f08kmc computes the singular value decomposition (SVD) of a real matrix , optionally computing the left and/or right singular vectors. All singular values or a selected set of singular values may be computed.
The function may be called by the names: f08kmc, nag_lapackeig_dgesvdx or nag_dgesvdx.
3Description
The SVD is written as
where is an matrix which is zero except for its diagonal elements, is an orthogonal matrix, and is an orthogonal matrix. The diagonal elements of are the singular values of ; they are real and non-negative, and are returned in descending order. The first columns of and are the left and right singular vectors of , respectively.
Note that the function returns , not .
Alternative to computing all singular values of , a selected set can be computed. The set is either those singular values lying in a given interval, , or those whose index (counting from largest to smallest in magnitude) lies in a given range . In these cases, the corresponding left and right singular vectors can optionally be computed.
4References
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 https://www.netlib.org/lapack/lug
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
5Arguments
1: – Nag_OrderTypeInput
On entry: the order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by . See Section 3.1.3 in the Introduction to the NAG Library CL Interface for a more detailed explanation of the use of this argument.
Constraint:
or .
2: – Nag_ComputeSingularVecsTypeInput
On entry: specifies options for computing all or part of the matrix .
The ns columns of , as specified by range, are returned in array u.
No columns of (no left singular vectors) are computed.
Constraint:
or .
3: – Nag_ComputeSingularVecsTypeInput
On entry: specifies options for computing all or part of the matrix .
The ns rows of , as specified by range, are returned in the array vt.
No rows of (no right singular vectors) are computed.
Constraint:
or .
4: – Nag_RangeTypeInput
On entry: indicates which singular values should be returned.
All singular values will be found.
All singular values in the half-open interval will be found.
The ilth through iuth singular values will be found.
Constraint:
, or .
5: – IntegerInput
On entry: , the number of rows of the matrix .
Constraint:
.
6: – IntegerInput
On entry: , the number of columns of the matrix .
Constraint:
.
7: – doubleInput/Output
Note: the dimension, dim, of the array a
must be at least
when
;
when
.
The th element of the matrix is stored in
when ;
when .
On entry: the matrix .
On exit: if and , the contents of a are destroyed.
8: – IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array a.
Constraints:
if ,
;
if , .
9: – doubleInput
On entry: if , the lower bound of the interval to be searched for singular values.
On exit: if NE_CONVERGENCE, (using the notation described in Section 3.1.4 in the Introduction to the NAG Library CL Interface) contains the unconverged superdiagonal elements of an upper bidiagonal matrix whose diagonal is in s (not necessarily sorted). satisfies , so it has the same singular values as , and singular vectors related by and .
20: – IntegerOutput
On exit: if NE_CONVERGENCE, jfail contains, in its first nonzero elements, the indices of the eigenvectors (associated with a left or right singular vector, see f08mbc) that failed to converge.
21: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error Indicators and Warnings
NE_ALLOC_FAIL
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
NE_BAD_PARAM
On entry, argument had an illegal value.
NE_CONVERGENCE
If f08kmc did not converge, specifies how many superdiagonals of an intermediate bidiagonal form did not converge to zero.
NE_ENUM_INT
On entry, and .
Constraint: if ,
.
NE_ENUM_INT_2
On entry, , and .
Constraint: if , .
On entry, , and .
Constraint: if ,
.
NE_ENUM_INT_3
On entry, , , and .
Constraint: if , .
NE_ENUM_INT_4
On entry, , , , and .
Constraint: if and , and ;
if and , .
NE_ENUM_REAL_1
On entry, and .
Constraint: if , .
NE_ENUM_REAL_2
On entry, , and .
Constraint: if , .
NE_INT
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, . Constraint: .
On entry, . Constraint: .
On entry, . Constraint: .
NE_INT_2
On entry, and .
Constraint: .
On entry, and .
Constraint: .
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
7Accuracy
The computed singular value decomposition is nearly the exact singular value decomposition for a nearby matrix , where
and is the machine precision. In addition, the computed singular vectors are nearly orthogonal to working precision. See Section 4.9 of Anderson et al. (1999) for further details.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
f08kmc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f08kmc 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 function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.
9Further Comments
The total number of floating-point operations is approximately proportional to when and otherwise.
The singular values are returned in descending order.