CTGSEN(3S)CTGSEN(3S)NAMECTGSEN - reorder the generalized Schur decomposition of a complex matrix
pair (A, B) (in terms of an unitary equivalence trans- formation Q' * (A,
B) * Z), so that a selected cluster of eigenvalues appears in the leading
diagonal blocks of the pair (A,B)
SYNOPSIS
SUBROUTINE CTGSEN( IJOB, WANTQ, WANTZ, SELECT, N, A, LDA, B, LDB, ALPHA,
BETA, Q, LDQ, Z, LDZ, M, PL, PR, DIF, WORK, LWORK,
IWORK, LIWORK, INFO )
LOGICAL WANTQ, WANTZ
INTEGER IJOB, INFO, LDA, LDB, LDQ, LDZ, LIWORK, LWORK, M, N
REAL PL, PR
LOGICAL SELECT( * )
INTEGER IWORK( * )
REAL DIF( * )
COMPLEX A( LDA, * ), ALPHA( * ), B( LDB, * ), BETA( * ), Q(
LDQ, * ), WORK( * ), Z( LDZ, * )
IMPLEMENTATION
These routines are part of the SCSL Scientific Library and can be loaded
using either the -lscs or the -lscs_mp option. The -lscs_mp option
directs the linker to use the multi-processor version of the library.
When linking to SCSL with -lscs or -lscs_mp, the default integer size is
4 bytes (32 bits). Another version of SCSL is available in which integers
are 8 bytes (64 bits). This version allows the user access to larger
memory sizes and helps when porting legacy Cray codes. It can be loaded
by using the -lscs_i8 option or the -lscs_i8_mp option. A program may use
only one of the two versions; 4-byte integer and 8-byte integer library
calls cannot be mixed.
PURPOSECTGSEN reorders the generalized Schur decomposition of a complex matrix
pair (A, B) (in terms of an unitary equivalence trans- formation Q' * (A,
B) * Z), so that a selected cluster of eigenvalues appears in the leading
diagonal blocks of the pair (A,B). The leading columns of Q and Z form
unitary bases of the corresponding left and right eigenspaces (deflating
subspaces). (A, B) must be in generalized Schur canonical form, that is,
A and B are both upper triangular.
CTGSEN also computes the generalized eigenvalues
w(j)= ALPHA(j) / BETA(j)
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of the reordered matrix pair (A, B).
Optionally, the routine computes estimates of reciprocal condition
numbers for eigenvalues and eigenspaces. These are Difu[(A11,B11),
(A22,B22)] and Difl[(A11,B11), (A22,B22)], i.e. the separation(s) between
the matrix pairs (A11, B11) and (A22,B22) that correspond to the selected
cluster and the eigenvalues outside the cluster, resp., and norms of
"projections" onto left and right eigenspaces w.r.t. the selected
cluster in the (1,1)-block.
ARGUMENTS
IJOB (input) integer
Specifies whether condition numbers are required for the cluster
of eigenvalues (PL and PR) or the deflating subspaces (Difu and
Difl):
=0: Only reorder w.r.t. SELECT. No extras.
=1: Reciprocal of norms of "projections" onto left and right
eigenspaces w.r.t. the selected cluster (PL and PR). =2: Upper
bounds on Difu and Difl. F-norm-based estimate
(DIF(1:2)).
=3: Estimate of Difu and Difl. 1-norm-based estimate
(DIF(1:2)). About 5 times as expensive as IJOB = 2. =4: Compute
PL, PR and DIF (i.e. 0, 1 and 2 above): Economic version to get
it all. =5: Compute PL, PR and DIF (i.e. 0, 1 and 3 above)
WANTQ (input) LOGICAL
WANTZ (input) LOGICAL
SELECT (input) LOGICAL array, dimension (N)
SELECT specifies the eigenvalues in the selected cluster. To
select an eigenvalue w(j), SELECT(j) must be set to
N (input) INTEGER
The order of the matrices A and B. N >= 0.
A (input/output) COMPLEX array, dimension(LDA,N)
On entry, the upper triangular matrix A, in generalized Schur
canonical form. On exit, A is overwritten by the reordered
matrix A.
LDA (input) INTEGER
The leading dimension of the array A. LDA >= max(1,N).
B (input/output) COMPLEX array, dimension(LDB,N)
On entry, the upper triangular matrix B, in generalized Schur
canonical form. On exit, B is overwritten by the reordered
matrix B.
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LDB (input) INTEGER
The leading dimension of the array B. LDB >= max(1,N).
