1172
1173
1174
1175
1176
1177
1178
1179
1180
1181
1182
1183
1184
1185
1186
1187
1188
1189
1190
1191
1192
1193
1194
1195
1196
1197
1198
1199
1200
1201
1202
1203
1204
1205
1206
1207
1208
1209
1210
1211
1212
1213
1214
1215
1216
1217
1218
1219
1220
1221
1222
1223
1224
1225
1226
1227
1228
1229
1230
1231
1232
1233
1234
1235
1236
1237
1238
1239
1240
1241
1242
1243
1244
1245
1246
1247
1248
1249
1250
1251
1252
1253
1254
1255
1256
1257
1258
1259
1260
1261
1262
1263
1264
1265
1266
1267
1268
1269
1270
1271
1272
1273
1274
1275
1276
1277
1278
1279
1280
1281
1282
1283
1284
1285
1286
1287
1288
1289
1290
1291
1292
1293
1294
1295
1296
1297
1298
1299
1300
1301
1302
1303
1304
1305
1306
1307
1308
1309
1310
1311
1312
1313
1314
1315
1316
1317
1318
1319
1320
1321
1322
1323
1324
1325
1326
1327
1328
1329
1330
1331
1332
1333
1334
1335
1336
1337
1338
1339
1340
1341
1342
1343
1344
1345
1346
1347
1348
1349
1350
1351
1352
1353
1354
1355
1356
1357
1358
1359
1360
1361
1362
1363
1364
1365
1366
1367
1368
1369
1370
1371
1372
1373
1374
1375
1376
1377
1378
1379
1380
1381
1382
1383
1384
1385
1386
1387
1388
1389
1390
1391
1392
1393
1394
1395
1396
1397
1398
1399
1400
1401
1402
1403
1404
1405
1406
1407
1408
1409
1410
1411
1412
1413
1414
1415
1416
1417
1418
1419
1420
1421
1422
1423
1424
1425
1426
1427
1428
1429
1430
1431
1432
1433
1434
1435
1436
1437
1438
1439
1440
1441
1442
1443
1444
1445
1446
1447
1448
1449
1450
1451
1452
1453
1454
1455
1456
1457
1458
1459
1460
1461
1462
1463
1464
1465
1466
1467
1468
1469
1470
1471
1472
1473
1474
1475
1476
1477
1478
1479
1480
1481
1482
1483
1484
1485
1486
1487
1488
1489
1490
1491
1492
1493
1494
1495
1496
1497
1498
1499
1500
1501
1502
1503
1504
1505
1506
1507
1508
1509
1510
1511
1512
1513
1514
1515
1516
1517
1518
1519
1520
1521
1522
1523
1524
1525
1526
1527
1528
1529
1530
1531
1532
1533
1534
1535
1536
1537
1538
1539
1540
1541
1542
1543
1544
1545
1546
1547
1548
1549
1550
1551
1552
1553
1554
1555
1556
1557
1558
1559
1560
1561
1562
1563
1564
1565
1566
1567
1568
1569
1570
1571
1572
1573
1574
1575
1576
1577
1578
1579
1580
1581
1582
1583
1584
1585
1586
1587
1588
1589
1590
1591
1592
1593
1594
1595
1596
1597
1598
1599
1600
1601
1602
1603
1604
1605
1606
1607
1608
1609
1610
1611
1612
1613
1614
1615
1616
1617
1618
1619
1620
1621
1622
1623
1624
1625
1626
1627
1628
1629
1630
1631
1632
1633
1634
1635
1636
1637
1638
1639
1640
1641
1642
1643
1644
1645
1646
1647
1648
1649
1650
1651
1652
1653
1654
1655
1656
1657
1658
1659
1660
1661
1662
1663
1664
1665
1666
1667
1668
1669
1670
1671
1672
1673
1674
1675
1676
1677
1678
1679
1680
1681
1682
1683
1684
1685
1686
1687
1688
1689
1690
1691
1692
1693
1694
1695
1696
1697
1698
1699
1700
1701
1702
1703
1704
1705
1706
1707
1708
1709
1710
1711
1712
1713
1714
1715
1716
1717
1718
1719
1720
1721
1722
1723
1724
1725
1726
1727
1728
1729
1730
1731
1732
1733
1734
1735
1736
1737
1738
1739
1740
1741
1742
1743
1744
1745
1746
1747
1748
1749
1750
1751
1752
1753
1754
1755
1756
1757
1758
1759
1760
1761
1762
1763
1764
1765
1766
1767
1768
1769
1770
1771
1772
1773
1774
1775
1776
1777
1778
1779
1780
1781
1782
1783
|
*> \brief \b DGEJSV
*
* =========== DOCUMENTATION ===========
*
* Online html documentation available at
* http://www.netlib.org/lapack/explore-html/
*
*> \htmlonly
*> Download DGEJSV + dependencies
*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.tgz?format=tgz&filename=/lapack/lapack_routine/dgejsv.f">
*> [TGZ]</a>
*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.zip?format=zip&filename=/lapack/lapack_routine/dgejsv.f">
*> [ZIP]</a>
*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.txt?format=txt&filename=/lapack/lapack_routine/dgejsv.f">
*> [TXT]</a>
*> \endhtmlonly
*
* Definition:
* ===========
*
* SUBROUTINE DGEJSV( JOBA, JOBU, JOBV, JOBR, JOBT, JOBP,
* M, N, A, LDA, SVA, U, LDU, V, LDV,
* WORK, LWORK, IWORK, INFO )
*
* .. Scalar Arguments ..
* IMPLICIT NONE
* INTEGER INFO, LDA, LDU, LDV, LWORK, M, N
* ..
* .. Array Arguments ..
* DOUBLE PRECISION A( LDA, * ), SVA( N ), U( LDU, * ), V( LDV, * ),
* $ WORK( LWORK )
* INTEGER IWORK( * )
* CHARACTER*1 JOBA, JOBP, JOBR, JOBT, JOBU, JOBV
* ..
*
*
*> \par Purpose:
* =============
*>
*> \verbatim
*>
*> DGEJSV computes the singular value decomposition (SVD) of a real M-by-N
*> matrix [A], where M >= N. The SVD of [A] is written as
*>
*> [A] = [U] * [SIGMA] * [V]^t,
*>
*> where [SIGMA] is an N-by-N (M-by-N) matrix which is zero except for its N
*> diagonal elements, [U] is an M-by-N (or M-by-M) 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. The matrices [U] and [V]
*> are computed and stored in the arrays U and V, respectively. The diagonal
*> of [SIGMA] is computed and stored in the array SVA.
*> DGEJSV can sometimes compute tiny singular values and their singular vectors much
*> more accurately than other SVD routines, see below under Further Details.
*> \endverbatim
*
* Arguments:
* ==========
*
*> \param[in] JOBA
*> \verbatim
*> JOBA is CHARACTER*1
*> Specifies the level of accuracy:
*> = 'C': This option works well (high relative accuracy) if A = B * D,
*> with well-conditioned B and arbitrary diagonal matrix D.
*> The accuracy cannot be spoiled by COLUMN scaling. The
*> accuracy of the computed output depends on the condition of
*> B, and the procedure aims at the best theoretical accuracy.
*> The relative error max_{i=1:N}|d sigma_i| / sigma_i is
*> bounded by f(M,N)*epsilon* cond(B), independent of D.
*> The input matrix is preprocessed with the QRF with column
*> pivoting. This initial preprocessing and preconditioning by
*> a rank revealing QR factorization is common for all values of
*> JOBA. Additional actions are specified as follows:
*> = 'E': Computation as with 'C' with an additional estimate of the
*> condition number of B. It provides a realistic error bound.
*> = 'F': If A = D1 * C * D2 with ill-conditioned diagonal scalings
*> D1, D2, and well-conditioned matrix C, this option gives
*> higher accuracy than the 'C' option. If the structure of the
*> input matrix is not known, and relative accuracy is
*> desirable, then this option is advisable. The input matrix A
*> is preprocessed with QR factorization with FULL (row and
*> column) pivoting.
*> = 'G' Computation as with 'F' with an additional estimate of the
*> condition number of B, where A=D*B. If A has heavily weighted
*> rows, then using this condition number gives too pessimistic
*> error bound.
*> = 'A': Small singular values are the noise and the matrix is treated
*> as numerically rank defficient. The error in the computed
*> singular values is bounded by f(m,n)*epsilon*||A||.
*> The computed SVD A = U * S * V^t restores A up to
*> f(m,n)*epsilon*||A||.
*> This gives the procedure the licence to discard (set to zero)
*> all singular values below N*epsilon*||A||.
*> = 'R': Similar as in 'A'. Rank revealing property of the initial
*> QR factorization is used do reveal (using triangular factor)
*> a gap sigma_{r+1} < epsilon * sigma_r in which case the
*> numerical RANK is declared to be r. The SVD is computed with
*> absolute error bounds, but more accurately than with 'A'.
*> \endverbatim
*>
*> \param[in] JOBU
*> \verbatim
*> JOBU is CHARACTER*1
*> Specifies whether to compute the columns of U:
*> = 'U': N columns of U are returned in the array U.
*> = 'F': full set of M left sing. vectors is returned in the array U.
*> = 'W': U may be used as workspace of length M*N. See the description
*> of U.
*> = 'N': U is not computed.
*> \endverbatim
*>
*> \param[in] JOBV
*> \verbatim
*> JOBV is CHARACTER*1
*> Specifies whether to compute the matrix V:
*> = 'V': N columns of V are returned in the array V; Jacobi rotations
*> are not explicitly accumulated.
*> = 'J': N columns of V are returned in the array V, but they are
*> computed as the product of Jacobi rotations. This option is
*> allowed only if JOBU .NE. 'N', i.e. in computing the full SVD.
*> = 'W': V may be used as workspace of length N*N. See the description
*> of V.
*> = 'N': V is not computed.
*> \endverbatim
*>
*> \param[in] JOBR
*> \verbatim
*> JOBR is CHARACTER*1
*> Specifies the RANGE for the singular values. Issues the licence to
*> set to zero small positive singular values if they are outside
*> specified range. If A .NE. 0 is scaled so that the largest singular
*> value of c*A is around DSQRT(BIG), BIG=SLAMCH('O'), then JOBR issues
*> the licence to kill columns of A whose norm in c*A is less than
*> DSQRT(SFMIN) (for JOBR.EQ.'R'), or less than SMALL=SFMIN/EPSLN,
*> where SFMIN=SLAMCH('S'), EPSLN=SLAMCH('E').
*> = 'N': Do not kill small columns of c*A. This option assumes that
*> BLAS and QR factorizations and triangular solvers are
*> implemented to work in that range. If the condition of A
*> is greater than BIG, use DGESVJ.
