NAG Library Routine Document

F08ZTF (ZGGRQF)

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

F08ZTF (ZGGRQF) computes a generalized

R Q

factorization of a complex matrix pair

(A, B)

, where

A

is an

m

n

matrix and

B

is a

p

n

matrix.

2 Specification

SUBROUTINE F08ZTF (

M, P, N, A, LDA, TAUA, B, LDB, TAUB, WORK, LWORK, INFO)

INTEGER	M, P, N, LDA, LDB, LWORK, INFO
COMPLEX (KIND=nag_wp)	A(LDA,), TAUA(min(M,N)), B(LDB,), TAUB(min(P,N)), WORK(max(1,LWORK))

The routine may be called by its LAPACK name zggrqf.

3 Description

F08ZTF (ZGGRQF) forms the generalized

R Q

factorization of an

m

n

matrix

A

and a

p

n

matrix

B

A = R Q, B = Z T Q,

where

Q

is an

n

n

unitary matrix,

Z

is a

p

p

unitary matrix and

R

and

T

are of the form

R = \{\begin{matrix} \begin{array}{rc} n - m & m \\ m & ( & 0 & R_{12} & ) \end{array};   if ​ m \leq n, \\ \begin{array}{rc} n \\ m - n & ( & R_{11} & ) \\ n & R_{21} \end{array};   if ​ m > n, \end{matrix}

with

R_{12}

R_{21}

upper triangular,

T = \{\begin{matrix} \begin{array}{rc} n \\ n & ( & T_{11} & ) \\ p - n & 0 \end{array};   if ​ p \geq n, \\ \begin{array}{rc} p & n - p \\ p & ( & T_{11} & T_{12} & ) \end{array};   if ​ p < n, \end{matrix}

with

T_{11}

upper triangular.

In particular, if

B

is square and nonsingular, the generalized

R Q

factorization of

A

and

B

implicitly gives the

R Q

factorization of

A B^{- 1}

A B^{- 1} = (R T^{- 1}) Z^{H} .

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

Anderson E, Bai Z and Dongarra J (1992) Generalized QR factorization and its applications Linear Algebra Appl. (Volume 162–164) 243–271

Hammarling S (1987) The numerical solution of the general Gauss-Markov linear model Mathematics in Signal Processing (eds T S Durrani, J B Abbiss, J E Hudson, R N Madan, J G McWhirter and T A Moore) 441–456 Oxford University Press

Paige C C (1990) Some aspects of generalized

Q R

factorizations . In Reliable Numerical Computation (eds M G Cox and S Hammarling) 73–91 Oxford University Press

5 Parameters

1: M – INTEGERInput: On entry: $m$ , the number of rows of the matrix $A$ .
Constraint: $M \geq 0$ .
2: P – INTEGERInput: On entry: $p$ , the number of rows of the matrix $B$ .
Constraint: $P \geq 0$ .
3: N – INTEGERInput: On entry: $n$ , the number of columns of the matrices $A$ and $B$ .
Constraint: $N \geq 0$ .
4: A(LDA, $*$ ) – COMPLEX (KIND=nag_wp) arrayInput/Output: Note: the second dimension of the array A must be at least $\max (1, N)$ .
On entry: the $m$ by $n$ matrix $A$ .

On exit: if $m \leq n$ , the upper triangle of the subarray $A (1 : m, n - m + 1 : n)$ contains the $m$ by $m$ upper triangular matrix $R_{12}$ .
If $m \geq n$ , the elements on and above the $(m - n)$ th subdiagonal contain the $m$ by $n$ upper trapezoidal matrix $R$ ; the remaining elements, with the array TAUA, represent the unitary matrix $Q$ as a product of $\min (m, n)$ elementary reflectors (see Section 3.3.6 in the F08 Chapter Introduction).
5: LDA – INTEGERInput: On entry: the first dimension of the array A as declared in the (sub)program from which F08ZTF (ZGGRQF) is called.
Constraint: $LDA \geq \max (1, M)$ .
6: TAUA( $\min (M, N)$ ) – COMPLEX (KIND=nag_wp) arrayOutput: On exit: the scalar factors of the elementary reflectors which represent the unitary matrix $Q$ .
7: B(LDB, $*$ ) – COMPLEX (KIND=nag_wp) arrayInput/Output: Note: the second dimension of the array B must be at least $\max (1, N)$ .
On entry: the $p$ by $n$ matrix $B$ .

