Integer, Intent (In)	::	n, lda, ldvs, lwork, liwork
Integer, Intent (Out)	::	sdim, iwork(max(1,liwork)), info
Real (Kind=nag_wp), Intent (Inout)	::	a(lda,), wr(), wi(), vs(ldvs,)
Real (Kind=nag_wp), Intent (Out)	::	rconde, rcondv, work(max(1,lwork))
Logical, External	::	select
Logical, Intent (Inout)	::	bwork(*)
Character (1), Intent (In)	::	jobvs, sort, sense

C Header Interface

#include <nag.h>

void

f08pbf_ (const char *jobvs, const char *sort,
logical (NAG_CALL *sel)(const double *wr, const double *wi),
const char *sense, const Integer *n, double a[], const Integer *lda, Integer *sdim, double wr[], double wi[], double vs[], const Integer *ldvs, double *rconde, double *rcondv, double work[], const Integer *lwork, Integer iwork[], const Integer *liwork, logical bwork[], Integer *info, const Charlen length_jobvs, const Charlen length_sort, const Charlen length_sense)

The routine may be called by the names f08pbf, nagf_lapackeig_dgeesx or its LAPACK name dgeesx.

3 Description

The real Schur factorization of

A

is given by

A = Z T Z^{T},

where

Z

, the matrix of Schur vectors, is orthogonal and

T

is the real Schur form. A matrix is in real Schur form if it is upper quasi-triangular with

1 \times 1

and

2 \times 2

blocks.

2 \times 2

blocks will be standardized in the form

[\begin{array}{c} a & b \\ c & a \end{array}]

where

b c < 0

. The eigenvalues of such a block are

a \pm \sqrt{b c}

Optionally, f08pbf also orders the eigenvalues on the diagonal of the real Schur form so that selected eigenvalues are at the top left; computes a reciprocal condition number for the average of the selected eigenvalues (rconde); and computes a reciprocal condition number for the right invariant subspace corresponding to the selected eigenvalues (rcondv). The leading columns of

Z

form an orthonormal basis for this invariant subspace.

For further explanation of the reciprocal condition numbers rconde and rcondv, see Section 4.8 of Anderson et al. (1999) (where these quantities are called

s

and

sep

respectively).

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 https://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: $jobvs$ – Character(1) Input

On entry: if

jobvs ='N'

, Schur vectors are not computed.

jobvs ='V'

, Schur vectors are computed.

Constraint:

jobvs ='N'

'V'

2: $sort$ – Character(1) Input

On entry: specifies whether or not to order the eigenvalues on the diagonal of the Schur form.

$sort ='N'$: Eigenvalues are not ordered.
$sort ='S'$: Eigenvalues are ordered (see select).

Constraint:

sort ='N'

'S'

3: $select$ – Logical Function, supplied by the user. External Procedure

sort ='S'

, select is used to select eigenvalues to sort to the top left of the Schur form.

sort ='N'

, select is not referenced and f08pbf may be called with the dummy function f08paz.

An eigenvalue

wr (j) + \sqrt{−1} \times wi (j)

is selected if

select (wr (j), wi (j))

is .TRUE.. If either one of a complex conjugate pair of eigenvalues is selected, then both are. Note that a selected complex eigenvalue may no longer satisfy

select (wr (j), wi (j)) = .TRUE.

after ordering, since ordering may change the value of complex eigenvalues (especially if the eigenvalue is ill-conditioned); in this case info is set to

n + 2

(see info below).

The specification of select is:

Fortran Interface

Function select (

wr, wi)

Logical	::	select
Real (Kind=nag_wp), Intent (In)	::	wr, wi

C Header Interface

Nag_Boolean

select (const double *wr, const double *wi)

1: $wr$ – Real (Kind=nag_wp) Input
2: $wi$ – Real (Kind=nag_wp) Input: On entry: the real and imaginary parts of the eigenvalue.

select must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which f08pbf is called. Arguments denoted as Input must not be changed by this procedure.

4: $sense$ – Character(1) Input

On entry: determines which reciprocal condition numbers are computed.

$sense ='N'$: None are computed.
$sense ='E'$: Computed for average of selected eigenvalues only.
$sense ='V'$: Computed for selected right invariant subspace only.
$sense ='B'$: Computed for both.

sense ='E'

'V'

'B'

sort ='S'

Constraint:

sense ='N'

'E'

'V'

'B'

5: $n$ – Integer Input

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

6: $a (lda, *)$ – Real (Kind=nag_wp) array Input/Output

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

\max (1, n)

On entry: the

n \times n

matrix

A

On exit: a is overwritten by its real Schur form

T

7: $lda$ – Integer Input

On entry: the first dimension of the array a as declared in the (sub)program from which f08pbf is called.

Constraint:

lda \geq \max (1, n)

8: $sdim$ – Integer Output

On exit: if

sort ='N'

sdim = 0

sort ='S'

sdim =

number of eigenvalues (after sorting) for which select is .TRUE.. (Complex conjugate pairs for which select is .TRUE. for either eigenvalue count as

2

9: $wr (*)$ – Real (Kind=nag_wp) array Output

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

\max (1, n)

On exit: see the description of wi.