*> = 'R': RESTRICTED range for sigma(c*A) is [DSQRT(SFMIN), DSQRT(BIG)]
*> (roughly, as described above). This option is recommended.
*> ~~~~~~~~~~~~~~~~~~~~~~~~~~~
*> For computing the singular values in the FULL range [SFMIN,BIG]
*> use DGESVJ.
*> \endverbatim
*>
*> \param[in] JOBT
*> \verbatim
*> JOBT is CHARACTER*1
*> If the matrix is square then the procedure may determine to use
*> transposed A if A^t seems to be better with respect to convergence.
*> If the matrix is not square, JOBT is ignored. This is subject to
*> changes in the future.
*> The decision is based on two values of entropy over the adjoint
*> orbit of A^t * A. See the descriptions of WORK(6) and WORK(7).
*> = 'T': transpose if entropy test indicates possibly faster
*> convergence of Jacobi process if A^t is taken as input. If A is
*> replaced with A^t, then the row pivoting is included automatically.
*> = 'N': do not speculate.
*> This option can be used to compute only the singular values, or the
*> full SVD (U, SIGMA and V). For only one set of singular vectors
*> (U or V), the caller should provide both U and V, as one of the
*> matrices is used as workspace if the matrix A is transposed.
*> The implementer can easily remove this constraint and make the
*> code more complicated. See the descriptions of U and V.
*> \endverbatim
*>
*> \param[in] JOBP
*> \verbatim
*> JOBP is CHARACTER*1
*> Issues the licence to introduce structured perturbations to drown
*> denormalized numbers. This licence should be active if the
*> denormals are poorly implemented, causing slow computation,
*> especially in cases of fast convergence (!). For details see [1,2].
*> For the sake of simplicity, this perturbations are included only
*> when the full SVD or only the singular values are requested. The
*> implementer/user can easily add the perturbation for the cases of
*> computing one set of singular vectors.
*> = 'P': introduce perturbation
*> = 'N': do not perturb
*> \endverbatim
*>
*> \param[in] M
*> \verbatim
*> M is INTEGER
*> The number of rows of the input matrix A. M >= 0.
*> \endverbatim
*>
*> \param[in] N
*> \verbatim
*> N is INTEGER
*> The number of columns of the input matrix A. M >= N >= 0.
*> \endverbatim
*>
*> \param[in,out] A
*> \verbatim
*> A is DOUBLE PRECISION array, dimension (LDA,N)
*> On entry, the M-by-N matrix A.
*> \endverbatim
*>
*> \param[in] LDA
*> \verbatim
*> LDA is INTEGER
*> The leading dimension of the array A. LDA >= max(1,M).
*> \endverbatim
*>
*> \param[out] SVA
*> \verbatim
*> SVA is DOUBLE PRECISION array, dimension (N)
*> On exit,
*> - For WORK(1)/WORK(2) = ONE: The singular values of A. During the
*> computation SVA contains Euclidean column norms of the
*> iterated matrices in the array A.
*> - For WORK(1) .NE. WORK(2): The singular values of A are
*> (WORK(1)/WORK(2)) * SVA(1:N). This factored form is used if
*> sigma_max(A) overflows or if small singular values have been
*> saved from underflow by scaling the input matrix A.
*> - If JOBR='R' then some of the singular values may be returned
*> as exact zeros obtained by "set to zero" because they are
*> below the numerical rank threshold or are denormalized numbers.
*> \endverbatim
*>
*> \param[out] U
*> \verbatim
*> U is DOUBLE PRECISION array, dimension ( LDU, N )
*> If JOBU = 'U', then U contains on exit the M-by-N matrix of
*> the left singular vectors.
*> If JOBU = 'F', then U contains on exit the M-by-M matrix of
*> the left singular vectors, including an ONB
*> of the orthogonal complement of the Range(A).
*> If JOBU = 'W' .AND. (JOBV.EQ.'V' .AND. JOBT.EQ.'T' .AND. M.EQ.N),
*> then U is used as workspace if the procedure
*> replaces A with A^t. In that case, [V] is computed
*> in U as left singular vectors of A^t and then
*> copied back to the V array. This 'W' option is just
*> a reminder to the caller that in this case U is
*> reserved as workspace of length N*N.
*> If JOBU = 'N' U is not referenced, unless JOBT='T'.
*> \endverbatim
*>
*> \param[in] LDU
*> \verbatim
*> LDU is INTEGER
*> The leading dimension of the array U, LDU >= 1.
*> IF JOBU = 'U' or 'F' or 'W', then LDU >= M.
*> \endverbatim
*>
*> \param[out] V
*> \verbatim
*> V is DOUBLE PRECISION array, dimension ( LDV, N )
*> If JOBV = 'V', 'J' then V contains on exit the N-by-N matrix of
*> the right singular vectors;
*> If JOBV = 'W', AND (JOBU.EQ.'U' AND JOBT.EQ.'T' AND M.EQ.N),
*> then V is used as workspace if the pprocedure
*> replaces A with A^t. In that case, [U] is computed
*> in V as right singular vectors of A^t and then
*> copied back to the U array. This 'W' option is just
*> a reminder to the caller that in this case V is
*> reserved as workspace of length N*N.
*> If JOBV = 'N' V is not referenced, unless JOBT='T'.
*> \endverbatim
*>
*> \param[in] LDV
*> \verbatim
*> LDV is INTEGER
*> The leading dimension of the array V, LDV >= 1.
*> If JOBV = 'V' or 'J' or 'W', then LDV >= N.
*> \endverbatim
*>
*> \param[out] WORK
*> \verbatim
*> WORK is DOUBLE PRECISION array, dimension at least LWORK.
*> On exit, if N.GT.0 .AND. M.GT.0 (else not referenced),
*> WORK(1) = SCALE = WORK(2) / WORK(1) is the scaling factor such
*> that SCALE*SVA(1:N) are the computed singular values
*> of A. (See the description of SVA().)
*> WORK(2) = See the description of WORK(1).
*> WORK(3) = SCONDA is an estimate for the condition number of
*> column equilibrated A. (If JOBA .EQ. 'E' or 'G')
*> SCONDA is an estimate of DSQRT(||(R^t * R)^(-1)||_1).
*> It is computed using DPOCON. It holds
*> N^(-1/4) * SCONDA <= ||R^(-1)||_2 <= N^(1/4) * SCONDA
*> where R is the triangular factor from the QRF of A.
*> However, if R is truncated and the numerical rank is
*> determined to be strictly smaller than N, SCONDA is
*> returned as -1, thus indicating that the smallest
*> singular values might be lost.
*>
*> If full SVD is needed, the following two condition numbers are
*> useful for the analysis of the algorithm. They are provied for
*> a developer/implementer who is familiar with the details of
*> the method.
*>
*> WORK(4) = an estimate of the scaled condition number of the
*> triangular factor in the first QR factorization.
*> WORK(5) = an estimate of the scaled condition number of the
*> triangular factor in the second QR factorization.
*> The following two parameters are computed if JOBT .EQ. 'T'.
*> They are provided for a developer/implementer who is familiar
*> with the details of the method.
*>
*> WORK(6) = the entropy of A^t*A :: this is the Shannon entropy
*> of diag(A^t*A) / Trace(A^t*A) taken as point in the
*> probability simplex.
*> WORK(7) = the entropy of A*A^t.
*> \endverbatim
*>
*> \param[in] LWORK
*> \verbatim
*> LWORK is INTEGER
*> Length of WORK to confirm proper allocation of work space.
*> LWORK depends on the job:
*>
*> If only SIGMA is needed ( JOBU.EQ.'N', JOBV.EQ.'N' ) and
*> -> .. no scaled condition estimate required (JOBE.EQ.'N'):
*> LWORK >= max(2*M+N,4*N+1,7). This is the minimal requirement.
*> ->> For optimal performance (blocked code) the optimal value
*> is LWORK >= max(2*M+N,3*N+(N+1)*NB,7). Here NB is the optimal
*> block size for DGEQP3 and DGEQRF.
*> In general, optimal LWORK is computed as
*> LWORK >= max(2*M+N,N+LWORK(DGEQP3),N+LWORK(DGEQRF), 7).
*> -> .. an estimate of the scaled condition number of A is
*> required (JOBA='E', 'G'). In this case, LWORK is the maximum
*> of the above and N*N+4*N, i.e. LWORK >= max(2*M+N,N*N+4*N,7).
*> ->> For optimal performance (blocked code) the optimal value
*> is LWORK >= max(2*M+N,3*N+(N+1)*NB, N*N+4*N, 7).
*> In general, the optimal length LWORK is computed as
*> LWORK >= max(2*M+N,N+LWORK(DGEQP3),N+LWORK(DGEQRF),
*> N+N*N+LWORK(DPOCON),7).
*>
*> If SIGMA and the right singular vectors are needed (JOBV.EQ.'V'),
*> -> the minimal requirement is LWORK >= max(2*M+N,4*N+1,7).
*> -> For optimal performance, LWORK >= max(2*M+N,3*N+(N+1)*NB,7),
*> where NB is the optimal block size for DGEQP3, DGEQRF, DGELQF,
*> DORMLQ. In general, the optimal length LWORK is computed as
*> LWORK >= max(2*M+N,N+LWORK(DGEQP3), N+LWORK(DPOCON),
*> N+LWORK(DGELQF), 2*N+LWORK(DGEQRF), N+LWORK(DORMLQ)).
*>
*> If SIGMA and the left singular vectors are needed
*> -> the minimal requirement is LWORK >= max(2*M+N,4*N+1,7).
*> -> For optimal performance:
*> if JOBU.EQ.'U' :: LWORK >= max(2*M+N,3*N+(N+1)*NB,7),
*> if JOBU.EQ.'F' :: LWORK >= max(2*M+N,3*N+(N+1)*NB,N+M*NB,7),
*> where NB is the optimal block size for DGEQP3, DGEQRF, DORMQR.
*> In general, the optimal length LWORK is computed as
*> LWORK >= max(2*M+N,N+LWORK(DGEQP3),N+LWORK(DPOCON),
*> 2*N+LWORK(DGEQRF), N+LWORK(DORMQR)).
*> Here LWORK(DORMQR) equals N*NB (for JOBU.EQ.'U') or
*> M*NB (for JOBU.EQ.'F').
*>
*> If the full SVD is needed: (JOBU.EQ.'U' or JOBU.EQ.'F') and
*> -> if JOBV.EQ.'V'
*> the minimal requirement is LWORK >= max(2*M+N,6*N+2*N*N).
*> -> if JOBV.EQ.'J' the minimal requirement is
*> LWORK >= max(2*M+N, 4*N+N*N,2*N+N*N+6).
