NAG Library Routine Document

F08PBF (DGEESX)

1  Purpose

2  Specification

3  Description

4  References

5  Parameters

1:     JOBVS – CHARACTER(1)Input

On entry: if $\mathbf{JOBVS}=\text{'N'}$, Schur vectors are not computed.

If $\mathbf{JOBVS}=\text{'V'}$, Schur vectors are computed.

Constraint: $\mathbf{JOBVS}=\text{'N'}$ or $\text{'V'}$.

2:     SORT – CHARACTER(1)Input

On entry: specifies whether or not to order the eigenvalues on the diagonal of the Schur form.

$\mathbf{SORT}=\text{'N'}$

Eigenvalues are not ordered.

$\mathbf{SORT}=\text{'S'}$

Eigenvalues are ordered (see SELECT).

Constraint: $\mathbf{SORT}=\text{'N'}$ or $\text{'S'}$.

3:     SELECT – LOGICAL FUNCTION, supplied by the user.External Procedure

If $\mathbf{SORT}=\text{'S'}$, SELECT is used to select eigenvalues to sort to the top left of the Schur form.

If $\mathbf{SORT}=\text{'N'}$, SELECT is not referenced and F08PBF (DGEESX) may be called with the dummy function F08PAZ.

An eigenvalue $\mathbf{WR}\left(j\right)+\sqrt{-1}\times \mathbf{WI}\left(j\right)$ is selected if $\mathbf{SELECT}\left(\mathbf{WR}\left(j\right),\mathbf{WI}\left(j\right)\right)$ is .TRUE.. If either one of a complex conjugate pair of eigenvalues is selected, then both are. Note that a selected complex eigenvalue may no longer satisfy $\mathbf{SELECT}\left(\mathbf{WR}\left(j\right),\mathbf{WI}\left(j\right)\right)=\mathrm{.TRUE.}$ after ordering, since ordering may change the value of complex eigenvalues (especially if the eigenvalue is ill-conditioned); in this case INFO is set to $\mathbf{N}+2$ (see INFO below).

The specification of SELECT is:

FUNCTION SELECT ( WR, WI) LOGICAL SELECT REAL (KIND=nag_wp)  WR, WI

1:     WR – REAL (KIND=nag_wp)Input

2:     WI – REAL (KIND=nag_wp)Input

On entry: the real and imaginary parts of the eigenvalue.

SELECT must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which F08PBF (DGEESX) is called. Parameters denoted as Input must not be changed by this procedure.

4:     SENSE – CHARACTER(1)Input

On entry: determines which reciprocal condition numbers are computed.

$\mathbf{SENSE}=\text{'N'}$

None are computed.

$\mathbf{SENSE}=\text{'E'}$

Computed for average of selected eigenvalues only.

$\mathbf{SENSE}=\text{'V'}$

Computed for selected right invariant subspace only.

$\mathbf{SENSE}=\text{'B'}$

Computed for both.

If $\mathbf{SENSE}=\text{'E'}$, $\text{'V'}$ or $\text{'B'}$, $\mathbf{SORT}=\text{'S'}$.

Constraint: $\mathbf{SENSE}=\text{'N'}$, $\text{'E'}$, $\text{'V'}$ or $\text{'B'}$.

5:     N – INTEGERInput

On entry: $n$, the order of the matrix $A$.

Constraint: $\mathbf{N}\ge 0$.

6:     A(LDA,$*$) – REAL (KIND=nag_wp) arrayInput/Output

Note: the second dimension of the array A must be at least $\max \left(1,\mathbf{N}\right)$.

On entry: the $n$ by $n$ matrix $A$.

On exit: A is overwritten by its real Schur form $T$.

7:     LDA – INTEGERInput

On entry: the first dimension of the array A as declared in the (sub)program from which F08PBF (DGEESX) is called.

Constraint: $\mathbf{LDA}\ge \max \left(1,\mathbf{N}\right)$.

8:     SDIM – INTEGEROutput

On exit: if $\mathbf{SORT}=\text{'N'}$, $\mathbf{SDIM}=0$.

If $\mathbf{SORT}=\text{'S'}$, $\mathbf{SDIM}=$ number of eigenvalues (after sorting) for which SELECT is .TRUE.. (Complex conjugate pairs for which SELECT is .TRUE. for either eigenvalue count as $2$.)

9:     WR($*$) – REAL (KIND=nag_wp) arrayOutput

Note: the dimension of the array WR must be at least $\max \left(1,\mathbf{N}\right)$.

On exit: see the description of WI.

10:   WI($*$) – REAL (KIND=nag_wp) arrayOutput

Note: the dimension of the array WI must be at least $\max \left(1,\mathbf{N}\right)$.

On exit: WR and WI contain the real and imaginary parts, respectively, of the computed eigenvalues in the same order that they appear on the diagonal of the output Schur form $T$. Complex conjugate pairs of eigenvalues will appear consecutively with the eigenvalue having the positive imaginary part first.

11:   VS(LDVS,$*$) – REAL (KIND=nag_wp) arrayOutput

Note: the second dimension of the array VS must be at least $\max \left(1,\mathbf{N}\right)$ if $\mathbf{JOBVS}=\text{'V'}$, and at least $1$ otherwise.

On exit: if $\mathbf{JOBVS}=\text{'V'}$, VS contains the orthogonal matrix $Z$ of Schur vectors.

If $\mathbf{JOBVS}=\text{'N'}$, VS is not referenced.

12:   LDVS – INTEGERInput

On entry: the first dimension of the array VS as declared in the (sub)program from which F08PBF (DGEESX) is called.

