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531 lines
16 KiB
531 lines
16 KiB
2 years ago
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*> \brief <b> DGELST solves overdetermined or underdetermined systems for GE matrices using QR or LQ factorization with compact WY representation of Q.</b>
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*
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* =========== DOCUMENTATION ===========
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*
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* Online html documentation available at
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* http://www.netlib.org/lapack/explore-html/
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*
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*> \htmlonly
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*> Download DGELST + dependencies
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*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.tgz?format=tgz&filename=/lapack/lapack_routine/dgelst.f">
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*> [TGZ]</a>
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*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.zip?format=zip&filename=/lapack/lapack_routine/dgelst.f">
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*> [ZIP]</a>
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*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.txt?format=txt&filename=/lapack/lapack_routine/dgelst.f">
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*> [TXT]</a>
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*> \endhtmlonly
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*
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* Definition:
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* ===========
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*
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* SUBROUTINE DGELST( TRANS, M, N, NRHS, A, LDA, B, LDB, WORK, LWORK,
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* INFO )
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*
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* .. Scalar Arguments ..
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* CHARACTER TRANS
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* INTEGER INFO, LDA, LDB, LWORK, M, N, NRHS
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* ..
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* .. Array Arguments ..
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* DOUBLE PRECISION A( LDA, * ), B( LDB, * ), WORK( * )
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* ..
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*
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*
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*> \par Purpose:
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* =============
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*>
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*> \verbatim
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*>
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*> DGELST solves overdetermined or underdetermined real linear systems
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*> involving an M-by-N matrix A, or its transpose, using a QR or LQ
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*> factorization of A with compact WY representation of Q.
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*> It is assumed that A has full rank.
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*>
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*> The following options are provided:
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*>
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*> 1. If TRANS = 'N' and m >= n: find the least squares solution of
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*> an overdetermined system, i.e., solve the least squares problem
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*> minimize || B - A*X ||.
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*>
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*> 2. If TRANS = 'N' and m < n: find the minimum norm solution of
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*> an underdetermined system A * X = B.
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*>
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*> 3. If TRANS = 'T' and m >= n: find the minimum norm solution of
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*> an underdetermined system A**T * X = B.
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*>
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*> 4. If TRANS = 'T' and m < n: find the least squares solution of
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*> an overdetermined system, i.e., solve the least squares problem
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*> minimize || B - A**T * X ||.
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*>
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*> Several right hand side vectors b and solution vectors x can be
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*> handled in a single call; they are stored as the columns of the
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*> M-by-NRHS right hand side matrix B and the N-by-NRHS solution
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*> matrix X.
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*> \endverbatim
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*
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* Arguments:
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* ==========
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*
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*> \param[in] TRANS
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*> \verbatim
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*> TRANS is CHARACTER*1
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*> = 'N': the linear system involves A;
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*> = 'T': the linear system involves A**T.
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*> \endverbatim
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*>
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*> \param[in] M
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*> \verbatim
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*> M is INTEGER
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*> The number of rows of the matrix A. M >= 0.
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*> \endverbatim
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*>
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*> \param[in] N
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*> \verbatim
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*> N is INTEGER
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*> The number of columns of the matrix A. N >= 0.
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*> \endverbatim
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*>
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*> \param[in] NRHS
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*> \verbatim
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*> NRHS is INTEGER
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*> The number of right hand sides, i.e., the number of
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*> columns of the matrices B and X. NRHS >=0.
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*> \endverbatim
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*>
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*> \param[in,out] A
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*> \verbatim
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*> A is DOUBLE PRECISION array, dimension (LDA,N)
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*> On entry, the M-by-N matrix A.
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*> On exit,
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*> if M >= N, A is overwritten by details of its QR
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*> factorization as returned by DGEQRT;
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*> if M < N, A is overwritten by details of its LQ
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*> factorization as returned by DGELQT.
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*> \endverbatim
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*>
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*> \param[in] LDA
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*> \verbatim
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*> LDA is INTEGER
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*> The leading dimension of the array A. LDA >= max(1,M).
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*> \endverbatim
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*>
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*> \param[in,out] B
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*> \verbatim
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*> B is DOUBLE PRECISION array, dimension (LDB,NRHS)
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*> On entry, the matrix B of right hand side vectors, stored
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*> columnwise; B is M-by-NRHS if TRANS = 'N', or N-by-NRHS
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*> if TRANS = 'T'.
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*> On exit, if INFO = 0, B is overwritten by the solution
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*> vectors, stored columnwise:
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*> if TRANS = 'N' and m >= n, rows 1 to n of B contain the least
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*> squares solution vectors; the residual sum of squares for the
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*> solution in each column is given by the sum of squares of
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*> elements N+1 to M in that column;
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*> if TRANS = 'N' and m < n, rows 1 to N of B contain the
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*> minimum norm solution vectors;
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*> if TRANS = 'T' and m >= n, rows 1 to M of B contain the
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*> minimum norm solution vectors;
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*> if TRANS = 'T' and m < n, rows 1 to M of B contain the
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*> least squares solution vectors; the residual sum of squares
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*> for the solution in each column is given by the sum of
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*> squares of elements M+1 to N in that column.