*> -> For optimal performance, LWORK should be additionally
*> larger than N+M*NB, where NB is the optimal block size
*> for DORMQR.
*> \endverbatim
*>
*> \param[out] IWORK
*> \verbatim
*> IWORK is INTEGER array, dimension M+3*N.
*> On exit,
*> IWORK(1) = the numerical rank determined after the initial
*> QR factorization with pivoting. See the descriptions
*> of JOBA and JOBR.
*> IWORK(2) = the number of the computed nonzero singular values
*> IWORK(3) = if nonzero, a warning message:
*> If IWORK(3).EQ.1 then some of the column norms of A
*> were denormalized floats. The requested high accuracy
*> is not warranted by the data.
*> \endverbatim
*>
*> \param[out] INFO
*> \verbatim
*> INFO is INTEGER
*> < 0 : if INFO = -i, then the i-th argument had an illegal value.
*> = 0 : successfull exit;
*> > 0 : DGEJSV did not converge in the maximal allowed number
*> of sweeps. The computed values may be inaccurate.
*> \endverbatim
*
* Authors:
* ========
*
*> \author Univ. of Tennessee
*> \author Univ. of California Berkeley
*> \author Univ. of Colorado Denver
*> \author NAG Ltd.
*
*> \date June 2016
*
*> \ingroup doubleGEsing
*
*> \par Further Details:
* =====================
*>
*> \verbatim
*>
*> DGEJSV implements a preconditioned Jacobi SVD algorithm. It uses DGEQP3,
*> DGEQRF, and DGELQF as preprocessors and preconditioners. Optionally, an
*> additional row pivoting can be used as a preprocessor, which in some
*> cases results in much higher accuracy. An example is matrix A with the
*> structure A = D1 * C * D2, where D1, D2 are arbitrarily ill-conditioned
*> diagonal matrices and C is well-conditioned matrix. In that case, complete
*> pivoting in the first QR factorizations provides accuracy dependent on the
*> condition number of C, and independent of D1, D2. Such higher accuracy is
*> not completely understood theoretically, but it works well in practice.
*> Further, if A can be written as A = B*D, with well-conditioned B and some
*> diagonal D, then the high accuracy is guaranteed, both theoretically and
*> in software, independent of D. For more details see [1], [2].
*> The computational range for the singular values can be the full range
*> ( UNDERFLOW,OVERFLOW ), provided that the machine arithmetic and the BLAS
*> & LAPACK routines called by DGEJSV are implemented to work in that range.
*> If that is not the case, then the restriction for safe computation with
*> the singular values in the range of normalized IEEE numbers is that the
*> spectral condition number kappa(A)=sigma_max(A)/sigma_min(A) does not
*> overflow. This code (DGEJSV) is best used in this restricted range,
*> meaning that singular values of magnitude below ||A||_2 / DLAMCH('O') are
*> returned as zeros. See JOBR for details on this.
*> Further, this implementation is somewhat slower than the one described
*> in [1,2] due to replacement of some non-LAPACK components, and because
*> the choice of some tuning parameters in the iterative part (DGESVJ) is
*> left to the implementer on a particular machine.
*> The rank revealing QR factorization (in this code: DGEQP3) should be
*> implemented as in [3]. We have a new version of DGEQP3 under development
*> that is more robust than the current one in LAPACK, with a cleaner cut in
*> rank defficient cases. It will be available in the SIGMA library [4].
*> If M is much larger than N, it is obvious that the inital QRF with
*> column pivoting can be preprocessed by the QRF without pivoting. That
*> well known trick is not used in DGEJSV because in some cases heavy row
*> weighting can be treated with complete pivoting. The overhead in cases
*> M much larger than N is then only due to pivoting, but the benefits in
*> terms of accuracy have prevailed. The implementer/user can incorporate
*> this extra QRF step easily. The implementer can also improve data movement
*> (matrix transpose, matrix copy, matrix transposed copy) - this
*> implementation of DGEJSV uses only the simplest, naive data movement.
*> \endverbatim
*
*> \par Contributors:
* ==================
*>
*> Zlatko Drmac (Zagreb, Croatia) and Kresimir Veselic (Hagen, Germany)
*
*> \par References:
* ================
*>
*> \verbatim
*>
*> [1] Z. Drmac and K. Veselic: New fast and accurate Jacobi SVD algorithm I.
*> SIAM J. Matrix Anal. Appl. Vol. 35, No. 2 (2008), pp. 1322-1342.
*> LAPACK Working note 169.
*> [2] Z. Drmac and K. Veselic: New fast and accurate Jacobi SVD algorithm II.
*> SIAM J. Matrix Anal. Appl. Vol. 35, No. 2 (2008), pp. 1343-1362.
*> LAPACK Working note 170.
*> [3] Z. Drmac and Z. Bujanovic: On the failure of rank-revealing QR
*> factorization software - a case study.
*> ACM Trans. Math. Softw. Vol. 35, No 2 (2008), pp. 1-28.
*> LAPACK Working note 176.
*> [4] Z. Drmac: SIGMA - mathematical software library for accurate SVD, PSV,
*> QSVD, (H,K)-SVD computations.
*> Department of Mathematics, University of Zagreb, 2008.
*> \endverbatim
*
*> \par Bugs, examples and comments:
* =================================
*>
*> Please report all bugs and send interesting examples and/or comments to
*> drmac@math.hr. Thank you.
*>
* =====================================================================
SUBROUTINE DGEJSV( JOBA, JOBU, JOBV, JOBR, JOBT, JOBP,
$ M, N, A, LDA, SVA, U, LDU, V, LDV,
$ WORK, LWORK, IWORK, INFO )
*
* -- LAPACK computational routine (version 3.6.1) --
* -- LAPACK is a software package provided by Univ. of Tennessee, --
* -- Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..--
* June 2016
*
* .. Scalar Arguments ..
IMPLICIT NONE
INTEGER INFO, LDA, LDU, LDV, LWORK, M, N
* ..
* .. Array Arguments ..
DOUBLE PRECISION A( LDA, * ), SVA( N ), U( LDU, * ), V( LDV, * ),
$ WORK( LWORK )
INTEGER IWORK( * )
CHARACTER*1 JOBA, JOBP, JOBR, JOBT, JOBU, JOBV
* ..
*
* ===========================================================================
*
* .. Local Parameters ..
DOUBLE PRECISION ZERO, ONE
PARAMETER ( ZERO = 0.0D0, ONE = 1.0D0 )
* ..
* .. Local Scalars ..
DOUBLE PRECISION AAPP, AAQQ, AATMAX, AATMIN, BIG, BIG1, COND_OK,
$ CONDR1, CONDR2, ENTRA, ENTRAT, EPSLN, MAXPRJ, SCALEM,
$ SCONDA, SFMIN, SMALL, TEMP1, USCAL1, USCAL2, XSC
INTEGER IERR, N1, NR, NUMRANK, p, q, WARNING
LOGICAL ALMORT, DEFR, ERREST, GOSCAL, JRACC, KILL, LSVEC,
$ L2ABER, L2KILL, L2PERT, L2RANK, L2TRAN,
$ NOSCAL, ROWPIV, RSVEC, TRANSP
* ..
* .. Intrinsic Functions ..
INTRINSIC DABS, DLOG, MAX, MIN, DBLE, IDNINT, DSIGN, DSQRT
* ..
* .. External Functions ..
DOUBLE PRECISION DLAMCH, DNRM2
INTEGER IDAMAX
LOGICAL LSAME
EXTERNAL IDAMAX, LSAME, DLAMCH, DNRM2
* ..
* .. External Subroutines ..
EXTERNAL DCOPY, DGELQF, DGEQP3, DGEQRF, DLACPY, DLASCL,
$ DLASET, DLASSQ, DLASWP, DORGQR, DORMLQ,
$ DORMQR, DPOCON, DSCAL, DSWAP, DTRSM, XERBLA
*
EXTERNAL DGESVJ
* ..
*
* Test the input arguments
*
LSVEC = LSAME( JOBU, 'U' ) .OR. LSAME( JOBU, 'F' )
JRACC = LSAME( JOBV, 'J' )
RSVEC = LSAME( JOBV, 'V' ) .OR. JRACC
ROWPIV = LSAME( JOBA, 'F' ) .OR. LSAME( JOBA, 'G' )
L2RANK = LSAME( JOBA, 'R' )
L2ABER = LSAME( JOBA, 'A' )
ERREST = LSAME( JOBA, 'E' ) .OR. LSAME( JOBA, 'G' )
L2TRAN = LSAME( JOBT, 'T' )
L2KILL = LSAME( JOBR, 'R' )
DEFR = LSAME( JOBR, 'N' )
L2PERT = LSAME( JOBP, 'P' )
*
IF ( .NOT.(ROWPIV .OR. L2RANK .OR. L2ABER .OR.
$ ERREST .OR. LSAME( JOBA, 'C' ) )) THEN
INFO = - 1
ELSE IF ( .NOT.( LSVEC .OR. LSAME( JOBU, 'N' ) .OR.
$ LSAME( JOBU, 'W' )) ) THEN
INFO = - 2
ELSE IF ( .NOT.( RSVEC .OR. LSAME( JOBV, 'N' ) .OR.
$ LSAME( JOBV, 'W' )) .OR. ( JRACC .AND. (.NOT.LSVEC) ) ) THEN
INFO = - 3
ELSE IF ( .NOT. ( L2KILL .OR. DEFR ) ) THEN
INFO = - 4
ELSE IF ( .NOT. ( L2TRAN .OR. LSAME( JOBT, 'N' ) ) ) THEN
INFO = - 5
ELSE IF ( .NOT. ( L2PERT .OR. LSAME( JOBP, 'N' ) ) ) THEN
INFO = - 6
ELSE IF ( M .LT. 0 ) THEN
INFO = - 7
ELSE IF ( ( N .LT. 0 ) .OR. ( N .GT. M ) ) THEN
INFO = - 8
ELSE IF ( LDA .LT. M ) THEN
INFO = - 10
ELSE IF ( LSVEC .AND. ( LDU .LT. M ) ) THEN
INFO = - 13
ELSE IF ( RSVEC .AND. ( LDV .LT. N ) ) THEN
INFO = - 14
ELSE IF ( (.NOT.(LSVEC .OR. RSVEC .OR. ERREST).AND.
& (LWORK .LT. MAX(7,4*N+1,2*M+N))) .OR.
& (.NOT.(LSVEC .OR. RSVEC) .AND. ERREST .AND.
& (LWORK .LT. MAX(7,4*N+N*N,2*M+N))) .OR.
& (LSVEC .AND. (.NOT.RSVEC) .AND. (LWORK .LT. MAX(7,2*M+N,4*N+1)))
& .OR.
