F08XCF (DGGES3) (PDF version)
F08 Chapter Contents
F08 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

F08XCF (DGGES3)

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

 Contents

    1  Purpose
    7  Accuracy

1  Purpose

F08XCF (DGGES3) computes the generalized eigenvalues, the generalized real Schur form S,T  and, optionally, the left and/or right generalized Schur vectors for a pair of n by n real nonsymmetric matrices A,B .

2  Specification

SUBROUTINE F08XCF ( JOBVSL, JOBVSR, SORT, SELCTG, N, A, LDA, B, LDB, SDIM, ALPHAR, ALPHAI, BETA, VSL, LDVSL, VSR, LDVSR, WORK, LWORK, BWORK, INFO)
INTEGER  N, LDA, LDB, SDIM, LDVSL, LDVSR, LWORK, INFO
REAL (KIND=nag_wp)  A(LDA,*), B(LDB,*), ALPHAR(N), ALPHAI(N), BETA(N), VSL(LDVSL,*), VSR(LDVSR,*), WORK(max(1,LWORK))
LOGICAL  SELCTG, BWORK(*)
CHARACTER(1)  JOBVSL, JOBVSR, SORT
EXTERNAL  SELCTG
The routine may be called by its LAPACK name dgges3.

3  Description

The generalized Schur factorization for a pair of real matrices A,B  is given by
A = QSZT ,   B = QTZT ,  
where Q and Z are orthogonal, T is upper triangular and S is upper quasi-triangular with 1 by 1 and 2 by 2 diagonal blocks. The generalized eigenvalues, λ , of A,B  are computed from the diagonals of S and T and satisfy
Az = λBz ,  
where z is the corresponding generalized eigenvector. λ  is actually returned as the pair α,β  such that
λ = α/β  
since β , or even both α  and β  can be zero. The columns of Q and Z are the left and right generalized Schur vectors of A,B .
Optionally, F08XCF (DGGES3) can order the generalized eigenvalues on the diagonals of S,T  so that selected eigenvalues are at the top left. The leading columns of Q and Z then form an orthonormal basis for the corresponding eigenspaces, the deflating subspaces.
F08XCF (DGGES3) computes T to have non-negative diagonal elements, and the 2 by 2 blocks of S correspond to complex conjugate pairs of generalized eigenvalues. The generalized Schur factorization, before reordering, is computed by the QZ algorithm.

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
Golub G H and Van Loan C F (2012) Matrix Computations (4th Edition) Johns Hopkins University Press, Baltimore

