Ctgsna.f -
subroutine ctgsna (JOB, HOWMNY, SELECT, N, A, LDA, B, LDB, VL, LDVL, VR, LDVR, S, DIF, MM, M, WORK, LWORK, IWORK, INFO)
CTGSNA
CTGSNA
Purpose:
CTGSNA estimates reciprocal condition numbers for specified eigenvalues and/or eigenvectors of a matrix pair (A, B). (A, B) must be in generalized Schur canonical form, that is, A and B are both upper triangular.
Parameters:
JOB
JOB is CHARACTER*1
Specifies whether condition numbers are required for
eigenvalues (S) or eigenvectors (DIF):
= 'E': for eigenvalues only (S);
= 'V': for eigenvectors only (DIF);
= 'B': for both eigenvalues and eigenvectors (S and DIF).
HOWMNY
HOWMNY is CHARACTER*1
= 'A': compute condition numbers for all eigenpairs;
= 'S': compute condition numbers for selected eigenpairs
specified by the array SELECT.
SELECT
SELECT is LOGICAL array, dimension (N)
If HOWMNY = 'S', SELECT specifies the eigenpairs for which
condition numbers are required. To select condition numbers
for the corresponding j-th eigenvalue and/or eigenvector,
SELECT(j) must be set to .TRUE..
If HOWMNY = 'A', SELECT is not referenced.
N
N is INTEGER
The order of the square matrix pair (A, B). N >= 0.
A
A is COMPLEX array, dimension (LDA,N)
The upper triangular matrix A in the pair (A,B).
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,N).
B
B is COMPLEX array, dimension (LDB,N)
The upper triangular matrix B in the pair (A, B).
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,N).
VL
VL is COMPLEX array, dimension (LDVL,M)
IF JOB = 'E' or 'B', VL must contain left eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VL, as returned by CTGEVC.
If JOB = 'V', VL is not referenced.
LDVL
LDVL is INTEGER
The leading dimension of the array VL. LDVL >= 1; and
If JOB = 'E' or 'B', LDVL >= N.
VR
VR is COMPLEX array, dimension (LDVR,M)
IF JOB = 'E' or 'B', VR must contain right eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VR, as returned by CTGEVC.
If JOB = 'V', VR is not referenced.
LDVR
LDVR is INTEGER
The leading dimension of the array VR. LDVR >= 1;
If JOB = 'E' or 'B', LDVR >= N.
S
S is REAL array, dimension (MM)
If JOB = 'E' or 'B', the reciprocal condition numbers of the
selected eigenvalues, stored in consecutive elements of the
array.
If JOB = 'V', S is not referenced.
DIF
DIF is REAL array, dimension (MM)
If JOB = 'V' or 'B', the estimated reciprocal condition
numbers of the selected eigenvectors, stored in consecutive
elements of the array.
If the eigenvalues cannot be reordered to compute DIF(j),
DIF(j) is set to 0; this can only occur when the true value
would be very small anyway.
For each eigenvalue/vector specified by SELECT, DIF stores
a Frobenius norm-based estimate of Difl.
If JOB = 'E', DIF is not referenced.
MM
MM is INTEGER
The number of elements in the arrays S and DIF. MM >= M.
M
M is INTEGER
The number of elements of the arrays S and DIF used to store
the specified condition numbers; for each selected eigenvalue
one element is used. If HOWMNY = 'A', M is set to N.
WORK
WORK is COMPLEX array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK. LWORK >= max(1,N).
If JOB = 'V' or 'B', LWORK >= max(1,2*N*N).
IWORK
IWORK is INTEGER array, dimension (N+2)
If JOB = 'E', IWORK is not referenced.
INFO
INFO is INTEGER
= 0: Successful exit
< 0: If INFO = -i, the i-th argument had an illegal value
Author:
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Date:
November 2011
Further Details:
The reciprocal of the condition number of the i-th generalized
eigenvalue w = (a, b) is defined as
S(I) = (|v**HAu|**2 + |v**HBu|**2)**(1/2) / (norm(u)*norm(v))
where u and v are the right and left eigenvectors of (A, B)
corresponding to w; |z| denotes the absolute value of the complex
number, and norm(u) denotes the 2-norm of the vector u. The pair
(a, b) corresponds to an eigenvalue w = a/b (= v**HAu/v**HBu) of the
matrix pair (A, B). If both a and b equal zero, then (A,B) is
singular and S(I) = -1 is returned.
An approximate error bound on the chordal distance between the i-th
computed generalized eigenvalue w and the corresponding exact
eigenvalue lambda is
chord(w, lambda) <= EPS * norm(A, B) / S(I),
where EPS is the machine precision.
The reciprocal of the condition number of the right eigenvector u
and left eigenvector v corresponding to the generalized eigenvalue w
is defined as follows. Suppose
(A, B) = ( a * ) ( b * ) 1
( 0 A22 ),( 0 B22 ) n-1
1 n-1 1 n-1
Then the reciprocal condition number DIF(I) is
Difl[(a, b), (A22, B22)] = sigma-min( Zl )
where sigma-min(Zl) denotes the smallest singular value of
Zl = [ kron(a, In-1) -kron(1, A22) ]
[ kron(b, In-1) -kron(1, B22) ].
Here In-1 is the identity matrix of size n-1 and X**H is the conjugate
transpose of X. kron(X, Y) is the Kronecker product between the
matrices X and Y.
We approximate the smallest singular value of Zl with an upper
bound. This is done by CLATDF.
An approximate error bound for a computed eigenvector VL(i) or
VR(i) is given by
EPS * norm(A, B) / DIF(i).
See ref. [2-3] for more details and further references.
Contributors:
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.
Definition at line 310 of file ctgsna.f.
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