& (RSVEC .AND. (.NOT.LSVEC) .AND. (LWORK .LT. MAX(7,2*M+N,4*N+1)))
& .OR.
& (LSVEC .AND. RSVEC .AND. (.NOT.JRACC) .AND.
& (LWORK.LT.MAX(2*M+N,6*N+2*N*N)))
& .OR. (LSVEC .AND. RSVEC .AND. JRACC .AND.
& LWORK.LT.MAX(2*M+N,4*N+N*N,2*N+N*N+6)))
& THEN
INFO = - 17
ELSE
* #:)
INFO = 0
END IF
*
IF ( INFO .NE. 0 ) THEN
* #:(
CALL XERBLA( 'DGEJSV', - INFO )
RETURN
END IF
*
* Quick return for void matrix (Y3K safe)
* #:)
IF ( ( M .EQ. 0 ) .OR. ( N .EQ. 0 ) ) THEN
IWORK(1:3) = 0
WORK(1:7) = 0
RETURN
ENDIF
*
* Determine whether the matrix U should be M x N or M x M
*
IF ( LSVEC ) THEN
N1 = N
IF ( LSAME( JOBU, 'F' ) ) N1 = M
END IF
*
* Set numerical parameters
*
*! NOTE: Make sure DLAMCH() does not fail on the target architecture.
*
EPSLN = DLAMCH('Epsilon')
SFMIN = DLAMCH('SafeMinimum')
SMALL = SFMIN / EPSLN
BIG = DLAMCH('O')
* BIG = ONE / SFMIN
*
* Initialize SVA(1:N) = diag( ||A e_i||_2 )_1^N
*
*(!) If necessary, scale SVA() to protect the largest norm from
* overflow. It is possible that this scaling pushes the smallest
* column norm left from the underflow threshold (extreme case).
*
SCALEM = ONE / DSQRT(DBLE(M)*DBLE(N))
NOSCAL = .TRUE.
GOSCAL = .TRUE.
DO 1874 p = 1, N
AAPP = ZERO
AAQQ = ONE
CALL DLASSQ( M, A(1,p), 1, AAPP, AAQQ )
IF ( AAPP .GT. BIG ) THEN
INFO = - 9
CALL XERBLA( 'DGEJSV', -INFO )
RETURN
END IF
AAQQ = DSQRT(AAQQ)
IF ( ( AAPP .LT. (BIG / AAQQ) ) .AND. NOSCAL ) THEN
SVA(p) = AAPP * AAQQ
ELSE
NOSCAL = .FALSE.
SVA(p) = AAPP * ( AAQQ * SCALEM )
IF ( GOSCAL ) THEN
GOSCAL = .FALSE.
CALL DSCAL( p-1, SCALEM, SVA, 1 )
END IF
END IF
1874 CONTINUE
*
IF ( NOSCAL ) SCALEM = ONE
*
AAPP = ZERO
AAQQ = BIG
DO 4781 p = 1, N
AAPP = MAX( AAPP, SVA(p) )
IF ( SVA(p) .NE. ZERO ) AAQQ = MIN( AAQQ, SVA(p) )
4781 CONTINUE
*
* Quick return for zero M x N matrix
* #:)
IF ( AAPP .EQ. ZERO ) THEN
IF ( LSVEC ) CALL DLASET( 'G', M, N1, ZERO, ONE, U, LDU )
IF ( RSVEC ) CALL DLASET( 'G', N, N, ZERO, ONE, V, LDV )
WORK(1) = ONE
WORK(2) = ONE
IF ( ERREST ) WORK(3) = ONE
IF ( LSVEC .AND. RSVEC ) THEN
WORK(4) = ONE
WORK(5) = ONE
END IF
IF ( L2TRAN ) THEN
WORK(6) = ZERO
WORK(7) = ZERO
END IF
IWORK(1) = 0
IWORK(2) = 0
IWORK(3) = 0
RETURN
END IF
*
* Issue warning if denormalized column norms detected. Override the
* high relative accuracy request. Issue licence to kill columns
* (set them to zero) whose norm is less than sigma_max / BIG (roughly).
* #:(
WARNING = 0
IF ( AAQQ .LE. SFMIN ) THEN
L2RANK = .TRUE.
L2KILL = .TRUE.
WARNING = 1
END IF
*
* Quick return for one-column matrix
* #:)
IF ( N .EQ. 1 ) THEN
*
IF ( LSVEC ) THEN
CALL DLASCL( 'G',0,0,SVA(1),SCALEM, M,1,A(1,1),LDA,IERR )
CALL DLACPY( 'A', M, 1, A, LDA, U, LDU )
* computing all M left singular vectors of the M x 1 matrix
IF ( N1 .NE. N ) THEN
CALL DGEQRF( M, N, U,LDU, WORK, WORK(N+1),LWORK-N,IERR )
CALL DORGQR( M,N1,1, U,LDU,WORK,WORK(N+1),LWORK-N,IERR )
CALL DCOPY( M, A(1,1), 1, U(1,1), 1 )
END IF
END IF
IF ( RSVEC ) THEN
V(1,1) = ONE
END IF
IF ( SVA(1) .LT. (BIG*SCALEM) ) THEN
SVA(1) = SVA(1) / SCALEM
SCALEM = ONE
END IF
WORK(1) = ONE / SCALEM
WORK(2) = ONE
IF ( SVA(1) .NE. ZERO ) THEN
IWORK(1) = 1
IF ( ( SVA(1) / SCALEM) .GE. SFMIN ) THEN
IWORK(2) = 1
ELSE
IWORK(2) = 0
END IF
ELSE
IWORK(1) = 0
IWORK(2) = 0
END IF
IWORK(3) = 0
IF ( ERREST ) WORK(3) = ONE
IF ( LSVEC .AND. RSVEC ) THEN
WORK(4) = ONE
WORK(5) = ONE
END IF
IF ( L2TRAN ) THEN
WORK(6) = ZERO
WORK(7) = ZERO
END IF
RETURN
*
END IF
*
TRANSP = .FALSE.
L2TRAN = L2TRAN .AND. ( M .EQ. N )
*
AATMAX = -ONE
AATMIN = BIG
IF ( ROWPIV .OR. L2TRAN ) THEN
*
* Compute the row norms, needed to determine row pivoting sequence
* (in the case of heavily row weighted A, row pivoting is strongly
* advised) and to collect information needed to compare the
* structures of A * A^t and A^t * A (in the case L2TRAN.EQ..TRUE.).
*
IF ( L2TRAN ) THEN
DO 1950 p = 1, M
XSC = ZERO
TEMP1 = ONE
CALL DLASSQ( N, A(p,1), LDA, XSC, TEMP1 )
* DLASSQ gets both the ell_2 and the ell_infinity norm
* in one pass through the vector
WORK(M+N+p) = XSC * SCALEM
WORK(N+p) = XSC * (SCALEM*DSQRT(TEMP1))
AATMAX = MAX( AATMAX, WORK(N+p) )
IF (WORK(N+p) .NE. ZERO) AATMIN = MIN(AATMIN,WORK(N+p))
1950 CONTINUE
ELSE
DO 1904 p = 1, M
WORK(M+N+p) = SCALEM*DABS( A(p,IDAMAX(N,A(p,1),LDA)) )
AATMAX = MAX( AATMAX, WORK(M+N+p) )
AATMIN = MIN( AATMIN, WORK(M+N+p) )
1904 CONTINUE
END IF
*
END IF
*
* For square matrix A try to determine whether A^t would be better
* input for the preconditioned Jacobi SVD, with faster convergence.
* The decision is based on an O(N) function of the vector of column
* and row norms of A, based on the Shannon entropy. This should give
* the right choice in most cases when the difference actually matters.
* It may fail and pick the slower converging side.
*
ENTRA = ZERO
ENTRAT = ZERO
IF ( L2TRAN ) THEN
*
XSC = ZERO
TEMP1 = ONE
CALL DLASSQ( N, SVA, 1, XSC, TEMP1 )
TEMP1 = ONE / TEMP1
*
ENTRA = ZERO
DO 1113 p = 1, N
BIG1 = ( ( SVA(p) / XSC )**2 ) * TEMP1
IF ( BIG1 .NE. ZERO ) ENTRA = ENTRA + BIG1 * DLOG(BIG1)
1113 CONTINUE
ENTRA = - ENTRA / DLOG(DBLE(N))
*
* Now, SVA().^2/Trace(A^t * A) is a point in the probability simplex.
* It is derived from the diagonal of A^t * A. Do the same with the
* diagonal of A * A^t, compute the entropy of the corresponding
* probability distribution. Note that A * A^t and A^t * A have the
* same trace.
*
ENTRAT = ZERO
DO 1114 p = N+1, N+M
BIG1 = ( ( WORK(p) / XSC )**2 ) * TEMP1
IF ( BIG1 .NE. ZERO ) ENTRAT = ENTRAT + BIG1 * DLOG(BIG1)
1114 CONTINUE
ENTRAT = - ENTRAT / DLOG(DBLE(M))
*
* Analyze the entropies and decide A or A^t. Smaller entropy
* usually means better input for the algorithm.
*
TRANSP = ( ENTRAT .LT. ENTRA )
*
* If A^t is better than A, transpose A.
*
IF ( TRANSP ) THEN
* In an optimal implementation, this trivial transpose
* should be replaced with faster transpose.
DO 1115 p = 1, N - 1
DO 1116 q = p + 1, N
TEMP1 = A(q,p)
A(q,p) = A(p,q)
A(p,q) = TEMP1
1116 CONTINUE
1115 CONTINUE
DO 1117 p = 1, N
WORK(M+N+p) = SVA(p)
SVA(p) = WORK(N+p)
1117 CONTINUE
TEMP1 = AAPP
AAPP = AATMAX
AATMAX = TEMP1
TEMP1 = AAQQ
AAQQ = AATMIN
AATMIN = TEMP1
KILL = LSVEC
LSVEC = RSVEC
RSVEC = KILL
IF ( LSVEC ) N1 = N
*
ROWPIV = .TRUE.
END IF
*
END IF
* END IF L2TRAN
*
* Scale the matrix so that its maximal singular value remains less
* than DSQRT(BIG) -- the matrix is scaled so that its maximal column
* has Euclidean norm equal to DSQRT(BIG/N). The only reason to keep
* DSQRT(BIG) instead of BIG is the fact that DGEJSV uses LAPACK and
* BLAS routines that, in some implementations, are not capable of
* working in the full interval [SFMIN,BIG] and that they may provoke
* overflows in the intermediate results. If the singular values spread
* from SFMIN to BIG, then DGESVJ will compute them. So, in that case,
* one should use DGESVJ instead of DGEJSV.
