NAG Library Routine Document

Integer, Intent (In)	::	n, lda, ldb, ldvsl, ldvsr, lwork
Integer, Intent (Out)	::	sdim, info
Real (Kind=nag_wp), Intent (Inout)	::	a(lda,), b(ldb,), vsl(ldvsl,), vsr(ldvsr,)
Real (Kind=nag_wp), Intent (Out)	::	alphar(n), alphai(n), beta(n), work(max(1,lwork))
Logical, External	::	selctg
Logical, Intent (Inout)	::	bwork(*)
Character (1), Intent (In)	::	jobvsl, jobvsr, sort

C Header Interface

#include <nagmk26.h>

void

f08xaf_ (const char *jobvsl, const char *jobvsr, const char *sort,
logical (NAG_CALL *selctg)(const double *ar, const double *ai, const double *b),
const Integer *n, double a[], const Integer *lda, double b[], const Integer *ldb, Integer *sdim, double alphar[], double alphai[], double beta[], double vsl[], const Integer *ldvsl, double vsr[], const Integer *ldvsr, double work[], const Integer *lwork, logical bwork[], Integer *info, const Charlen length_jobvsl, const Charlen length_jobvsr, const Charlen length_sort)

The routine may be called by its LAPACK name dgges.

3

Description

The generalized Schur factorization for a pair of real matrices

(A, B)

is given by

A = Q S Z^{T}, B = Q T Z^{T},

where

Q

and

Z

are orthogonal,

T

is upper triangular and

S

is upper quasi-triangular with

1

1

and

2

2

diagonal blocks. The generalized eigenvalues,

λ

, of

(A, B)

are computed from the diagonals of

S

and

T

and satisfy

A z = λ B z,

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, f08xaf (dgges) 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.

f08xaf (dgges) computes

T

to have non-negative diagonal elements, and the

2

2

blocks of

S

correspond to complex conjugate pairs of generalized eigenvalues. The generalized Schur factorization, before reordering, is computed by the

Q Z

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 (1996) Matrix Computations (3rd 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.

jobvsl ='V'

, compute the left Schur vectors.

Constraint:

jobvsl ='N'

'V'

2: $jobvsr$ – Character(1)Input

On entry: if

jobvsr ='N'

, do not compute the right Schur vectors.

jobvsr ='V'

, compute the right Schur vectors.

Constraint:

jobvsr ='N'

'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'

'S'

4: $selctg$ – Logical Function, supplied by the user.External Procedure

sort ='S'

, selctg is used to select generalized eigenvalues to be moved to the top left of the generalized Schur form.

sort ='N'

, selctg is not referenced by f08xaf (dgges), and may be called with the dummy function f08xaz.

The specification of selctg is:

Fortran Interface

Function selctg (

ar, ai, b)

Logical	::	selctg
Real (Kind=nag_wp), Intent (In)	::	ar, ai, b

C Header Interface

#include <nagmk26.h>

Nag_Boolean

selctg (const double *ar, const double *ai, const double *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 $(ar (j) + \sqrt{- 1} \times ai (j)) / b (j)$ is selected if $selctg (ar (j), ai (j), b (j)) = .TRUE.$ . 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 $selctg (ar (j), ai (j), b (j)) = .TRUE.$ 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 f08xaf (dgges) 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:

n \geq 0

6: $a (lda *)$ – Real (Kind=nag_wp) arrayInput/Output

Note: the second dimension of the array a must be at least

\max (1, 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 f08xaf (dgges) is called.

Constraint:

lda \geq \max (1, n)

8: $b (ldb *)$ – Real (Kind=nag_wp) arrayInput/Output

Note: the second dimension of the array b must be at least

\max (1, 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 f08xaf (dgges) is called.

Constraint:

ldb \geq \max (1, n)

10: $sdim$ – IntegerOutput

On exit: if

sort ='N'

sdim = 0

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: $alphar (n)$ – Real (Kind=nag_wp) arrayOutput

On exit: see the description of beta.

