NAG FL Interface
f08kaf (dgelss)

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1 Purpose

f08kaf computes the minimum norm solution to a real linear least squares problem
minx b-Ax2 .  

2 Specification

Fortran Interface
Subroutine f08kaf ( m, n, nrhs, a, lda, b, ldb, s, rcond, rank, work, lwork, info)
Integer, Intent (In) :: m, n, nrhs, lda, ldb, lwork
Integer, Intent (Out) :: rank, info
Real (Kind=nag_wp), Intent (In) :: rcond
Real (Kind=nag_wp), Intent (Inout) :: a(lda,*), b(ldb,*), s(*)
Real (Kind=nag_wp), Intent (Out) :: work(max(1,lwork))
C Header Interface
#include <nag.h>
void  f08kaf_ (const Integer *m, const Integer *n, const Integer *nrhs, double a[], const Integer *lda, double b[], const Integer *ldb, double s[], const double *rcond, Integer *rank, double work[], const Integer *lwork, Integer *info)
The routine may be called by the names f08kaf, nagf_lapackeig_dgelss or its LAPACK name dgelss.

3 Description

f08kaf uses the singular value decomposition (SVD) of A, where A is an m×n matrix which may be rank-deficient.
Several right-hand side vectors b and solution vectors x can be handled in a single call; they are stored as the columns of the m×r right-hand side matrix B and the n×r solution matrix X.
The effective rank of A is determined by treating as zero those singular values which are less than rcond times the largest singular value.

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 https://www.netlib.org/lapack/lug
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

5 Arguments

1: m Integer Input
On entry: m, the number of rows of the matrix A.
Constraint: m0.
2: n Integer Input
On entry: n, the number of columns of the matrix A.
Constraint: n0.
3: nrhs Integer Input
On entry: r, the number of right-hand sides, i.e., the number of columns of the matrices B and X.
Constraint: nrhs0.
4: a(lda,*) Real (Kind=nag_wp) array Input/Output
Note: the second dimension of the array a must be at least max(1,n).
On entry: the m×n matrix A.
On exit: the first min(m,n) rows of A are overwritten with its right singular vectors, stored row-wise.
5: lda Integer Input
On entry: the first dimension of the array a as declared in the (sub)program from which f08kaf is called.
Constraint: ldamax(1,m).
6: b(ldb,*) Real (Kind=nag_wp) array Input/Output
Note: the second dimension of the array b must be at least max(1,nrhs).
On entry: the m×r right-hand side matrix B.
On exit: b is overwritten by the n×r solution matrix X. If mn and rank=n, the residual sum of squares for the solution in the ith column is given by the sum of squares of elements n+1,,m in that column.
7: ldb Integer Input
On entry: the first dimension of the array b as declared in the (sub)program from which f08kaf is called.
Constraint: ldbmax(1,m,n).
8: s(*) Real (Kind=nag_wp) array Output
Note: the dimension of the array s must be at least max(1,min(m,n)) .
On exit: the singular values of A in decreasing order.
9: rcond Real (Kind=nag_wp) Input
On entry: used to determine the effective rank of A. Singular values s(i)rcond×s(1) are treated as zero. If rcond<0, machine precision is used instead.
10: rank Integer Output
On exit: the effective rank of A, i.e., the number of singular values which are greater than rcond×s(1).
11: work(max(1,lwork)) Real (Kind=nag_wp) array Workspace
On exit: if info=0, work(1) contains the minimum value of lwork required for optimal performance.
12: lwork Integer Input
On entry: the dimension of the array work as declared in the (sub)program from which f08kaf 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 should generally be larger. Consider increasing lwork by at least nb×min(m,n) , where nb is the optimal block size.
Constraint: lwork=−1 or
lwork1 and
lwork3×min(m,n)+max(2×min(m,n),max(m,n),nrhs).
13: info Integer Output
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>0
The algorithm for computing the SVD failed to converge; value off-diagonal elements of an intermediate bidiagonal form did not converge to zero.

7 Accuracy

See Section 4.5 of Anderson et al. (1999) for details.

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.
f08kaf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f08kaf 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 complex analogue of this routine is f08knf.

10 Example

This example solves the linear least squares problem
minx b-Ax2  
for the solution, x, of minimum norm, where
A = ( -0.09 0.14 -0.46 0.68 1.29 -1.56 0.20 0.29 1.09 0.51 -1.48 -0.43 0.89 -0.71 -0.96 -1.09 0.84 0.77 2.11 -1.27 0.08 0.55 -1.13 0.14 1.74 -1.59 -0.72 1.06 1.24 0.34 )   and  b= ( 7.4 4.2 -8.3 1.8 8.6 2.1 ) .  
A tolerance of 0.01 is used to determine the effective rank of A.
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.

10.1 Program Text

Program Text (f08kafe.f90)

10.2 Program Data

Program Data (f08kafe.d)

10.3 Program Results

Program Results (f08kafe.r)