*
BIG1 = DSQRT( BIG )
TEMP1 = DSQRT( BIG / DBLE(N) )
*
CALL DLASCL( 'G', 0, 0, AAPP, TEMP1, N, 1, SVA, N, IERR )
IF ( AAQQ .GT. (AAPP * SFMIN) ) THEN
AAQQ = ( AAQQ / AAPP ) * TEMP1
ELSE
AAQQ = ( AAQQ * TEMP1 ) / AAPP
END IF
TEMP1 = TEMP1 * SCALEM
CALL DLASCL( 'G', 0, 0, AAPP, TEMP1, M, N, A, LDA, IERR )
*
* To undo scaling at the end of this procedure, multiply the
* computed singular values with USCAL2 / USCAL1.
*
USCAL1 = TEMP1
USCAL2 = AAPP
*
IF ( L2KILL ) THEN
* L2KILL enforces computation of nonzero singular values in
* the restricted range of condition number of the initial A,
* sigma_max(A) / sigma_min(A) approx. DSQRT(BIG)/DSQRT(SFMIN).
XSC = DSQRT( SFMIN )
ELSE
XSC = SMALL
*
* Now, if the condition number of A is too big,
* sigma_max(A) / sigma_min(A) .GT. DSQRT(BIG/N) * EPSLN / SFMIN,
* as a precaution measure, the full SVD is computed using DGESVJ
* with accumulated Jacobi rotations. This provides numerically
* more robust computation, at the cost of slightly increased run
* time. Depending on the concrete implementation of BLAS and LAPACK
* (i.e. how they behave in presence of extreme ill-conditioning) the
* implementor may decide to remove this switch.
IF ( ( AAQQ.LT.DSQRT(SFMIN) ) .AND. LSVEC .AND. RSVEC ) THEN
JRACC = .TRUE.
END IF
*
END IF
IF ( AAQQ .LT. XSC ) THEN
DO 700 p = 1, N
IF ( SVA(p) .LT. XSC ) THEN
CALL DLASET( 'A', M, 1, ZERO, ZERO, A(1,p), LDA )
SVA(p) = ZERO
END IF
700 CONTINUE
END IF
*
* Preconditioning using QR factorization with pivoting
*
IF ( ROWPIV ) THEN
* Optional row permutation (Bjoerck row pivoting):
* A result by Cox and Higham shows that the Bjoerck's
* row pivoting combined with standard column pivoting
* has similar effect as Powell-Reid complete pivoting.
* The ell-infinity norms of A are made nonincreasing.
DO 1952 p = 1, M - 1
q = IDAMAX( M-p+1, WORK(M+N+p), 1 ) + p - 1
IWORK(2*N+p) = q
IF ( p .NE. q ) THEN
TEMP1 = WORK(M+N+p)
WORK(M+N+p) = WORK(M+N+q)
WORK(M+N+q) = TEMP1
END IF
1952 CONTINUE
CALL DLASWP( N, A, LDA, 1, M-1, IWORK(2*N+1), 1 )
END IF
*
* End of the preparation phase (scaling, optional sorting and
* transposing, optional flushing of small columns).
*
* Preconditioning
*
* If the full SVD is needed, the right singular vectors are computed
* from a matrix equation, and for that we need theoretical analysis
* of the Businger-Golub pivoting. So we use DGEQP3 as the first RR QRF.
* In all other cases the first RR QRF can be chosen by other criteria
* (eg speed by replacing global with restricted window pivoting, such
* as in SGEQPX from TOMS # 782). Good results will be obtained using
* SGEQPX with properly (!) chosen numerical parameters.
* Any improvement of DGEQP3 improves overal performance of DGEJSV.
*
* A * P1 = Q1 * [ R1^t 0]^t:
DO 1963 p = 1, N
* .. all columns are free columns
IWORK(p) = 0
1963 CONTINUE
CALL DGEQP3( M,N,A,LDA, IWORK,WORK, WORK(N+1),LWORK-N, IERR )
*
* The upper triangular matrix R1 from the first QRF is inspected for
* rank deficiency and possibilities for deflation, or possible
* ill-conditioning. Depending on the user specified flag L2RANK,
* the procedure explores possibilities to reduce the numerical
* rank by inspecting the computed upper triangular factor. If
* L2RANK or L2ABER are up, then DGEJSV will compute the SVD of
* A + dA, where ||dA|| <= f(M,N)*EPSLN.
*
NR = 1
IF ( L2ABER ) THEN
* Standard absolute error bound suffices. All sigma_i with
* sigma_i < N*EPSLN*||A|| are flushed to zero. This is an
* agressive enforcement of lower numerical rank by introducing a
* backward error of the order of N*EPSLN*||A||.
TEMP1 = DSQRT(DBLE(N))*EPSLN
DO 3001 p = 2, N
IF ( DABS(A(p,p)) .GE. (TEMP1*DABS(A(1,1))) ) THEN
NR = NR + 1
ELSE
GO TO 3002
END IF
3001 CONTINUE
3002 CONTINUE
ELSE IF ( L2RANK ) THEN
* .. similarly as above, only slightly more gentle (less agressive).
* Sudden drop on the diagonal of R1 is used as the criterion for
* close-to-rank-defficient.
TEMP1 = DSQRT(SFMIN)
DO 3401 p = 2, N
IF ( ( DABS(A(p,p)) .LT. (EPSLN*DABS(A(p-1,p-1))) ) .OR.
$ ( DABS(A(p,p)) .LT. SMALL ) .OR.
$ ( L2KILL .AND. (DABS(A(p,p)) .LT. TEMP1) ) ) GO TO 3402
NR = NR + 1
3401 CONTINUE
3402 CONTINUE
*
ELSE
* The goal is high relative accuracy. However, if the matrix
* has high scaled condition number the relative accuracy is in
* general not feasible. Later on, a condition number estimator
* will be deployed to estimate the scaled condition number.
* Here we just remove the underflowed part of the triangular
* factor. This prevents the situation in which the code is
* working hard to get the accuracy not warranted by the data.
TEMP1 = DSQRT(SFMIN)
DO 3301 p = 2, N
IF ( ( DABS(A(p,p)) .LT. SMALL ) .OR.
$ ( L2KILL .AND. (DABS(A(p,p)) .LT. TEMP1) ) ) GO TO 3302
NR = NR + 1
3301 CONTINUE
3302 CONTINUE
*
END IF
*
ALMORT = .FALSE.
IF ( NR .EQ. N ) THEN
MAXPRJ = ONE
DO 3051 p = 2, N
TEMP1 = DABS(A(p,p)) / SVA(IWORK(p))
MAXPRJ = MIN( MAXPRJ, TEMP1 )
3051 CONTINUE
IF ( MAXPRJ**2 .GE. ONE - DBLE(N)*EPSLN ) ALMORT = .TRUE.
END IF
*
*
SCONDA = - ONE
CONDR1 = - ONE
CONDR2 = - ONE
*
IF ( ERREST ) THEN
IF ( N .EQ. NR ) THEN
IF ( RSVEC ) THEN
* .. V is available as workspace
CALL DLACPY( 'U', N, N, A, LDA, V, LDV )
DO 3053 p = 1, N
TEMP1 = SVA(IWORK(p))
CALL DSCAL( p, ONE/TEMP1, V(1,p), 1 )
3053 CONTINUE
CALL DPOCON( 'U', N, V, LDV, ONE, TEMP1,
$ WORK(N+1), IWORK(2*N+M+1), IERR )
ELSE IF ( LSVEC ) THEN
* .. U is available as workspace
CALL DLACPY( 'U', N, N, A, LDA, U, LDU )
DO 3054 p = 1, N
TEMP1 = SVA(IWORK(p))
CALL DSCAL( p, ONE/TEMP1, U(1,p), 1 )
3054 CONTINUE
CALL DPOCON( 'U', N, U, LDU, ONE, TEMP1,
$ WORK(N+1), IWORK(2*N+M+1), IERR )
ELSE
CALL DLACPY( 'U', N, N, A, LDA, WORK(N+1), N )
DO 3052 p = 1, N
TEMP1 = SVA(IWORK(p))
CALL DSCAL( p, ONE/TEMP1, WORK(N+(p-1)*N+1), 1 )
3052 CONTINUE
* .. the columns of R are scaled to have unit Euclidean lengths.
CALL DPOCON( 'U', N, WORK(N+1), N, ONE, TEMP1,
$ WORK(N+N*N+1), IWORK(2*N+M+1), IERR )
END IF
SCONDA = ONE / DSQRT(TEMP1)
* SCONDA is an estimate of DSQRT(||(R^t * R)^(-1)||_1).
* N^(-1/4) * SCONDA <= ||R^(-1)||_2 <= N^(1/4) * SCONDA
ELSE
SCONDA = - ONE
END IF
END IF
*
L2PERT = L2PERT .AND. ( DABS( A(1,1)/A(NR,NR) ) .GT. DSQRT(BIG1) )
* If there is no violent scaling, artificial perturbation is not needed.
*
* Phase 3:
*
IF ( .NOT. ( RSVEC .OR. LSVEC ) ) THEN
*
* Singular Values only
*
* .. transpose A(1:NR,1:N)
DO 1946 p = 1, MIN( N-1, NR )
CALL DCOPY( N-p, A(p,p+1), LDA, A(p+1,p), 1 )
1946 CONTINUE
*
* The following two DO-loops introduce small relative perturbation
* into the strict upper triangle of the lower triangular matrix.
* Small entries below the main diagonal are also changed.
* This modification is useful if the computing environment does not
* provide/allow FLUSH TO ZERO underflow, for it prevents many
* annoying denormalized numbers in case of strongly scaled matrices.
* The perturbation is structured so that it does not introduce any
* new perturbation of the singular values, and it does not destroy
* the job done by the preconditioner.
* The licence for this perturbation is in the variable L2PERT, which
* should be .FALSE. if FLUSH TO ZERO underflow is active.
