NAG Toolbox: nag_lapack_zgesvd (f08kp)

Purpose

Syntax

Description

References

Parameters

Compulsory Input Parameters

1:     $\mathrm{jobu}$ – string (length ≥ 1)

Specifies options for computing all or part of the matrix $U$.

$\mathbf{jobu}=\text{'A'}$

All $m$ columns of $U$ are returned in array u.

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

The first $\min \left(m,n\right)$ columns of $U$ (the left singular vectors) are returned in the array u.

$\mathbf{jobu}=\text{'O'}$

The first $\min \left(m,n\right)$ columns of $U$ (the left singular vectors) are overwritten on the array a.

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

No columns of $U$ (no left singular vectors) are computed.

Constraint: $\mathbf{jobu}=\text{'A'}$, $\text{'S'}$, $\text{'O'}$ or $\text{'N'}$.

2:     $\mathrm{jobvt}$ – string (length ≥ 1)

Specifies options for computing all or part of the matrix $V^{\mathrm{H}}$.

$\mathbf{jobvt}=\text{'A'}$

All $n$ rows of $V^{\mathrm{H}}$ are returned in the array vt.

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

The first $\min \left(m,n\right)$ rows of $V^{\mathrm{H}}$ (the right singular vectors) are returned in the array vt.

$\mathbf{jobvt}=\text{'O'}$

The first $\min \left(m,n\right)$ rows of $V^{\mathrm{H}}$ (the right singular vectors) are overwritten on the array a.

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

No rows of $V^{\mathrm{H}}$ (no right singular vectors) are computed.

Constraints:

• $\mathbf{jobvt}=\text{'A'}$, $\text{'S'}$, $\text{'O'}$ or $\text{'N'}$;
• jobvt and jobu cannot both be $\text{'O'}$.

3:     $\mathrm{a}\left(\mathit{lda},:\right)$ – complex array

The first dimension of the array a must be at least $\max \left(1,\mathbf{m}\right)$.

The second dimension of the array a must be at least $\max \left(1,\mathbf{n}\right)$.

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:     $\mathrm{a}\left(\mathit{lda},:\right)$ – complex array

The first dimension of the array a will be $\max \left(1,\mathbf{m}\right)$.

The second dimension of the array a will be $\max \left(1,\mathbf{n}\right)$.

If $\mathbf{jobu}=\text{'O'}$, a is overwritten with the first $\min \left(m,n\right)$ columns of $U$ (the left singular vectors, stored column-wise).

If $\mathbf{jobvt}=\text{'O'}$, a is overwritten with the first $\min \left(m,n\right)$ rows of $V^{\mathrm{H}}$ (the right singular vectors, stored row-wise).

If $\mathbf{jobu}\ne \text{'O'}$ and $\mathbf{jobvt}\ne \text{'O'}$, the contents of a are destroyed.

2:     $\mathrm{s}\left(:\right)$ – double array

The dimension of the array s will be $\max \left(1,\min \left(\mathbf{m},\mathbf{n}\right)\right)$

The singular values of $A$, sorted so that $\mathbf{s}\left(i\right)\ge \mathbf{s}\left(i+1\right)$.

3:     $\mathrm{u}\left(\mathit{ldu},:\right)$ – complex array

The first dimension, $\mathit{ldu}$, of the array u will be

• if $\mathbf{jobu}=\text{'A'}$ or $\text{'S'}$, $\mathit{ldu}=\max \left(1,\mathbf{m}\right)$;
• otherwise $\mathit{ldu}=1$.

The second dimension of the array u will be $\max \left(1,\mathbf{m}\right)$ if $\mathbf{jobu}=\text{'A'}$, $\max \left(1,\min \left(\mathbf{m},\mathbf{n}\right)\right)$ if $\mathbf{jobu}=\text{'S'}$ and $1$ otherwise.

If $\mathbf{jobu}=\text{'A'}$, u contains the $m$ by $m$ unitary matrix $U$.

If $\mathbf{jobu}=\text{'S'}$, u contains the first $\min \left(m,n\right)$ columns of $U$ (the left singular vectors, stored column-wise).

If $\mathbf{jobu}=\text{'N'}$ or $\text{'O'}$, u is not referenced.