ALPHA (output) COMPLEX array, dimension (N)
BETA (output) COMPLEX array, dimension (N) The diagonal
elements of A and B, respectively, when the pair (A,B) has been
reduced to generalized Schur form. ALPHA(i)/BETA(i) i=1,...,N
are the generalized eigenvalues.
Q (input/output) COMPLEX array, dimension (LDQ,N)
On entry, if WANTQ = .TRUE., Q is an N-by-N matrix. On exit, Q
has been postmultiplied by the left unitary transformation matrix
which reorder (A, B); The leading M columns of Q form orthonormal
bases for the specified pair of left eigenspaces (deflating
subspaces). If WANTQ = .FALSE., Q is not referenced.
LDQ (input) INTEGER
The leading dimension of the array Q. LDQ >= 1. If WANTQ =
.TRUE., LDQ >= N.
Z (input/output) COMPLEX array, dimension (LDZ,N)
On entry, if WANTZ = .TRUE., Z is an N-by-N matrix. On exit, Z
has been postmultiplied by the left unitary transformation matrix
which reorder (A, B); The leading M columns of Z form orthonormal
bases for the specified pair of left eigenspaces (deflating
subspaces). If WANTZ = .FALSE., Z is not referenced.
LDZ (input) INTEGER
The leading dimension of the array Z. LDZ >= 1. If WANTZ =
.TRUE., LDZ >= N.
M (output) INTEGER
The dimension of the specified pair of left and right
eigenspaces, (deflating subspaces) 0 <= M <= N.
PL, PR (output) REAL If IJOB = 1, 4 or 5, PL, PR are lower
bounds on the reciprocal of the norm of "projections" onto left
and right eigenspace with respect to the selected cluster. 0 <
PL, PR <= 1. If M = 0 or M = N, PL = PR = 1. If IJOB = 0, 2 or
3 PL, PR are not referenced.
DIF (output) REAL array, dimension (2).
If IJOB >= 2, DIF(1:2) store the estimates of Difu and Difl.
If IJOB = 2 or 4, DIF(1:2) are F-norm-based upper bounds on
Difu and Difl. If IJOB = 3 or 5, DIF(1:2) are 1-norm-based
estimates of Difu and Difl, computed using reversed communication
with CLACON. If M = 0 or N, DIF(1:2) = F-norm([A, B]). If IJOB
= 0 or 1, DIF is not referenced.
WORK (workspace/output) COMPLEX array, dimension (LWORK)
IF IJOB = 0, WORK is not referenced. Otherwise, on exit, if INFO
= 0, WORK(1) returns the optimal LWORK.
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LWORK (input) INTEGER
The dimension of the array WORK. LWORK >= 1 If IJOB = 1, 2 or 4,
LWORK >= 2*M*(N-M) If IJOB = 3 or 5, LWORK >= 4*M*(N-M)
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.
IWORK (workspace/output) INTEGER array, dimension (LIWORK)
IF IJOB = 0, IWORK is not referenced. Otherwise, on exit, if
INFO = 0, IWORK(1) returns the optimal LIWORK.
LIWORK (input) INTEGER
The dimension of the array IWORK. LIWORK >= 1. If IJOB = 1, 2 or
4, LIWORK >= N+2; If IJOB = 3 or 5, LIWORK >= MAX(N+2, 2*M*(N-
M));
If LIWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the IWORK array, returns this
value as the first entry of the IWORK array, and no error message
related to LIWORK is issued by XERBLA.
INFO (output) INTEGER
=0: Successful exit.
<0: If INFO = -i, the i-th argument had an illegal value.
=1: Reordering of (A, B) failed because the transformed matrix
pair (A, B) would be too far from generalized Schur form; the
problem is very ill-conditioned. (A, B) may have been partially
reordered. If requested, 0 is returned in DIF(*), PL and PR.
FURTHER DETAILSCTGSEN first collects the selected eigenvalues by computing unitary U and
W that move them to the top left corner of (A, B). In other words, the
selected eigenvalues are the eigenvalues of (A11, B11) in
U'*(A, B)*W = (A11 A12) (B11 B12) n1
( 0 A22),( 0 B22) n2
n1 n2 n1 n2
where N = n1+n2 and U' means the conjugate transpose of U. The first n1
columns of U and W span the specified pair of left and right eigenspaces
(deflating subspaces) of (A, B).
If (A, B) has been obtained from the generalized real Schur decomposition
of a matrix pair (C, D) = Q*(A, B)*Z', then the reordered generalized
Schur form of (C, D) is given by
(C, D) = (Q*U)*(U'*(A, B)*W)*(Z*W)',
and the first n1 columns of Q*U and Z*W span the corresponding deflating
subspaces of (C, D) (Q and Z store Q*U and Z*W, resp.).