Constraints:

• if $\mathbf{JOBVS}=\text{'V'}$, $\mathbf{LDVS}\ge \max \left(1,\mathbf{N}\right)$;
• otherwise $\mathbf{LDVS}\ge 1$.

13:   RCONDE – REAL (KIND=nag_wp)Output

On exit: if $\mathbf{SENSE}=\text{'E'}$ or $\text{'B'}$, contains the reciprocal condition number for the average of the selected eigenvalues.

If $\mathbf{SENSE}=\text{'N'}$ or $\text{'V'}$, RCONDE is not referenced.

14:   RCONDV – REAL (KIND=nag_wp)Output

On exit: if $\mathbf{SENSE}=\text{'V'}$ or $\text{'B'}$, RCONDV contains the reciprocal condition number for the selected right invariant subspace.

If $\mathbf{SENSE}=\text{'N'}$ or $\text{'E'}$, RCONDV is not referenced.

15:   WORK($\max \left(1,\mathbf{LWORK}\right)$) – REAL (KIND=nag_wp) arrayWorkspace

On exit: if $\mathbf{INFO}=\mathbf{0}$, $\mathbf{WORK}\left(1\right)$ contains the minimum value of LWORK required for optimal performance.

16:   LWORK – INTEGERInput

On entry: the dimension of the array WORK as declared in the (sub)program from which F08PBF (DGEESX) is called.

If $\mathbf{LWORK}=-1$, a workspace query is assumed; the routine only calculates upper bounds on the optimal sizes of the WORK and IWORK arrays, returns these values as the first entries of the WORK and IWORK arrays, and no error messages related to LWORK or LIWORK is issued.

If $\mathbf{SENSE}=\text{'E'}$, $\text{'V'}$ or $\text{'B'}$, $\mathbf{LWORK}\ge \mathbf{N}+2\times \mathbf{SDIM}\times \left(\mathbf{N}-\mathbf{SDIM}\right)$, where SDIM is the number of selected eigenvalues computed by this routine. Note that $\mathbf{N}+2\times \mathbf{SDIM}\times \left(\mathbf{N}-\mathbf{SDIM}\right)\le \mathbf{N}+\mathbf{N}\times \mathbf{N}/2$.

Note also that an error is only returned if $\mathbf{LWORK}<\max \left(1,3\times \mathbf{N}\right)$, but if $\mathbf{SENSE}=\text{'E'}$, $\text{'V'}$ or $\text{'B'}$ this may not be large enough.

Suggested value: for optimal performance, LWORK must generally be larger than the minimum; increase the workspace by, say, $\mathit{nb}\times \mathbf{N}$, where $\mathit{nb}$ is the optimal block size for F08NEF (DGEHRD).

Constraint: $\mathbf{LWORK}\ge \max \left(1,3\times \mathbf{N}\right)$.

17:   IWORK($\max \left(1,\mathbf{LIWORK}\right)$) – INTEGER arrayWorkspace

On exit: if $\mathbf{INFO}=\mathbf{0}$, $\mathbf{IWORK}\left(1\right)$ returns the optimal LIWORK.

18:   LIWORK – INTEGERInput

On entry: the dimension of the array IWORK as declared in the (sub)program from which F08PBF (DGEESX) is called.

If $\mathbf{LIWORK}=-1$, a workspace query is assumed; the routine only calculates upper bounds on the optimal sizes of the WORK and IWORK arrays, returns these values as the first entries of the WORK and IWORK arrays, and no error messages related to LWORK or LIWORK is issued.

Constraints:

• if $\mathbf{SENSE}=\text{'V'}$ or $\text{'B'}$, $\mathbf{LIWORK}\ge \mathbf{SDIM}\times \left(\mathbf{N}-\mathbf{SDIM}\right)$;
• otherwise $\mathbf{LIWORK}\ge 1$.

Note: $\mathbf{SDIM}\times \left(\mathbf{N}-\mathbf{SDIM}\right)\le \mathbf{N}\times \mathbf{N}/4$. Note also that an error is only returned if $\mathbf{LIWORK}<1$, but if $\mathbf{SENSE}=\text{'V'}$ or $\text{'B'}$ this may not be large enough.

19:   BWORK($*$) – LOGICAL arrayWorkspace

Note: the dimension of the array BWORK must be at least $\max \left(1,\mathbf{N}\right)$ if $\mathbf{SORT}\ne \text{'N'}$, and at least $1$ otherwise.

If $\mathbf{SORT}=\text{'N'}$, BWORK is not referenced.

20:   INFO – INTEGEROutput

On exit: $\mathbf{INFO}=0$ unless the routine detects an error (see Section 6).

6  Error Indicators and Warnings

$\mathbf{INFO}<0$

If $\mathbf{INFO}=-i$, argument $i$ had an illegal value. An explanatory message is output, and execution of the program is terminated.

$\mathbf{INFO}=1\text{ to }\mathbf{N}$

If $\mathbf{INFO}=i$ and $i\le \mathbf{N}$, the $QR$ algorithm failed to compute all the eigenvalues.

$\mathbf{INFO}=\mathbf{N}+1$

The eigenvalues could not be reordered because some eigenvalues were too close to separate (the problem is very ill-conditioned).

$\mathbf{INFO}=\mathbf{N}+2$

After reordering, roundoff changed values of some complex eigenvalues so that leading eigenvalues in the Schur form no longer satisfy $\mathbf{SELECT}=\mathrm{.TRUE.}$. This could also be caused by underflow due to scaling.

7  Accuracy

8  Further Comments

9  Example

9.1  Program Text

Program Text (f08pbfe.f90)

9.2  Program Data

Program Data (f08pbfe.d)

9.3  Program Results

Program Results (f08pbfe.r)