4:     $\mathrm{vt}\left(\mathit{ldvt},:\right)$ – complex array

The first dimension, $\mathit{ldvt}$, of the array vt will be

• if $\mathbf{jobvt}=\text{'A'}$, $\mathit{ldvt}=\max \left(1,\mathbf{n}\right)$;
• if $\mathbf{jobvt}=\text{'S'}$, $\mathit{ldvt}=\max \left(1,\min \left(\mathbf{m},\mathbf{n}\right)\right)$;
• otherwise $\mathit{ldvt}=1$.

The second dimension of the array vt will be $\max \left(1,\mathbf{n}\right)$ if $\mathbf{jobvt}=\text{'A'}$ or $\text{'S'}$ and $1$ otherwise.

If $\mathbf{jobvt}=\text{'A'}$, vt contains the $n$ by $n$ unitary matrix $V^{\mathrm{H}}$.

If $\mathbf{jobvt}=\text{'S'}$, vt contains the first $\min \left(m,n\right)$ rows of $V^{\mathrm{H}}$ (the right singular vectors, stored row-wise).

If $\mathbf{jobvt}=\text{'N'}$ or $\text{'O'}$, vt is not referenced.

5:     $\mathrm{rwork}\left(:\right)$ – double array

The dimension of the array rwork will be $\max \left(1,5\times \min \left(\mathbf{m},\mathbf{n}\right)\right)$

If $\mathbf{info}>\mathbf{0}$, $\mathbf{rwork}\left(1:\min \left(\mathbf{m},\mathbf{n}\right)-1\right)$ contains the unconverged superdiagonal elements of an upper bidiagonal matrix $B$ whose diagonal is in $S$ (not necessarily sorted). $B$ satisfies $A=UB{V}^{\mathrm{H}}$, so it has the same singular values as $A$, and singular vectors related by $U$ and $V^{\mathrm{H}}$.

6:     $\mathrm{info}$ – int64int32nag_int scalar

$\mathbf{info}=0$ unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

   $\mathbf{info}=-i$

If $\mathbf{info}=-i$, parameter $i$ had an illegal value on entry. The parameters are numbered as follows:

1: jobu, 2: jobvt, 3: m, 4: n, 5: a, 6: lda, 7: s, 8: u, 9: ldu, 10: vt, 11: ldvt, 12: work, 13: lwork, 14: rwork, 15: info.

It is possible that info refers to a parameter that is omitted from the MATLAB interface. This usually indicates that an error in one of the other input parameters has caused an incorrect value to be inferred.

   $\mathbf{info}>0$

If nag_lapack_zgesvd (f08kp) did not converge, info specifies how many superdiagonals of an intermediate bidiagonal form did not converge to zero. See the description of rwork above for details.

Accuracy

Further Comments

Example

Open in the MATLAB editor: f08kp_example

function f08kp_example


fprintf('f08kp example results\n\n');

% SVD of A to obtain Least-sqares solution of Ax=b, where
a = [ 0.96 - 0.81i, -0.03 + 0.96i, -0.91 + 2.06i, -0.05 + 0.41i;
     -0.98 + 1.98i, -1.20 + 0.19i, -0.66 + 0.42i, -0.81 + 0.56i;
      0.62 - 0.46i,  1.01 + 0.02i,  0.63 - 0.17i, -1.11 + 0.60i;
     -0.37 + 0.38i,  0.19 - 0.54i, -0.98 - 0.36i,  0.22 - 0.20i;
      0.83 + 0.51i,  0.20 + 0.01i, -0.17 - 0.46i,  1.47 + 1.59i;
      1.08 - 0.28i,  0.20 - 0.12i, -0.07 + 1.23i,  0.26 + 0.26i];
[m,n] = size(a);
b     = ones(m,1);

% SVD of A
jobu = 'Singular vectors (U)';
jobvt = 'Singular vectors (V)';
[~, s, u, vt, rwork, info] = f08kp( ...
                                    jobu, jobvt, a);

disp('Singular values of A');
disp(s');

% Use SVD to compute least-squares solution: VS^(-1)U'b
y = u'*b;
y = y./s;
x = vt'*y;

disp('Least squares solution:');
disp(x);
disp('Norm of Residual:');
disp(norm(b - a*x));

f08kp example results

Singular values of A
    3.9994    3.0003    1.9944    0.9995

Least squares solution:
  -0.0719 - 0.2761i
   0.6796 + 0.4326i
  -0.3832 - 0.5447i
   0.0096 - 0.3489i

Norm of Residual:
    1.5266