5  Arguments

1:     JOBVSL – CHARACTER(1)Input
On entry: if JOBVSL='N', do not compute the left Schur vectors.
If JOBVSL='V', compute the left Schur vectors.
Constraint: JOBVSL='N' or 'V'.
2:     JOBVSR – CHARACTER(1)Input
On entry: if JOBVSR='N', do not compute the right Schur vectors.
If JOBVSR='V', compute the right Schur vectors.
Constraint: JOBVSR='N' or 'V'.
3:     SORT – CHARACTER(1)Input
On entry: specifies whether or not to order the eigenvalues on the diagonal of the generalized Schur form.
SORT='N'
Eigenvalues are not ordered.
SORT='S'
Eigenvalues are ordered (see SELCTG).
Constraint: SORT='N' or 'S'.
4:     SELCTG – LOGICAL FUNCTION, supplied by the user.External Procedure
If SORT='S', SELCTG is used to select generalized eigenvalues to be moved to the top left of the generalized Schur form.
If SORT='N', SELCTG is not referenced by F08XCF (DGGES3), and may be called with the dummy function F08XAZ.
The specification of SELCTG is:
FUNCTION SELCTG ( AR, AI, B)
LOGICAL SELCTG
REAL (KIND=nag_wp)  AR, AI, B
1:     AR – REAL (KIND=nag_wp)Input
2:     AI – REAL (KIND=nag_wp)Input
3:     B – REAL (KIND=nag_wp)Input
On entry: an eigenvalue ARj + -1 × AIj / Bj  is selected if SELCTG ARj,AIj,Bj=.TRUE. . If either one of a complex conjugate pair is selected, then both complex generalized eigenvalues are selected.
Note that in the ill-conditioned case, a selected complex generalized eigenvalue may no longer satisfy SELCTG ARj,AIj,Bj=.TRUE.  after ordering. INFO=N+2 in this case.
SELCTG must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which F08XCF (DGGES3) is called. Arguments denoted as Input must not be changed by this procedure.
5:     N – INTEGERInput
On entry: n, the order of the matrices A and B.
Constraint: N0.
6:     ALDA* – REAL (KIND=nag_wp) arrayInput/Output
Note: the second dimension of the array A must be at least max1,N.
On entry: the first of the pair of matrices, A.
On exit: A has been overwritten by its generalized Schur form S.
7:     LDA – INTEGERInput
On entry: the first dimension of the array A as declared in the (sub)program from which F08XCF (DGGES3) is called.
Constraint: LDAmax1,N.
8:     BLDB* – REAL (KIND=nag_wp) arrayInput/Output
Note: the second dimension of the array B must be at least max1,N.
On entry: the second of the pair of matrices, B.
On exit: B has been overwritten by its generalized Schur form T.
9:     LDB – INTEGERInput
On entry: the first dimension of the array B as declared in the (sub)program from which F08XCF (DGGES3) is called.
Constraint: LDBmax1,N.
10:   SDIM – INTEGEROutput
On exit: if SORT='N', SDIM=0.
If SORT='S', SDIM= number of eigenvalues (after sorting) for which SELCTG is .TRUE.. (Complex conjugate pairs for which SELCTG is .TRUE. for either eigenvalue count as 2.)
11:   ALPHARN – REAL (KIND=nag_wp) arrayOutput
On exit: see the description of BETA.
12:   ALPHAIN – REAL (KIND=nag_wp) arrayOutput
On exit: see the description of BETA.
13:   BETAN – REAL (KIND=nag_wp) arrayOutput
On exit: ALPHARj+ALPHAIj×i/BETAj, for j=1,2,,N, will be the generalized eigenvalues. ALPHARj+ALPHAIj×i, and BETAj, for j=1,2,,N, are the diagonals of the complex Schur form S,T that would result if the 2 by 2 diagonal blocks of the real Schur form of A,B were further reduced to triangular form using 2 by 2 complex unitary transformations.
If ALPHAIj is zero, then the jth eigenvalue is real; if positive, then the jth and j+1st eigenvalues are a complex conjugate pair, with ALPHAIj+1 negative.
Note:  the quotients ALPHARj/BETAj and ALPHAIj/BETAj may easily overflow or underflow, and BETAj may even be zero. Thus, you should avoid naively computing the ratio α/β. However, ALPHAR and ALPHAI will always be less than and usually comparable with A2 in magnitude, and BETA will always be less than and usually comparable with B2.
14:   VSLLDVSL* – REAL (KIND=nag_wp) arrayOutput
Note: the second dimension of the array VSL must be at least max1,N if JOBVSL='V', and at least 1 otherwise.
On exit: if JOBVSL='V', VSL will contain the left Schur vectors, Q.
If JOBVSL='N', VSL is not referenced.
15:   LDVSL – INTEGERInput
On entry: the first dimension of the array VSL as declared in the (sub)program from which F08XCF (DGGES3) is called.
Constraints:
  • if JOBVSL='V', LDVSL max1,N ;
  • otherwise LDVSL1.
16:   VSRLDVSR* – REAL (KIND=nag_wp) arrayOutput
Note: the second dimension of the array VSR must be at least max1,N if JOBVSR='V', and at least 1 otherwise.
On exit: if JOBVSR='V', VSR will contain the right Schur vectors, Z.
If JOBVSR='N', VSR is not referenced.
17:   LDVSR – INTEGERInput
On entry: the first dimension of the array VSR as declared in the (sub)program from which F08XCF (DGGES3) is called.
Constraints:
  • if JOBVSR='V', LDVSR max1,N ;
  • otherwise LDVSR1.
18:   WORKmax1,LWORK – REAL (KIND=nag_wp) arrayWorkspace
On exit: if INFO=0, WORK1 contains the minimum value of LWORK required for optimal performance.
19:   LWORK – INTEGERInput
On entry: the dimension of the array WORK as declared in the (sub)program from which F08XCF (DGGES3) is called.
If LWORK=-1, 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.
Suggested value: for optimal performance, LWORK must generally be larger than the mimimum; add, say nb×N×6, where nb is the optimal block size.
Constraints:
  • if N=0, LWORK1;
  • otherwise LWORK max8×N,6×N+16 .
20:   BWORK* – LOGICAL arrayWorkspace
Note: the dimension of the array BWORK must be at least 1 if SORT='N', and at least max1,N otherwise.
If SORT='N', BWORK is not referenced.
21:   INFO – INTEGEROutput
On exit: INFO=0 unless the routine detects an error (see Section 6).

6  Error Indicators and Warnings

INFO<0
If INFO=-i, argument i had an illegal value. An explanatory message is output, and execution of the program is terminated.
INFO=1toN
The QZ iteration failed. No eigenvectors have been calculated but ALPHARj, ALPHAIj and BETAj should be correct from element value.
INFO=N+1
The QZ iteration failed with an unexpected error, please contact NAG.
INFO=N+2
After reordering, roundoff changed values of some complex eigenvalues so that leading eigenvalues in the generalized Schur form no longer satisfy SELCTG=.TRUE.. This could also be caused by underflow due to scaling.
INFO=N+3
The eigenvalues could not be reordered because some eigenvalues were too close to separate (the problem is very ill-conditioned).

7  Accuracy

The computed generalized Schur factorization satisfies
A+E = QS ZT ,   B+F = QT ZT ,  
where
E,F F = Oε A,B F  
and ε is the machine precision. See Section 4.11 of Anderson et al. (1999) for further details.

8  Parallelism and Performance

F08XCF (DGGES3) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
F08XCF (DGGES3) 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 routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9  Further Comments

The total number of floating-point operations is proportional to n3.
The complex analogue of this routine is F08XQF (ZGGES3).

10  Example

This example finds the generalized Schur factorization of the matrix pair A,B, where
A = 3.9 12.5 -34.5 -0.5 4.3 21.5 -47.5 7.5 4.3 21.5 -43.5 3.5 4.4 26.0 -46.0 6.0   and   B= 1.0 2.0 -3.0 1.0 1.0 3.0 -5.0 4.0 1.0 3.0 -4.0 3.0 1.0 3.0 -4.0 4.0 ,  
such that the real positive eigenvalues of A,B correspond to the top left diagonal elements of the generalized Schur form, S,T.

10.1  Program Text

Program Text (f08xcfe.f90)

10.2  Program Data

Program Data (f08xcfe.d)

10.3  Program Results

Program Results (f08xcfe.r)


F08XCF (DGGES3) (PDF version)
F08 Chapter Contents
F08 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2016