Integer type:  int32  int64  nag_int  show int32  show int32  show int64  show int64  show nag_int  show nag_int

PDF version (NAG web site, 64-bit version, 64-bit version)
Chapter Contents
Chapter Introduction
NAG Toolbox

# NAG Toolbox: nag_lapack_dgeqrt (f08ab)

## Purpose

nag_lapack_dgeqrt (f08ab) recursively computes, with explicit blocking, the $QR$ factorization of a real $m$ by $n$ matrix.

## Syntax

[a, t, info] = f08ab(nb, a, 'm', m, 'n', n)
[a, t, info] = nag_lapack_dgeqrt(nb, a, 'm', m, 'n', n)

## Description

nag_lapack_dgeqrt (f08ab) forms the $QR$ factorization of an arbitrary rectangular real $m$ by $n$ matrix. No pivoting is performed.
It differs from nag_lapack_dgeqrf (f08ae) in that it: requires an explicit block size; stores reflector factors that are upper triangular matrices of the chosen block size (rather than scalars); and recursively computes the $QR$ factorization based on the algorithm of Elmroth and Gustavson (2000).
If $m\ge n$, the factorization is given by:
 $A = Q R 0 ,$
where $R$ is an $n$ by $n$ upper triangular matrix and $Q$ is an $m$ by $m$ orthogonal matrix. It is sometimes more convenient to write the factorization as
 $A = Q1 Q2 R 0 ,$
which reduces to
 $A = Q1 R ,$
where ${Q}_{1}$ consists of the first $n$ columns of $Q$, and ${Q}_{2}$ the remaining $m-n$ columns.
If $m, $R$ is upper trapezoidal, and the factorization can be written
 $A = Q R1 R2 ,$
where ${R}_{1}$ is upper triangular and ${R}_{2}$ is rectangular.
The matrix $Q$ is not formed explicitly but is represented as a product of $\mathrm{min}\phantom{\rule{0.125em}{0ex}}\left(m,n\right)$ elementary reflectors (see the F08 Chapter Introduction for details). Functions are provided to work with $Q$ in this representation (see Further Comments).
Note also that for any $k, the information returned represents a $QR$ factorization of the first $k$ columns of the original matrix $A$.

## References

Elmroth E and Gustavson F (2000) Applying Recursion to Serial and Parallel $QR$ Factorization Leads to Better Performance IBM Journal of Research and Development. (Volume 44) 4 605–624
Golub G H and Van Loan C F (2012) Matrix Computations (4th Edition) Johns Hopkins University Press, Baltimore

## Parameters

### Compulsory Input Parameters

1:     $\mathrm{nb}$int64int32nag_int scalar
The explicitly chosen block size to be used in computing the $QR$ factorization. See Further Comments for details.
Constraints:
• ${\mathbf{nb}}\ge 1$;
• if $\mathrm{min}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{m}},{\mathbf{n}}\right)>0$, ${\mathbf{nb}}\le \mathrm{min}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{m}},{\mathbf{n}}\right)$.
2:     $\mathrm{a}\left(\mathit{lda},:\right)$ – double array
The first dimension of the array a must be at least $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{m}}\right)$.
The second dimension of the array a must be at least $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$.
The $m$ by $n$ matrix $A$.

### Optional Input Parameters

1:     $\mathrm{m}$int64int32nag_int scalar
Default: the first dimension of the array a.
$m$, the number of rows of the matrix $A$.
Constraint: ${\mathbf{m}}\ge 0$.
2:     $\mathrm{n}$int64int32nag_int scalar
Default: the second dimension of the array a.
$n$, the number of columns of the matrix $A$.
Constraint: ${\mathbf{n}}\ge 0$.

### Output Parameters

1:     $\mathrm{a}\left(\mathit{lda},:\right)$ – double array
The first dimension of the array a will be $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{m}}\right)$.
The second dimension of the array a will be $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$.
If $m\ge n$, the elements below the diagonal store details of the orthogonal matrix $Q$ and the upper triangle stores the corresponding elements of the $n$ by $n$ upper triangular matrix $R$.
If $m, the strictly lower triangular part stores details of the orthogonal matrix $Q$ and the remaining elements store the corresponding elements of the $m$ by $n$ upper trapezoidal matrix $R$.
2:     $\mathrm{t}\left(\mathit{ldt},:\right)$ – double array
The first dimension of the array t will be ${\mathbf{nb}}$.
The second dimension of the array t will be $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,\mathrm{min}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{m}},{\mathbf{n}}\right)\right)$.
Further details of the orthogonal matrix $Q$. The number of blocks is $b=⌈\frac{k}{{\mathbf{nb}}}⌉$, where $k=\mathrm{min}\phantom{\rule{0.125em}{0ex}}\left(m,n\right)$ and each block is of order nb except for the last block, which is of order $k-\left(b-1\right)×{\mathbf{nb}}$. For each of the blocks, an upper triangular block reflector factor is computed: ${\mathbit{T}}_{1},{\mathbit{T}}_{2},\dots ,{\mathbit{T}}_{b}$. These are stored in the ${\mathbf{nb}}$ by $n$ matrix $T$ as $\mathbit{T}=\left[{\mathbit{T}}_{1}|{\mathbit{T}}_{2}|\dots |{\mathbit{T}}_{b}\right]$.
3:     $\mathrm{info}$int64int32nag_int scalar
${\mathbf{info}}=0$ unless the function detects an error (see Error Indicators and Warnings).