*
IF ( .NOT. ALMORT ) THEN
*
IF ( L2PERT ) THEN
* XSC = DSQRT(SMALL)
XSC = EPSLN / DBLE(N)
DO 4947 q = 1, NR
TEMP1 = XSC*DABS(A(q,q))
DO 4949 p = 1, N
IF ( ( (p.GT.q) .AND. (DABS(A(p,q)).LE.TEMP1) )
$ .OR. ( p .LT. q ) )
$ A(p,q) = DSIGN( TEMP1, A(p,q) )
4949 CONTINUE
4947 CONTINUE
ELSE
CALL DLASET( 'U', NR-1,NR-1, ZERO,ZERO, A(1,2),LDA )
END IF
*
* .. second preconditioning using the QR factorization
*
CALL DGEQRF( N,NR, A,LDA, WORK, WORK(N+1),LWORK-N, IERR )
*
* .. and transpose upper to lower triangular
DO 1948 p = 1, NR - 1
CALL DCOPY( NR-p, A(p,p+1), LDA, A(p+1,p), 1 )
1948 CONTINUE
*
END IF
*
* Row-cyclic Jacobi SVD algorithm with column pivoting
*
* .. again some perturbation (a "background noise") is added
* to drown denormals
IF ( L2PERT ) THEN
* XSC = DSQRT(SMALL)
XSC = EPSLN / DBLE(N)
DO 1947 q = 1, NR
TEMP1 = XSC*DABS(A(q,q))
DO 1949 p = 1, NR
IF ( ( (p.GT.q) .AND. (DABS(A(p,q)).LE.TEMP1) )
$ .OR. ( p .LT. q ) )
$ A(p,q) = DSIGN( TEMP1, A(p,q) )
1949 CONTINUE
1947 CONTINUE
ELSE
CALL DLASET( 'U', NR-1, NR-1, ZERO, ZERO, A(1,2), LDA )
END IF
*
* .. and one-sided Jacobi rotations are started on a lower
* triangular matrix (plus perturbation which is ignored in
* the part which destroys triangular form (confusing?!))
*
CALL DGESVJ( 'L', 'NoU', 'NoV', NR, NR, A, LDA, SVA,
$ N, V, LDV, WORK, LWORK, INFO )
*
SCALEM = WORK(1)
NUMRANK = IDNINT(WORK(2))
*
*
ELSE IF ( RSVEC .AND. ( .NOT. LSVEC ) ) THEN
*
* -> Singular Values and Right Singular Vectors <-
*
IF ( ALMORT ) THEN
*
* .. in this case NR equals N
DO 1998 p = 1, NR
CALL DCOPY( N-p+1, A(p,p), LDA, V(p,p), 1 )
1998 CONTINUE
CALL DLASET( 'Upper', NR-1, NR-1, ZERO, ZERO, V(1,2), LDV )
*
CALL DGESVJ( 'L','U','N', N, NR, V,LDV, SVA, NR, A,LDA,
$ WORK, LWORK, INFO )
SCALEM = WORK(1)
NUMRANK = IDNINT(WORK(2))
ELSE
*
* .. two more QR factorizations ( one QRF is not enough, two require
* accumulated product of Jacobi rotations, three are perfect )
*
CALL DLASET( 'Lower', NR-1, NR-1, ZERO, ZERO, A(2,1), LDA )
CALL DGELQF( NR, N, A, LDA, WORK, WORK(N+1), LWORK-N, IERR)
CALL DLACPY( 'Lower', NR, NR, A, LDA, V, LDV )
CALL DLASET( 'Upper', NR-1, NR-1, ZERO, ZERO, V(1,2), LDV )
CALL DGEQRF( NR, NR, V, LDV, WORK(N+1), WORK(2*N+1),
$ LWORK-2*N, IERR )
DO 8998 p = 1, NR
CALL DCOPY( NR-p+1, V(p,p), LDV, V(p,p), 1 )
8998 CONTINUE
CALL DLASET( 'Upper', NR-1, NR-1, ZERO, ZERO, V(1,2), LDV )
*
CALL DGESVJ( 'Lower', 'U','N', NR, NR, V,LDV, SVA, NR, U,
$ LDU, WORK(N+1), LWORK, INFO )
SCALEM = WORK(N+1)
NUMRANK = IDNINT(WORK(N+2))
IF ( NR .LT. N ) THEN
CALL DLASET( 'A',N-NR, NR, ZERO,ZERO, V(NR+1,1), LDV )
CALL DLASET( 'A',NR, N-NR, ZERO,ZERO, V(1,NR+1), LDV )
CALL DLASET( 'A',N-NR,N-NR,ZERO,ONE, V(NR+1,NR+1), LDV )
END IF
*
CALL DORMLQ( 'Left', 'Transpose', N, N, NR, A, LDA, WORK,
$ V, LDV, WORK(N+1), LWORK-N, IERR )
*
END IF
*
DO 8991 p = 1, N
CALL DCOPY( N, V(p,1), LDV, A(IWORK(p),1), LDA )
8991 CONTINUE
CALL DLACPY( 'All', N, N, A, LDA, V, LDV )
*
IF ( TRANSP ) THEN
CALL DLACPY( 'All', N, N, V, LDV, U, LDU )
END IF
*
ELSE IF ( LSVEC .AND. ( .NOT. RSVEC ) ) THEN
*
* .. Singular Values and Left Singular Vectors ..
*
* .. second preconditioning step to avoid need to accumulate
* Jacobi rotations in the Jacobi iterations.
DO 1965 p = 1, NR
CALL DCOPY( N-p+1, A(p,p), LDA, U(p,p), 1 )
1965 CONTINUE
CALL DLASET( 'Upper', NR-1, NR-1, ZERO, ZERO, U(1,2), LDU )
*
CALL DGEQRF( N, NR, U, LDU, WORK(N+1), WORK(2*N+1),
$ LWORK-2*N, IERR )
*
DO 1967 p = 1, NR - 1
CALL DCOPY( NR-p, U(p,p+1), LDU, U(p+1,p), 1 )
1967 CONTINUE
CALL DLASET( 'Upper', NR-1, NR-1, ZERO, ZERO, U(1,2), LDU )
*
CALL DGESVJ( 'Lower', 'U', 'N', NR,NR, U, LDU, SVA, NR, A,
$ LDA, WORK(N+1), LWORK-N, INFO )
SCALEM = WORK(N+1)
NUMRANK = IDNINT(WORK(N+2))
*
IF ( NR .LT. M ) THEN
CALL DLASET( 'A', M-NR, NR,ZERO, ZERO, U(NR+1,1), LDU )
IF ( NR .LT. N1 ) THEN
CALL DLASET( 'A',NR, N1-NR, ZERO, ZERO, U(1,NR+1), LDU )
CALL DLASET( 'A',M-NR,N1-NR,ZERO,ONE,U(NR+1,NR+1), LDU )
END IF
END IF
*
CALL DORMQR( 'Left', 'No Tr', M, N1, N, A, LDA, WORK, U,
$ LDU, WORK(N+1), LWORK-N, IERR )
*
IF ( ROWPIV )
$ CALL DLASWP( N1, U, LDU, 1, M-1, IWORK(2*N+1), -1 )
*
DO 1974 p = 1, N1
XSC = ONE / DNRM2( M, U(1,p), 1 )
CALL DSCAL( M, XSC, U(1,p), 1 )
1974 CONTINUE
*
IF ( TRANSP ) THEN
CALL DLACPY( 'All', N, N, U, LDU, V, LDV )
END IF
*
ELSE
*
* .. Full SVD ..
*
IF ( .NOT. JRACC ) THEN
*
IF ( .NOT. ALMORT ) THEN
*
* Second Preconditioning Step (QRF [with pivoting])
* Note that the composition of TRANSPOSE, QRF and TRANSPOSE is
* equivalent to an LQF CALL. Since in many libraries the QRF
* seems to be better optimized than the LQF, we do explicit
* transpose and use the QRF. This is subject to changes in an
* optimized implementation of DGEJSV.
*
DO 1968 p = 1, NR
CALL DCOPY( N-p+1, A(p,p), LDA, V(p,p), 1 )
1968 CONTINUE
*
* .. the following two loops perturb small entries to avoid
* denormals in the second QR factorization, where they are
* as good as zeros. This is done to avoid painfully slow
* computation with denormals. The relative size of the perturbation
* is a parameter that can be changed by the implementer.
* This perturbation device will be obsolete on machines with
* properly implemented arithmetic.
* To switch it off, set L2PERT=.FALSE. To remove it from the
* code, remove the action under L2PERT=.TRUE., leave the ELSE part.
* The following two loops should be blocked and fused with the
* transposed copy above.
*
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL)
DO 2969 q = 1, NR
TEMP1 = XSC*DABS( V(q,q) )
DO 2968 p = 1, N
IF ( ( p .GT. q ) .AND. ( DABS(V(p,q)) .LE. TEMP1 )
$ .OR. ( p .LT. q ) )
$ V(p,q) = DSIGN( TEMP1, V(p,q) )
IF ( p .LT. q ) V(p,q) = - V(p,q)
2968 CONTINUE
2969 CONTINUE
ELSE
CALL DLASET( 'U', NR-1, NR-1, ZERO, ZERO, V(1,2), LDV )
END IF
*
* Estimate the row scaled condition number of R1
* (If R1 is rectangular, N > NR, then the condition number
* of the leading NR x NR submatrix is estimated.)
*
CALL DLACPY( 'L', NR, NR, V, LDV, WORK(2*N+1), NR )
DO 3950 p = 1, NR
TEMP1 = DNRM2(NR-p+1,WORK(2*N+(p-1)*NR+p),1)
CALL DSCAL(NR-p+1,ONE/TEMP1,WORK(2*N+(p-1)*NR+p),1)
3950 CONTINUE
CALL DPOCON('Lower',NR,WORK(2*N+1),NR,ONE,TEMP1,
$ WORK(2*N+NR*NR+1),IWORK(M+2*N+1),IERR)
CONDR1 = ONE / DSQRT(TEMP1)
* .. here need a second oppinion on the condition number
* .. then assume worst case scenario
* R1 is OK for inverse <=> CONDR1 .LT. DBLE(N)
* more conservative <=> CONDR1 .LT. DSQRT(DBLE(N))
*
COND_OK = DSQRT(DBLE(NR))
*[TP] COND_OK is a tuning parameter.
IF ( CONDR1 .LT. COND_OK ) THEN
* .. the second QRF without pivoting. Note: in an optimized
* implementation, this QRF should be implemented as the QRF
* of a lower triangular matrix.
* R1^t = Q2 * R2
CALL DGEQRF( N, NR, V, LDV, WORK(N+1), WORK(2*N+1),
$ LWORK-2*N, IERR )
*
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL)/EPSLN
DO 3959 p = 2, NR
DO 3958 q = 1, p - 1
TEMP1 = XSC * MIN(DABS(V(p,p)),DABS(V(q,q)))
IF ( DABS(V(q,p)) .LE. TEMP1 )
$ V(q,p) = DSIGN( TEMP1, V(q,p) )
3958 CONTINUE
3959 CONTINUE
END IF
*
IF ( NR .NE. N )
$ CALL DLACPY( 'A', N, NR, V, LDV, WORK(2*N+1), N )
* .. save ...
*
* .. this transposed copy should be better than naive
DO 1969 p = 1, NR - 1
CALL DCOPY( NR-p, V(p,p+1), LDV, V(p+1,p), 1 )
1969 CONTINUE
*
CONDR2 = CONDR1
*
ELSE
*
* .. ill-conditioned case: second QRF with pivoting
* Note that windowed pivoting would be equaly good
* numerically, and more run-time efficient. So, in
* an optimal implementation, the next call to DGEQP3
* should be replaced with eg. CALL SGEQPX (ACM TOMS #782)
* with properly (carefully) chosen parameters.