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Note that if the selected eigenvalue is sufficiently ill-conditioned,
then its value may differ significantly from its value before reordering.
The reciprocal condition numbers of the left and right eigenspaces
spanned by the first n1 columns of U and W (or Q*U and Z*W) may be
returned in DIF(1:2), corresponding to Difu and Difl, resp.
The Difu and Difl are defined as:
Difu[(A11, B11), (A22, B22)] = sigma-min( Zu )
and
Difl[(A11, B11), (A22, B22)] = Difu[(A22, B22), (A11, B11)],
where sigma-min(Zu) is the smallest singular value of the (2*n1*n2)-by-
(2*n1*n2) matrix
Zu = [ kron(In2, A11) -kron(A22', In1) ]
[ kron(In2, B11) -kron(B22', In1) ].
Here, Inx is the identity matrix of size nx and A22' is the transpose of
A22. kron(X, Y) is the Kronecker product between the matrices X and Y.
When DIF(2) is small, small changes in (A, B) can cause large changes in
the deflating subspace. An approximate (asymptotic) bound on the maximum
angular error in the computed deflating subspaces is
EPS * norm((A, B)) / DIF(2),
where EPS is the machine precision.
The reciprocal norm of the projectors on the left and right eigenspaces
associated with (A11, B11) may be returned in PL and PR. They are
computed as follows. First we compute L and R so that P*(A, B)*Q is block
diagonal, where
P = ( I -L ) n1 Q = ( I R ) n1
( 0 I ) n2 and ( 0 I ) n2
n1 n2 n1 n2
and (L, R) is the solution to the generalized Sylvester equation
A11*R - L*A22 = -A12
B11*R - L*B22 = -B12
Then PL = (F-norm(L)**2+1)**(-1/2) and PR = (F-norm(R)**2+1)**(-1/2). An
approximate (asymptotic) bound on the average absolute error of the
selected eigenvalues is
EPS * norm((A, B)) / PL.
There are also global error bounds which valid for perturbations up to a
certain restriction: A lower bound (x) on the smallest F-norm(E,F) for
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which an eigenvalue of (A11, B11) may move and coalesce with an
eigenvalue of (A22, B22) under perturbation (E,F), (i.e. (A + E, B + F),
is
x = min(Difu,Difl)/((1/(PL*PL)+1/(PR*PR))**(1/2)+2*max(1/PL,1/PR)).
An approximate bound on x can be computed from DIF(1:2), PL and PR.
If y = ( F-norm(E,F) / x) <= 1, the angles between the perturbed (L', R')
and unperturbed (L, R) left and right deflating subspaces associated with
the selected cluster in the (1,1)-blocks can be bounded as
max-angle(L, L') <= arctan( y * PL / (1 - y * (1 - PL * PL)**(1/2))
max-angle(R, R') <= arctan( y * PR / (1 - y * (1 - PR * PR)**(1/2))
See LAPACK User's Guide section 4.11 or the following references for more
information.
Note that if the default method for computing the Frobenius-norm- based
estimate DIF is not wanted (see CLATDF), then the parameter IDIFJB (see
below) should be changed from 3 to 4 (routine CLATDF (IJOB = 2 will be
used)). See CTGSYL for more details.
Based on contributions by
Bo Kagstrom and Peter Poromaa, Department of Computing Science,
Umea University, S-901 87 Umea, Sweden.
References
==========
[1] B. Kagstrom; A Direct Method for Reordering Eigenvalues in the
Generalized Real Schur Form of a Regular Matrix Pair (A, B), in
M.S. Moonen et al (eds), Linear Algebra for Large Scale and
Real-Time Applications, Kluwer Academic Publ. 1993, pp 195-218.
[2] B. Kagstrom and P. Poromaa; Computing Eigenspaces with Specified
Eigenvalues of a Regular Matrix Pair (A, B) and Condition
Estimation: Theory, Algorithms and Software, Report
UMINF - 94.04, Department of Computing Science, Umea University,
S-901 87 Umea, Sweden, 1994. Also as LAPACK Working Note 87.
To appear in Numerical Algorithms, 1996.
[3] B. Kagstrom and P. Poromaa, LAPACK-Style Algorithms and Software
for Solving the Generalized Sylvester Equation and Estimating the
Separation between Regular Matrix Pairs, Report UMINF - 93.23,
Department of Computing Science, Umea University, S-901 87 Umea,
Sweden, December 1993, Revised April 1994, Also as LAPACK working
Note 75. To appear in ACM Trans. on Math. Software, Vol 22, No 1,
1996.
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CTGSEN(3S)CTGSEN(3S)SEE ALSOINTRO_LAPACK(3S), INTRO_SCSL(3S)
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