F08XBF (DGGESX) (PDF version)
F08 Chapter Contents
F08 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

F08XBF (DGGESX)

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

F08XBF (DGGESX) 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 .
Estimates of condition numbers for selected generalized eigenvalue clusters and Schur vectors are also computed.

2  Specification

INTEGER  N, LDA, LDB, SDIM, LDVSL, LDVSR, LWORK, IWORK(max(1,LIWORK)), LIWORK, INFO
REAL (KIND=nag_wp)  A(LDA,*), B(LDB,*), ALPHAR(N), ALPHAI(N), BETA(N), VSL(LDVSL,*), VSR(LDVSR,*), RCONDE(2), RCONDV(2), WORK(max(1,LWORK))
LOGICAL  SELCTG, BWORK(*)
CHARACTER(1)  JOBVSL, JOBVSR, SORT, SENSE
EXTERNAL  SELCTG
The routine may be called by its LAPACK name dggesx.

3  Description

The generalized real Schur factorization of 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, F08XBF (DGGESX) 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.
F08XBF (DGGESX) 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.
The reciprocals of the condition estimates, the reciprocal values of the left and right projection norms, are returned in RCONDE1  and RCONDE2  respectively, for the selected generalized eigenvalues, together with reciprocal condition estimates for the corresponding left and right deflating subspaces, in RCONDV1  and RCONDV2 . See Section 4.11 of Anderson et al. (1999) for further information.

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 (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

5  Parameters

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
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 the top left of the generalized Schur form.
If SORT='N', SELCTG is not referenced and F08XBF (DGGESX) may be called with the dummy function F08XAZ.
SELCTG must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which F08XBF (DGGESX) is called. Parameters denoted as Input must not be changed by this procedure.
5:     SENSE – CHARACTER(1)Input
On entry: determines which reciprocal condition numbers are computed.
SENSE='N'
None are computed.
SENSE='E'
Computed for average of selected eigenvalues only.
SENSE='V'
Computed for selected deflating subspaces only.
SENSE='B'
Computed for both.
If SENSE='E', 'V' or 'B', SORT='S'.
Constraint: SENSE='N', 'E', 'V' or 'B'.
6:     N – INTEGERInput
On entry: n, the order of the matrices A and B.
Constraint: N0.
7:     A(LDA,*) – 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.
8:     LDA – INTEGERInput
On entry: the first dimension of the array A as declared in the (sub)program from which F08XBF (DGGESX) is called.
Constraint: LDAmax1,N.
9:     B(LDB,*) – 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.
10:   LDB – INTEGERInput
On entry: the first dimension of the array B as declared in the (sub)program from which F08XBF (DGGESX) is called.
Constraint: LDBmax1,N.
11:   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.)
12:   ALPHAR(N) – REAL (KIND=nag_wp) arrayOutput
On exit: see the description of BETA.
13:   ALPHAI(N) – REAL (KIND=nag_wp) arrayOutput
On exit: see the description of BETA.
14:   BETA(N) – 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.
15:   VSL(LDVSL,*) – 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.
16:   LDVSL – INTEGERInput
On entry: the first dimension of the array VSL as declared in the (sub)program from which F08XBF (DGGESX) is called.
Constraints:
  • if JOBVSL='V', LDVSLmax1,N;
  • otherwise LDVSL1.
17:   VSR(LDVSR,*) – 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.
18:   LDVSR – INTEGERInput
On entry: the first dimension of the array VSR as declared in the (sub)program from which F08XBF (DGGESX) is called.
Constraints:
  • if JOBVSR='V', LDVSRmax1,N;
  • otherwise LDVSR1.
19:   RCONDE(2) – REAL (KIND=nag_wp) arrayOutput
20:   RCONDV(2) – REAL (KIND=nag_wp) arrayOutput
21:   WORK(max1,LWORK) – REAL (KIND=nag_wp) arrayWorkspace
22:   LWORK – INTEGERInput
On entry: the dimension of the array WORK as declared in the (sub)program from which F08XBF (DGGESX) is called.
If LWORK=-1, a workspace query is assumed; the routine only calculates the bound on the optimal size of the WORK array and the minimum size of the IWORK array, returns these values as the first entries of the WORK and IWORK arrays, and no error message related to LWORK or LIWORK is issued.
Constraints:
  • if SENSE='E', 'V' or 'B', LWORK max8×N+1+16,2×SDIM×N-SDIM ;
  • otherwise LWORK max1,8×N,6×N+16.
Note: that 2×SDIM×N-SDIMN×N/2. Note also that an error is only returned if LWORK<8×N+1+16, but if SENSE='E', 'V' or 'B' this may not be large enough. Consider increasing LWORK by nb, where nb is the optimal block size.
23:   IWORK(max1,LIWORK) – INTEGER arrayWorkspace
24:   LIWORK – INTEGERInput
On entry: the dimension of the array IWORK as declared in the (sub)program from which F08XBF (DGGESX) is called.
If LIWORK=-1, a workspace query is assumed; the routine only calculates the bound on the optimal size of the WORK array and the minimum size of the IWORK array, returns these values as the first entries of the WORK and IWORK arrays, and no error message related to LWORK or LIWORK is issued.
Constraints:
  • if SENSE='N' or N=0, LIWORK1;
  • otherwise LIWORKN+6.
25:   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.
26:   INFO – INTEGEROutput

6  Error Indicators and Warnings

Errors or warnings detected by the routine:
INFO<0
If INFO=-i, argument i had an illegal value. An explanatory message is output, and execution of the program is terminated.
INFO=1 to N
The QZ iteration failed. A,B are not in Schur form, but ALPHARj, ALPHAIj, and BETAj should be correct for j=INFO+1,,N.
INFO=N+1
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  Further Comments

The total number of floating point operations is proportional to n3.
The complex analogue of this routine is F08XPF (ZGGESX).

9  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 eigenvalues of A,B correspond to the top left diagonal elements of the generalized Schur form, S,T. Estimates of the condition numbers for the selected eigenvalue cluster and corresponding deflating subspaces are also returned.
Note that the block size (NB) of 64 assumed in this example is not realistic for such a small problem, but should be suitable for large problems.

9.1  Program Text

Program Text (f08xbfe.f90)

9.2  Program Data

Program Data (f08xbfe.d)

9.3  Program Results

Program Results (f08xbfe.r)


F08XBF (DGGESX) (PDF version)
F08 Chapter Contents
F08 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2011