## 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.

## Accuracy

The computed factorization is the exact factorization of a nearby matrix $\left(A+E\right)$, where
 $E2 = Oε A2 ,$
and $\epsilon$ is the machine precision.

The total number of floating-point operations is approximately $\frac{2}{3}{n}^{2}\left(3m-n\right)$ if $m\ge n$ or $\frac{2}{3}{m}^{2}\left(3n-m\right)$ if $m.
To apply $Q$ to an arbitrary real rectangular matrix $C$, nag_lapack_dgeqrt (f08ab) may be followed by a call to nag_lapack_dgemqrt (f08ac). For example,
```[t, c, info] = f08ac('Left', 'Transpose', nb, a, t, c, 'k', min(m,n));
```
forms $C={Q}^{\mathrm{T}}C$, where $C$ is $m$ by $p$.
To form the orthogonal matrix $Q$ explicitly, simply initialize the $m$ by $m$ matrix $C$ to the identity matrix and form $C=QC$ using nag_lapack_dgemqrt (f08ac) as above.
The block size, nb, used by nag_lapack_dgeqrt (f08ab) is supplied explicitly through the interface. For moderate and large sizes of matrix, the block size can have a marked effect on the efficiency of the algorithm with the optimal value being dependent on problem size and platform. A value of ${\mathbf{nb}}=64\ll \mathrm{min}\phantom{\rule{0.125em}{0ex}}\left(m,n\right)$ is likely to achieve good efficiency and it is unlikely that an optimal value would exceed $340$.
To compute a $QR$ factorization with column pivoting, use nag_lapack_dtpqrt (f08bb) or nag_lapack_dgeqpf (f08be).
The complex analogue of this function is nag_lapack_zgeqrt (f08ap).

## Example

This example solves the linear least squares problems
 $minimize⁡ Axi - bi 2 , i=1,2$
where ${b}_{1}$ and ${b}_{2}$ are the columns of the matrix $B$,
 $A = -0.57 -1.28 -0.39 0.25 -1.93 1.08 -0.31 -2.14 2.30 0.24 0.40 -0.35 -1.93 0.64 -0.66 0.08 0.15 0.30 0.15 -2.13 -0.02 1.03 -1.43 0.50 and B= -2.67 0.41 -0.55 -3.10 3.34 -4.01 -0.77 2.76 0.48 -6.17 4.10 0.21 .$
```function f08ab_example

fprintf('f08ab example results\n\n');

% Minimize ||Ax - b|| using recursive QR for m-by-n A and m-by-p B

m = int64(6);
n = int64(4);
p = int64(2);
a = [-0.57, -1.28, -0.39,  0.25;
-1.93,  1.08, -0.31, -2.14;
2.30,  0.24,  0.40, -0.35;
-1.93,  0.64, -0.66,  0.08;
0.15,  0.30,  0.15, -2.13;
-0.02,  1.03, -1.43,  0.50];
b = [-2.67,  0.41;
-0.55, -3.10;
3.34, -4.01;
-0.77,  2.76;
0.48, -6.17;
4.10,  0.21];

% Compute the QR Factorisation of A
[QR, T, info] = f08ab(n,a);

% Compute C = (C1) = (Q^T)*B
[c1, info] = f08ac(...
'Left', 'Transpose', QR, T, b);

% Compute least-squares solutions by backsubstitution in R*X = C1
[x, info] = f07te(...
'Upper', 'No Transpose', 'Non-Unit', QR, c1, 'n', n);

% Print least-squares solutions
disp('Least-squares solutions');
disp(x(1:n,:));

% Compute and print estimates of the square roots of the residual
% sums of squares
for j=1:p
rnorm(j) = norm(x(n+1:m,j));
end
fprintf('Square roots of the residual sums of squares\n');
fprintf('%12.2e', rnorm);
fprintf('\n');

```
```f08ab example results

Least-squares solutions
1.5339   -1.5753
1.8707    0.5559
-1.5241    1.3119
0.0392    2.9585

Square roots of the residual sums of squares
2.22e-02    1.38e-02
```

PDF version (NAG web site, 64-bit version, 64-bit version)
Chapter Contents
Chapter Introduction
NAG Toolbox

© The Numerical Algorithms Group Ltd, Oxford, UK. 2009–2015