12: $alphai (n)$ – Real (Kind=nag_wp) arrayOutput

On exit: see the description of beta.

13: $beta (n)$ – Real (Kind=nag_wp) arrayOutput

On exit:

(alphar (j) + alphai (j) \times i) / beta (j)

, for

j = 1, 2, \dots, n

, will be the generalized eigenvalues.

alphar (j) + alphai (j) \times i

, and

beta (j)

, for

j = 1, 2, \dots, n

, are the diagonals of the complex Schur form

(S, T)

that would result if the

2

2

diagonal blocks of the real Schur form of

(A, B)

were further reduced to triangular form using

2

2

complex unitary transformations.

alphai (j)

is zero, then the

j

th eigenvalue is real; if positive, then the

j

th and

(j + 1)

st eigenvalues are a complex conjugate pair, with

alphai (j + 1)

negative.

Note: the quotients

alphar (j) / beta (j)

and

alphai (j) / beta (j)

may easily overflow or underflow, and

beta (j)

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

{‖A‖}_{2}

in magnitude, and beta will always be less than and usually comparable with

{‖B‖}_{2}

14: $vsl (ldvsl *)$ – Real (Kind=nag_wp) arrayOutput

Note: the second dimension of the array vsl must be at least

\max (1, n)

jobvsl ='V'

, and at least

1

otherwise.

On exit: if

jobvsl ='V'

, vsl will contain the left Schur vectors,

Q

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 f08xaf (dgges) is called.

Constraints:

if $jobvsl ='V'$ , $ldvsl \geq \max (1, n)$ ;
otherwise $ldvsl \geq 1$ .

16: $vsr (ldvsr *)$ – Real (Kind=nag_wp) arrayOutput

Note: the second dimension of the array vsr must be at least

\max (1, n)

jobvsr ='V'

, and at least

1

otherwise.

On exit: if

jobvsr ='V'

, vsr will contain the right Schur vectors,

Z

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 f08xaf (dgges) is called.

Constraints:

if $jobvsr ='V'$ , $ldvsr \geq \max (1, n)$ ;
otherwise $ldvsr \geq 1$ .

18: $work (\max (1, lwork))$ – Real (Kind=nag_wp) arrayWorkspace

On exit: if

info = 0

work (1)

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 f08xaf (dgges) is called.

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 \times n

, where

nb

is the optimal block size.

Constraints:

if $n = 0$ , $lwork \geq 1$ ;
otherwise $lwork \geq \max (8 \times n, 6 \times n + 16)$ .

20: $bwork (*)$ – Logical arrayWorkspace

Note: the dimension of the array bwork must be at least

1

sort ='N'

, and at least

\max (1, n)

otherwise.

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.

$info = 1 to n$: The $Q Z$ iteration failed. No eigenvectors have been calculated but $alphar (j)$ , $alphai (j)$ and $beta (j)$ should be correct from element $〈value〉$ .

$info = n + 1$: The $Q Z$ 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 = Q S Z^{T}, B + F = Q T Z^{T},

where

{‖(E, F)‖}_{F} = O (ε) {‖(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

f08xaf (dgges) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

f08xaf (dgges) 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

n^{3}

The complex analogue of this routine is f08xnf (zgges).

10

Example

This example finds the generalized Schur factorization of the matrix pair

(A, B)

, where

A = (\begin{array}{r} 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 \end{array}) and B = (\begin{array}{r} 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 \end{array}),

such that the real positive eigenvalues of

(A, B)

correspond to the top left diagonal elements of the generalized Schur form,

(S, T)

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 Document

f08xaf (dgges)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

6

Error Indicators and Warnings

7

Accuracy

8

Parallelism and Performance

9

Further Comments

10

Example

10.1

Program Text

10.2

Program Data

10.3

Program Results