*
* R1^t * P2 = Q2 * R2
DO 3003 p = 1, NR
IWORK(N+p) = 0
3003 CONTINUE
CALL DGEQP3( N, NR, V, LDV, IWORK(N+1), WORK(N+1),
$ WORK(2*N+1), LWORK-2*N, IERR )
** CALL DGEQRF( N, NR, V, LDV, WORK(N+1), WORK(2*N+1),
** $ LWORK-2*N, IERR )
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL)
DO 3969 p = 2, NR
DO 3968 q = 1, p - 1
TEMP1 = XSC * MIN(DABS(V(p,p)),DABS(V(q,q)))
IF ( DABS(V(q,p)) .LE. TEMP1 )
$ V(q,p) = DSIGN( TEMP1, V(q,p) )
3968 CONTINUE
3969 CONTINUE
END IF
*
CALL DLACPY( 'A', N, NR, V, LDV, WORK(2*N+1), N )
*
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL)
DO 8970 p = 2, NR
DO 8971 q = 1, p - 1
TEMP1 = XSC * MIN(DABS(V(p,p)),DABS(V(q,q)))
V(p,q) = - DSIGN( TEMP1, V(q,p) )
8971 CONTINUE
8970 CONTINUE
ELSE
CALL DLASET( 'L',NR-1,NR-1,ZERO,ZERO,V(2,1),LDV )
END IF
* Now, compute R2 = L3 * Q3, the LQ factorization.
CALL DGELQF( NR, NR, V, LDV, WORK(2*N+N*NR+1),
$ WORK(2*N+N*NR+NR+1), LWORK-2*N-N*NR-NR, IERR )
* .. and estimate the condition number
CALL DLACPY( 'L',NR,NR,V,LDV,WORK(2*N+N*NR+NR+1),NR )
DO 4950 p = 1, NR
TEMP1 = DNRM2( p, WORK(2*N+N*NR+NR+p), NR )
CALL DSCAL( p, ONE/TEMP1, WORK(2*N+N*NR+NR+p), NR )
4950 CONTINUE
CALL DPOCON( 'L',NR,WORK(2*N+N*NR+NR+1),NR,ONE,TEMP1,
$ WORK(2*N+N*NR+NR+NR*NR+1),IWORK(M+2*N+1),IERR )
CONDR2 = ONE / DSQRT(TEMP1)
*
IF ( CONDR2 .GE. COND_OK ) THEN
* .. save the Householder vectors used for Q3
* (this overwrittes the copy of R2, as it will not be
* needed in this branch, but it does not overwritte the
* Huseholder vectors of Q2.).
CALL DLACPY( 'U', NR, NR, V, LDV, WORK(2*N+1), N )
* .. and the rest of the information on Q3 is in
* WORK(2*N+N*NR+1:2*N+N*NR+N)
END IF
*
END IF
*
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL)
DO 4968 q = 2, NR
TEMP1 = XSC * V(q,q)
DO 4969 p = 1, q - 1
* V(p,q) = - DSIGN( TEMP1, V(q,p) )
V(p,q) = - DSIGN( TEMP1, V(p,q) )
4969 CONTINUE
4968 CONTINUE
ELSE
CALL DLASET( 'U', NR-1,NR-1, ZERO,ZERO, V(1,2), LDV )
END IF
*
* Second preconditioning finished; continue with Jacobi SVD
* The input matrix is lower trinagular.
*
* Recover the right singular vectors as solution of a well
* conditioned triangular matrix equation.
*
IF ( CONDR1 .LT. COND_OK ) THEN
*
CALL DGESVJ( 'L','U','N',NR,NR,V,LDV,SVA,NR,U,
$ LDU,WORK(2*N+N*NR+NR+1),LWORK-2*N-N*NR-NR,INFO )
SCALEM = WORK(2*N+N*NR+NR+1)
NUMRANK = IDNINT(WORK(2*N+N*NR+NR+2))
DO 3970 p = 1, NR
CALL DCOPY( NR, V(1,p), 1, U(1,p), 1 )
CALL DSCAL( NR, SVA(p), V(1,p), 1 )
3970 CONTINUE
* .. pick the right matrix equation and solve it
*
IF ( NR .EQ. N ) THEN
* :)) .. best case, R1 is inverted. The solution of this matrix
* equation is Q2*V2 = the product of the Jacobi rotations
* used in DGESVJ, premultiplied with the orthogonal matrix
* from the second QR factorization.
CALL DTRSM( 'L','U','N','N', NR,NR,ONE, A,LDA, V,LDV )
ELSE
* .. R1 is well conditioned, but non-square. Transpose(R2)
* is inverted to get the product of the Jacobi rotations
* used in DGESVJ. The Q-factor from the second QR
* factorization is then built in explicitly.
CALL DTRSM('L','U','T','N',NR,NR,ONE,WORK(2*N+1),
$ N,V,LDV)
IF ( NR .LT. N ) THEN
CALL DLASET('A',N-NR,NR,ZERO,ZERO,V(NR+1,1),LDV)
CALL DLASET('A',NR,N-NR,ZERO,ZERO,V(1,NR+1),LDV)
CALL DLASET('A',N-NR,N-NR,ZERO,ONE,V(NR+1,NR+1),LDV)
END IF
CALL DORMQR('L','N',N,N,NR,WORK(2*N+1),N,WORK(N+1),
$ V,LDV,WORK(2*N+N*NR+NR+1),LWORK-2*N-N*NR-NR,IERR)
END IF
*
ELSE IF ( CONDR2 .LT. COND_OK ) THEN
*
* :) .. the input matrix A is very likely a relative of
* the Kahan matrix :)
* The matrix R2 is inverted. The solution of the matrix equation
* is Q3^T*V3 = the product of the Jacobi rotations (appplied to
* the lower triangular L3 from the LQ factorization of
* R2=L3*Q3), pre-multiplied with the transposed Q3.
CALL DGESVJ( 'L', 'U', 'N', NR, NR, V, LDV, SVA, NR, U,
$ LDU, WORK(2*N+N*NR+NR+1), LWORK-2*N-N*NR-NR, INFO )
SCALEM = WORK(2*N+N*NR+NR+1)
NUMRANK = IDNINT(WORK(2*N+N*NR+NR+2))
DO 3870 p = 1, NR
CALL DCOPY( NR, V(1,p), 1, U(1,p), 1 )
CALL DSCAL( NR, SVA(p), U(1,p), 1 )
3870 CONTINUE
CALL DTRSM('L','U','N','N',NR,NR,ONE,WORK(2*N+1),N,U,LDU)
* .. apply the permutation from the second QR factorization
DO 873 q = 1, NR
DO 872 p = 1, NR
WORK(2*N+N*NR+NR+IWORK(N+p)) = U(p,q)
872 CONTINUE
DO 874 p = 1, NR
U(p,q) = WORK(2*N+N*NR+NR+p)
874 CONTINUE
873 CONTINUE
IF ( NR .LT. N ) THEN
CALL DLASET( 'A',N-NR,NR,ZERO,ZERO,V(NR+1,1),LDV )
CALL DLASET( 'A',NR,N-NR,ZERO,ZERO,V(1,NR+1),LDV )
CALL DLASET( 'A',N-NR,N-NR,ZERO,ONE,V(NR+1,NR+1),LDV )
END IF
CALL DORMQR( 'L','N',N,N,NR,WORK(2*N+1),N,WORK(N+1),
$ V,LDV,WORK(2*N+N*NR+NR+1),LWORK-2*N-N*NR-NR,IERR )
ELSE
* Last line of defense.
* #:( This is a rather pathological case: no scaled condition
* improvement after two pivoted QR factorizations. Other
* possibility is that the rank revealing QR factorization
* or the condition estimator has failed, or the COND_OK
* is set very close to ONE (which is unnecessary). Normally,
* this branch should never be executed, but in rare cases of
* failure of the RRQR or condition estimator, the last line of
* defense ensures that DGEJSV completes the task.
* Compute the full SVD of L3 using DGESVJ with explicit
* accumulation of Jacobi rotations.
CALL DGESVJ( 'L', 'U', 'V', NR, NR, V, LDV, SVA, NR, U,
$ LDU, WORK(2*N+N*NR+NR+1), LWORK-2*N-N*NR-NR, INFO )
SCALEM = WORK(2*N+N*NR+NR+1)
NUMRANK = IDNINT(WORK(2*N+N*NR+NR+2))
IF ( NR .LT. N ) THEN
CALL DLASET( 'A',N-NR,NR,ZERO,ZERO,V(NR+1,1),LDV )
CALL DLASET( 'A',NR,N-NR,ZERO,ZERO,V(1,NR+1),LDV )
CALL DLASET( 'A',N-NR,N-NR,ZERO,ONE,V(NR+1,NR+1),LDV )
END IF
CALL DORMQR( 'L','N',N,N,NR,WORK(2*N+1),N,WORK(N+1),
$ V,LDV,WORK(2*N+N*NR+NR+1),LWORK-2*N-N*NR-NR,IERR )
*
CALL DORMLQ( 'L', 'T', NR, NR, NR, WORK(2*N+1), N,
$ WORK(2*N+N*NR+1), U, LDU, WORK(2*N+N*NR+NR+1),
$ LWORK-2*N-N*NR-NR, IERR )
DO 773 q = 1, NR
DO 772 p = 1, NR
WORK(2*N+N*NR+NR+IWORK(N+p)) = U(p,q)
772 CONTINUE
DO 774 p = 1, NR
U(p,q) = WORK(2*N+N*NR+NR+p)
774 CONTINUE
773 CONTINUE
*
END IF
*
* Permute the rows of V using the (column) permutation from the
* first QRF. Also, scale the columns to make them unit in
* Euclidean norm. This applies to all cases.
*
TEMP1 = DSQRT(DBLE(N)) * EPSLN
DO 1972 q = 1, N
DO 972 p = 1, N
WORK(2*N+N*NR+NR+IWORK(p)) = V(p,q)
972 CONTINUE
DO 973 p = 1, N
V(p,q) = WORK(2*N+N*NR+NR+p)
973 CONTINUE
XSC = ONE / DNRM2( N, V(1,q), 1 )
IF ( (XSC .LT. (ONE-TEMP1)) .OR. (XSC .GT. (ONE+TEMP1)) )
$ CALL DSCAL( N, XSC, V(1,q), 1 )
1972 CONTINUE
* At this moment, V contains the right singular vectors of A.
* Next, assemble the left singular vector matrix U (M x N).