On exit: the elements on and above the diagonal of the array contain the $\min (p, n)$ by $n$ upper trapezoidal matrix $T$ ( $T$ is upper triangular if $p \geq n$ ); the elements below the diagonal, with the array TAUB, represent the unitary matrix $Z$ as a product of elementary reflectors (see Section 3.3.6 in the F08 Chapter Introduction).
8: LDB – INTEGERInput: On entry: the first dimension of the array B as declared in the (sub)program from which F08ZTF (ZGGRQF) is called.
Constraint: $LDB \geq \max (1, P)$ .
9: TAUB( $\min (P, N)$ ) – COMPLEX (KIND=nag_wp) arrayOutput: On exit: the scalar factors of the elementary reflectors which represent the unitary matrix $Z$ .
10: WORK( $\max (1, LWORK)$ ) – COMPLEX (KIND=nag_wp) arrayWorkspace: On exit: if $INFO = 0$ , the real part of $WORK (1)$ contains the minimum value of LWORK required for optimal performance.
11: LWORK – INTEGERInput: On entry: the dimension of the array WORK as declared in the (sub)program from which F08ZTF (ZGGRQF) 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, $LWORK \geq \max (N, M, P) \times \max (nb1, nb2, nb3)$ , where $nb1$ is the optimal block size for the $R Q$ factorization of an $m$ by $n$ matrix by F08CVF (ZGERQF), $nb2$ is the optimal block size for the $Q R$ factorization of a $p$ by $n$ matrix by F08ASF (ZGEQRF), and $nb3$ is the optimal block size for a call of F08CXF (ZUNMRQ).
Constraint: $LWORK \geq \max (1, N, M, P)$ or $LWORK = - 1$ .
12: INFO – INTEGEROutput: On exit: $INFO = 0$ unless the routine detects an error (see Section 6).

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.

7 Accuracy

The computed generalized

R Q

factorization is the exact factorization for nearby matrices

(A + E)

and

(B + F)

, where

{‖E‖}_{2} = O ε {‖A‖}_{2} and {‖F‖}_{2} = O ε {‖B‖}_{2},

and

ε

is the machine precision.

8 Further Comments

The unitary matrices

Q

and

Z

may be formed explicitly by calls to F08CWF (ZUNGRQ) and F08ATF (ZUNGQR) respectively. F08CXF (ZUNMRQ) may be used to multiply

Q

by another matrix and F08AUF (ZUNMQR) may be used to multiply

Z

by another matrix.

The real analogue of this routine is F08ZFF (DGGRQF).

9 Example

This example solves the general Gauss–Markov linear model problem

\min_{x} {‖y‖}_{2} subject to d = A x + B y

where

A = (\begin{array}{r} 0.96 - 0.81 i & - 0.03 + 0.96 i & - 0.91 + 2.06 i & - 0.05 + 0.41 i \\ - 0.98 + 1.98 i & - 1.20 + 0.19 i & - 0.66 + 0.42 i & - 0.81 + 0.56 i \\ 0.62 - 0.46 i & 1.01 + 0.02 i & 0.63 - 0.17 i & - 1.11 + 0.60 i \\ 0.37 + 0.38 i & 0.19 - 0.54 i & - 0.98 - 0.36 i & 0.22 - 0.20 i \\ 0.83 + 0.51 i & 0.20 + 0.01 i & - 0.17 - 0.46 i & 1.47 + 1.59 i \\ 1.08 - 0.28 i & 0.20 - 0.12 i & - 0.07 + 1.23 i & 0.26 + 0.26 i \end{array}),

B = (\begin{array}{r} 1 & 0 & - 1 & 0 \\ 0 & 1 & 0 & - 1 \end{array}), c = (\begin{array}{r} - 2.54 + 0.09 i \\ 1.65 - 2.26 i \\ - 2.11 - 3.96 i \\ 1.82 + 3.30 i \\ - 6.41 + 3.77 i \\ 2.07 + 0.66 i \end{array}) and d = (\begin{matrix} 0 \\ 0 \end{matrix}) .

The constraints

B x = d

correspond to

x_{1} = x_{3}

and

x_{2} = x_{4}

The solution is obtained by first obtaining a generalized

Q R

factorization of the matrix pair

(A, B)

. The example illustrates the general solution process, although the above data corresponds to a simple weighted least squares problem.

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.

NAG Library Routine DocumentF08ZTF (ZGGRQF)