10: $wi (*)$ – Real (Kind=nag_wp) array Output

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

\max (1, n)

On exit: wr and wi contain the real and imaginary parts, respectively, of the computed eigenvalues in the same order that they appear on the diagonal of the output Schur form

T

. Complex conjugate pairs of eigenvalues will appear consecutively with the eigenvalue having the positive imaginary part first.

11: $vs (ldvs, *)$ – Real (Kind=nag_wp) array Output

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

\max (1, n)

jobvs ='V'

, and at least

1

otherwise.

On exit: if

jobvs ='V'

, vs contains the orthogonal matrix

Z

of Schur vectors.

jobvs ='N'

, vs is not referenced.

12: $ldvs$ – Integer Input

On entry: the first dimension of the array vs as declared in the (sub)program from which f08pbf is called.

Constraints:

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

13: $rconde$ – Real (Kind=nag_wp) Output

On exit: if

sense ='E'

'B'

, contains the reciprocal condition number for the average of the selected eigenvalues.

sense ='N'

'V'

, rconde is not referenced.

14: $rcondv$ – Real (Kind=nag_wp) Output

On exit: if

sense ='V'

'B'

, rcondv contains the reciprocal condition number for the selected right invariant subspace.

sense ='N'

'E'

, rcondv is not referenced.

15: $work (\max (1, lwork))$ – Real (Kind=nag_wp) array Workspace

On exit: if

info = 0

work (1)

contains the minimum value of lwork required for optimal performance.

16: $lwork$ – Integer Input

On entry: the dimension of the array work as declared in the (sub)program from which f08pbf is called.

lwork = −1

, a workspace query is assumed; the routine only calculates upper bounds on the optimal sizes of the work and iwork arrays, returns these values as the first entries of the work and iwork arrays, and no error messages related to lwork or liwork is issued.

sense ='E'

'V'

'B'

lwork \geq n + 2 \times sdim \times (n - sdim)

, where sdim is the number of selected eigenvalues computed by this routine. Note that

n + 2 \times sdim \times (n - sdim) \leq n + n \times n / 2

Note also that an error is only returned if

lwork < \max (1, 3 \times n)

, but if

sense ='E'

'V'

'B'

this may not be large enough.

Suggested value: for optimal performance, lwork must generally be larger than the minimum; increase the workspace by, say,

nb \times n

, where

nb

is the optimal block size for f08nef.

Constraint:

lwork \geq \max (1, 3 \times n)

lwork = −1

17: $iwork (\max (1, liwork))$ – Integer array Workspace

On exit: if

info = 0

iwork (1)

returns the optimal liwork.

18: $liwork$ – Integer Input

On entry: the dimension of the array iwork as declared in the (sub)program from which f08pbf is called.

liwork = −1

Constraints:

liwork \neq −1

if $sense ='V'$ or $'B'$ , $liwork \geq sdim \times (n - sdim)$ ;
otherwise $liwork \geq 1$ .

Note:

sdim \times (n - sdim) \leq n \times n / 4

. Note also that an error is only returned if

liwork < 1

, but if

sense ='V'

'B'

this may not be large enough.

19: $bwork (*)$ – Logical array Workspace

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

\max (1, n)

sort \neq'N'

, and at least

1

otherwise.

sort ='N'

, bwork is not referenced.

20: $info$ – Integer Output

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.

$info = 1, \dots, n$: The $Q R$ algorithm failed to compute all the eigenvalues.

$info = n + 1$: The eigenvalues could not be reordered because some eigenvalues were too close to separate (the problem is very ill-conditioned).

$info = n + 2$: After reordering, roundoff changed values of some complex eigenvalues so that leading eigenvalues in the Schur form no longer satisfy $select = .TRUE.$ . This could also be caused by underflow due to scaling.

7 Accuracy

The computed Schur factorization satisfies

A + E = Z T Z^{T},

where

{‖ E ‖}_{2} = O (ε) {‖ A ‖}_{2},

and

ε

is the machine precision. See Section 4.8 of Anderson et al. (1999) for further details.

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.

f08pbf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

f08pbf 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 f08ppf.

10 Example

This example finds the Schur factorization of the matrix

A = (\begin{array}{r} 0.35 & 0.45 & - 0.14 & - 0.17 \\ 0.09 & 0.07 & - 0.54 & 0.35 \\ - 0.44 & - 0.33 & - 0.03 & 0.17 \\ 0.25 & - 0.32 & - 0.13 & 0.11 \end{array}),

such that the real positive eigenvalues of

A

are the top left diagonal elements of the Schur form,

T

. Estimates of the condition numbers for the selected eigenvalue cluster and corresponding invariant subspace are also returned.

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.

f08pb: FL CL CPP AD PY MB

NAG FL Interfacef08pbf (dgeesx)

▸▿ 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

NAG FL Interface
f08pbf (dgeesx)