IF ( NR .LT. M ) THEN
CALL DLASET( 'A', M-NR, NR, ZERO, ZERO, U(NR+1,1), LDU )
IF ( NR .LT. N1 ) THEN
CALL DLASET('A',NR,N1-NR,ZERO,ZERO,U(1,NR+1),LDU)
CALL DLASET('A',M-NR,N1-NR,ZERO,ONE,U(NR+1,NR+1),LDU)
END IF
END IF
*
* The Q matrix from the first QRF is built into the left singular
* matrix U. This applies to all cases.
*
CALL DORMQR( 'Left', 'No_Tr', M, N1, N, A, LDA, WORK, U,
$ LDU, WORK(N+1), LWORK-N, IERR )
* The columns of U are normalized. The cost is O(M*N) flops.
TEMP1 = DSQRT(DBLE(M)) * EPSLN
DO 1973 p = 1, NR
XSC = ONE / DNRM2( M, U(1,p), 1 )
IF ( (XSC .LT. (ONE-TEMP1)) .OR. (XSC .GT. (ONE+TEMP1)) )
$ CALL DSCAL( M, XSC, U(1,p), 1 )
1973 CONTINUE
*
* If the initial QRF is computed with row pivoting, the left
* singular vectors must be adjusted.
*
IF ( ROWPIV )
$ CALL DLASWP( N1, U, LDU, 1, M-1, IWORK(2*N+1), -1 )
*
ELSE
*
* .. the initial matrix A has almost orthogonal columns and
* the second QRF is not needed
*
CALL DLACPY( 'Upper', N, N, A, LDA, WORK(N+1), N )
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL)
DO 5970 p = 2, N
TEMP1 = XSC * WORK( N + (p-1)*N + p )
DO 5971 q = 1, p - 1
WORK(N+(q-1)*N+p)=-DSIGN(TEMP1,WORK(N+(p-1)*N+q))
5971 CONTINUE
5970 CONTINUE
ELSE
CALL DLASET( 'Lower',N-1,N-1,ZERO,ZERO,WORK(N+2),N )
END IF
*
CALL DGESVJ( 'Upper', 'U', 'N', N, N, WORK(N+1), N, SVA,
$ N, U, LDU, WORK(N+N*N+1), LWORK-N-N*N, INFO )
*
SCALEM = WORK(N+N*N+1)
NUMRANK = IDNINT(WORK(N+N*N+2))
DO 6970 p = 1, N
CALL DCOPY( N, WORK(N+(p-1)*N+1), 1, U(1,p), 1 )
CALL DSCAL( N, SVA(p), WORK(N+(p-1)*N+1), 1 )
6970 CONTINUE
*
CALL DTRSM( 'Left', 'Upper', 'NoTrans', 'No UD', N, N,
$ ONE, A, LDA, WORK(N+1), N )
DO 6972 p = 1, N
CALL DCOPY( N, WORK(N+p), N, V(IWORK(p),1), LDV )
6972 CONTINUE
TEMP1 = DSQRT(DBLE(N))*EPSLN
DO 6971 p = 1, N
XSC = ONE / DNRM2( N, V(1,p), 1 )
IF ( (XSC .LT. (ONE-TEMP1)) .OR. (XSC .GT. (ONE+TEMP1)) )
$ CALL DSCAL( N, XSC, V(1,p), 1 )
6971 CONTINUE
*
* Assemble the left singular vector matrix U (M x N).
*
IF ( N .LT. M ) THEN
CALL DLASET( 'A', M-N, N, ZERO, ZERO, U(N+1,1), LDU )
IF ( N .LT. N1 ) THEN
CALL DLASET( 'A',N, N1-N, ZERO, ZERO, U(1,N+1),LDU )
CALL DLASET( 'A',M-N,N1-N, ZERO, ONE,U(N+1,N+1),LDU )
END IF
END IF
CALL DORMQR( 'Left', 'No Tr', M, N1, N, A, LDA, WORK, U,
$ LDU, WORK(N+1), LWORK-N, IERR )
TEMP1 = DSQRT(DBLE(M))*EPSLN
DO 6973 p = 1, N1
XSC = ONE / DNRM2( M, U(1,p), 1 )
IF ( (XSC .LT. (ONE-TEMP1)) .OR. (XSC .GT. (ONE+TEMP1)) )
$ CALL DSCAL( M, XSC, U(1,p), 1 )
6973 CONTINUE
*
IF ( ROWPIV )
$ CALL DLASWP( N1, U, LDU, 1, M-1, IWORK(2*N+1), -1 )
*
END IF
*
* end of the >> almost orthogonal case << in the full SVD
*
ELSE
*
* This branch deploys a preconditioned Jacobi SVD with explicitly
* accumulated rotations. It is included as optional, mainly for
* experimental purposes. It does perfom well, and can also be used.
* In this implementation, this branch will be automatically activated
* if the condition number sigma_max(A) / sigma_min(A) is predicted
* to be greater than the overflow threshold. This is because the
* a posteriori computation of the singular vectors assumes robust
* implementation of BLAS and some LAPACK procedures, capable of working
* in presence of extreme values. Since that is not always the case, ...
*
DO 7968 p = 1, NR
CALL DCOPY( N-p+1, A(p,p), LDA, V(p,p), 1 )
7968 CONTINUE
*
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL/EPSLN)
DO 5969 q = 1, NR
TEMP1 = XSC*DABS( V(q,q) )
DO 5968 p = 1, N
IF ( ( p .GT. q ) .AND. ( DABS(V(p,q)) .LE. TEMP1 )
$ .OR. ( p .LT. q ) )
$ V(p,q) = DSIGN( TEMP1, V(p,q) )
IF ( p .LT. q ) V(p,q) = - V(p,q)
5968 CONTINUE
5969 CONTINUE
ELSE
CALL DLASET( 'U', NR-1, NR-1, ZERO, ZERO, V(1,2), LDV )
END IF
CALL DGEQRF( N, NR, V, LDV, WORK(N+1), WORK(2*N+1),
$ LWORK-2*N, IERR )
CALL DLACPY( 'L', N, NR, V, LDV, WORK(2*N+1), N )
*
DO 7969 p = 1, NR
CALL DCOPY( NR-p+1, V(p,p), LDV, U(p,p), 1 )
7969 CONTINUE
IF ( L2PERT ) THEN
XSC = DSQRT(SMALL/EPSLN)
DO 9970 q = 2, NR
DO 9971 p = 1, q - 1
TEMP1 = XSC * MIN(DABS(U(p,p)),DABS(U(q,q)))
U(p,q) = - DSIGN( TEMP1, U(q,p) )
9971 CONTINUE
9970 CONTINUE
ELSE
CALL DLASET('U', NR-1, NR-1, ZERO, ZERO, U(1,2), LDU )
END IF
CALL DGESVJ( 'G', 'U', 'V', NR, NR, U, LDU, SVA,
$ N, V, LDV, WORK(2*N+N*NR+1), LWORK-2*N-N*NR, INFO )
SCALEM = WORK(2*N+N*NR+1)
NUMRANK = IDNINT(WORK(2*N+N*NR+2))
IF ( NR .LT. N ) THEN
CALL DLASET( 'A',N-NR,NR,ZERO,ZERO,V(NR+1,1),LDV )
CALL DLASET( 'A',NR,N-NR,ZERO,ZERO,V(1,NR+1),LDV )
CALL DLASET( 'A',N-NR,N-NR,ZERO,ONE,V(NR+1,NR+1),LDV )
END IF
CALL DORMQR( 'L','N',N,N,NR,WORK(2*N+1),N,WORK(N+1),
$ V,LDV,WORK(2*N+N*NR+NR+1),LWORK-2*N-N*NR-NR,IERR )
*
* Permute the rows of V using the (column) permutation from the
* first QRF. Also, scale the columns to make them unit in
* Euclidean norm. This applies to all cases.
*
TEMP1 = DSQRT(DBLE(N)) * EPSLN
DO 7972 q = 1, N
DO 8972 p = 1, N
WORK(2*N+N*NR+NR+IWORK(p)) = V(p,q)
8972 CONTINUE
DO 8973 p = 1, N
V(p,q) = WORK(2*N+N*NR+NR+p)
8973 CONTINUE
XSC = ONE / DNRM2( N, V(1,q), 1 )
IF ( (XSC .LT. (ONE-TEMP1)) .OR. (XSC .GT. (ONE+TEMP1)) )
$ CALL DSCAL( N, XSC, V(1,q), 1 )
7972 CONTINUE
*
* At this moment, V contains the right singular vectors of A.
* Next, assemble the left singular vector matrix U (M x N).
*
IF ( NR .LT. M ) THEN
CALL DLASET( 'A', M-NR, NR, ZERO, ZERO, U(NR+1,1), LDU )
IF ( NR .LT. N1 ) THEN
CALL DLASET( 'A',NR, N1-NR, ZERO, ZERO, U(1,NR+1),LDU )
CALL DLASET( 'A',M-NR,N1-NR, ZERO, ONE,U(NR+1,NR+1),LDU )
END IF
END IF
*
CALL DORMQR( 'Left', 'No Tr', M, N1, N, A, LDA, WORK, U,
$ LDU, WORK(N+1), LWORK-N, IERR )
*
IF ( ROWPIV )
$ CALL DLASWP( N1, U, LDU, 1, M-1, IWORK(2*N+1), -1 )
*
*
END IF
IF ( TRANSP ) THEN
* .. swap U and V because the procedure worked on A^t
DO 6974 p = 1, N
CALL DSWAP( N, U(1,p), 1, V(1,p), 1 )
6974 CONTINUE
END IF
*
END IF
* end of the full SVD
*
* Undo scaling, if necessary (and possible)
*
IF ( USCAL2 .LE. (BIG/SVA(1))*USCAL1 ) THEN
CALL DLASCL( 'G', 0, 0, USCAL1, USCAL2, NR, 1, SVA, N, IERR )
USCAL1 = ONE
USCAL2 = ONE
END IF
*
IF ( NR .LT. N ) THEN
DO 3004 p = NR+1, N
SVA(p) = ZERO
3004 CONTINUE
END IF
*
WORK(1) = USCAL2 * SCALEM
WORK(2) = USCAL1
IF ( ERREST ) WORK(3) = SCONDA
IF ( LSVEC .AND. RSVEC ) THEN
WORK(4) = CONDR1
WORK(5) = CONDR2
END IF
IF ( L2TRAN ) THEN
WORK(6) = ENTRA
WORK(7) = ENTRAT
END IF
*
IWORK(1) = NR
IWORK(2) = NUMRANK
IWORK(3) = WARNING
*
RETURN
* ..
* .. END OF DGEJSV
* ..
END
*
|