NAG Library Function Document
nag_dggrqf (f08zfc)
1
Purpose
nag_dggrqf (f08zfc) computes a generalized factorization of a real matrix pair , where is an by matrix and is a by matrix.
2
Specification
#include <nag.h> |
#include <nagf08.h> |
void |
nag_dggrqf (Nag_OrderType order,
Integer m,
Integer p,
Integer n,
double a[],
Integer pda,
double taua[],
double b[],
Integer pdb,
double taub[],
NagError *fail) |
|
3
Description
nag_dggrqf (f08zfc) forms the generalized
factorization of an
by
matrix
and a
by
matrix
where
is an
by
orthogonal matrix,
is a
by
orthogonal matrix and
and
are of the form
with
or
upper triangular,
with
upper triangular.
In particular, if
is square and nonsingular, the generalized
factorization of
and
implicitly gives the
factorization of
as
4
References
Anderson E, Bai Z, Bischof C, Blackford S, Demmel J, Dongarra J J, Du Croz J J, Greenbaum A, Hammarling S, McKenney A and Sorensen D (1999)
LAPACK Users' Guide (3rd Edition) SIAM, Philadelphia
http://www.netlib.org/lapack/lug
Anderson E, Bai Z and Dongarra J (1992) Generalized QR factorization and its applications Linear Algebra Appl. (Volume 162–164) 243–271
Hammarling S (1987) The numerical solution of the general Gauss-Markov linear model Mathematics in Signal Processing (eds T S Durrani, J B Abbiss, J E Hudson, R N Madan, J G McWhirter and T A Moore) 441–456 Oxford University Press
Paige C C (1990) Some aspects of generalized factorizations . In Reliable Numerical Computation (eds M G Cox and S Hammarling) 73–91 Oxford University Press
5
Arguments
- 1:
– Nag_OrderTypeInput
-
On entry: the
order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by
. See
Section 3.3.1.3 in How to Use the NAG Library and its Documentation for a more detailed explanation of the use of this argument.
Constraint:
or .
- 2:
– IntegerInput
-
On entry: , the number of rows of the matrix .
Constraint:
.
- 3:
– IntegerInput
-
On entry: , the number of rows of the matrix .
Constraint:
.
- 4:
– IntegerInput
-
On entry: , the number of columns of the matrices and .
Constraint:
.
- 5:
– doubleInput/Output
-
Note: the dimension,
dim, of the array
a
must be at least
- when
;
- when
.
Where
appears in this document, it refers to the array element
- when ;
- when .
On entry: the by matrix .
On exit: if
, the upper triangle of the subarray
contains the
by
upper triangular matrix
.
If
, the elements on and above the
th subdiagonal contain the
by
upper trapezoidal matrix
; the remaining elements, with the array
taua, represent the orthogonal matrix
as a product of
elementary reflectors (see
Section 3.3.6 in the f08 Chapter Introduction).
- 6:
– IntegerInput
-
On entry: the stride separating row or column elements (depending on the value of
order) in the array
a.
Constraints:
- if ,
;
- if , .
- 7:
– doubleOutput
-
On exit: the scalar factors of the elementary reflectors which represent the orthogonal matrix .
- 8:
– doubleInput/Output
-
Note: the dimension,
dim, of the array
b
must be at least
- when
;
- when
.
The
th element of the matrix
is stored in
- when ;
- when .
On entry: the by matrix .
On exit: the elements on and above the diagonal of the array contain the
by
upper trapezoidal matrix
(
is upper triangular if
); the elements below the diagonal, with the array
taub, represent the orthogonal matrix
as a product of elementary reflectors (see
Section 3.3.6 in the f08 Chapter Introduction).
- 9:
– IntegerInput
-
On entry: the stride separating row or column elements (depending on the value of
order) in the array
b.
Constraints:
- if ,
;
- if , .
- 10:
– doubleOutput
-
On exit: the scalar factors of the elementary reflectors which represent the orthogonal matrix .
- 11:
– NagError *Input/Output
-
The NAG error argument (see
Section 3.7 in How to Use the NAG Library and its Documentation).
6
Error Indicators and Warnings
- NE_ALLOC_FAIL
-
Dynamic memory allocation failed.
See
Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_INT
-
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
- NE_INT_2
-
On entry, and .
Constraint: .
On entry, and .
Constraint: .
On entry, and .
Constraint: .
On entry, and .
Constraint: .
- NE_INTERNAL_ERROR
-
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
See
Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
- NE_NO_LICENCE
-
Your licence key may have expired or may not have been installed correctly.
See
Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
7
Accuracy
The computed generalized
factorization is the exact factorization for nearby matrices
and
, where
and
is the
machine precision.
8
Parallelism and Performance
nag_dggrqf (f08zfc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_dggrqf (f08zfc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the
x06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the
Users' Note for your implementation for any additional implementation-specific information.
The orthogonal matrices
and
may be formed explicitly by calls to
nag_dorgrq (f08cjc) and
nag_dorgqr (f08afc) respectively.
nag_dormrq (f08ckc) may be used to multiply
by another matrix and
nag_dormqr (f08agc) may be used to multiply
by another matrix.
The complex analogue of this function is
nag_zggrqf (f08ztc).
10
Example
This example solves the least squares problem
where
The constraints
correspond to
and
.
The solution is obtained by first computing a generalized factorization of the matrix pair . The example illustrates the general solution process.
10.1
Program Text
Program Text (f08zfce.c)
10.2
Program Data
Program Data (f08zfce.d)
10.3
Program Results
Program Results (f08zfce.r)