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*> \endverbatim
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*>
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*> \param[in] LDB
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*> \verbatim
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*> LDB is INTEGER
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*> The leading dimension of the array B. LDB >= MAX(1,M,N).
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*> \endverbatim
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*>
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*> \param[out] WORK
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*> \verbatim
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*> WORK is DOUBLE PRECISION array, dimension (MAX(1,LWORK))
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*> On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
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*> \endverbatim
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*>
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*> \param[in] LWORK
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*> \verbatim
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*> LWORK is INTEGER
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*> The dimension of the array WORK.
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*> LWORK >= max( 1, MN + max( MN, NRHS ) ).
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*> For optimal performance,
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*> LWORK >= max( 1, (MN + max( MN, NRHS ))*NB ).
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*> where MN = min(M,N) and NB is the optimum block size.
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*>
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*> If LWORK = -1, then a workspace query is assumed; the routine
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*> only calculates the optimal size of the WORK array, returns
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*> this value as the first entry of the WORK array, and no error
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*> message related to LWORK is issued by XERBLA.
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*> \endverbatim
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*>
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*> \param[out] INFO
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*> \verbatim
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*> INFO is INTEGER
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*> = 0: successful exit
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*> < 0: if INFO = -i, the i-th argument had an illegal value
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*> > 0: if INFO = i, the i-th diagonal element of the
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*> triangular factor of A is zero, so that A does not have
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*> full rank; the least squares solution could not be
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*> computed.
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*> \endverbatim
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*
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* Authors:
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* ========
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*
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*> \author Univ. of Tennessee
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*> \author Univ. of California Berkeley
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*> \author Univ. of Colorado Denver
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*> \author NAG Ltd.
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*
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*> \ingroup doubleGEsolve
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*
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*> \par Contributors:
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* ==================
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*>
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*> \verbatim
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*>
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*> November 2022, Igor Kozachenko,
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*> Computer Science Division,
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*> University of California, Berkeley
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*> \endverbatim
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*
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* =====================================================================
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SUBROUTINE DGELST( TRANS, M, N, NRHS, A, LDA, B, LDB, WORK, LWORK,
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$ INFO )
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*
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* -- LAPACK driver routine --
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* -- LAPACK is a software package provided by Univ. of Tennessee, --
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* -- Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..--
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*
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* .. Scalar Arguments ..
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CHARACTER TRANS
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INTEGER INFO, LDA, LDB, LWORK, M, N, NRHS
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* ..
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* .. Array Arguments ..
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DOUBLE PRECISION A( LDA, * ), B( LDB, * ), WORK( * )
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* ..
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*
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* =====================================================================
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*
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* .. Parameters ..
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DOUBLE PRECISION ZERO, ONE
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PARAMETER ( ZERO = 0.0D+0, ONE = 1.0D+0 )
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* ..
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* .. Local Scalars ..
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LOGICAL LQUERY, TPSD
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INTEGER BROW, I, IASCL, IBSCL, J, LWOPT, MN, MNNRHS,
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$ NB, NBMIN, SCLLEN
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DOUBLE PRECISION ANRM, BIGNUM, BNRM, SMLNUM
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* ..
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* .. Local Arrays ..
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DOUBLE PRECISION RWORK( 1 )
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* ..
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* .. External Functions ..
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LOGICAL LSAME
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INTEGER ILAENV
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DOUBLE PRECISION DLAMCH, DLANGE
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EXTERNAL LSAME, ILAENV, DLAMCH, DLANGE
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* ..
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* .. External Subroutines ..
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EXTERNAL DGELQT, DGEQRT, DGEMLQT, DGEMQRT, DLASCL,
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$ DLASET, DTRTRS, XERBLA
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* ..
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* .. Intrinsic Functions ..
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INTRINSIC DBLE, MAX, MIN
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* ..
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* .. Executable Statements ..
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*
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* Test the input arguments.
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*
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INFO = 0
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MN = MIN( M, N )
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LQUERY = ( LWORK.EQ.-1 )
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IF( .NOT.( LSAME( TRANS, 'N' ) .OR. LSAME( TRANS, 'T' ) ) ) THEN
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INFO = -1
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ELSE IF( M.LT.0 ) THEN
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INFO = -2
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ELSE IF( N.LT.0 ) THEN
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INFO = -3
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ELSE IF( NRHS.LT.0 ) THEN
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INFO = -4
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ELSE IF( LDA.LT.MAX( 1, M ) ) THEN
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INFO = -6
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ELSE IF( LDB.LT.MAX( 1, M, N ) ) THEN
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INFO = -8
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ELSE IF( LWORK.LT.MAX( 1, MN+MAX( MN, NRHS ) ) .AND. .NOT.LQUERY )
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$ THEN
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INFO = -10
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END IF
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*
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* Figure out optimal block size and optimal workspace size
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*
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IF( INFO.EQ.0 .OR. INFO.EQ.-10 ) THEN
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*
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TPSD = .TRUE.
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IF( LSAME( TRANS, 'N' ) )
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$ TPSD = .FALSE.
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*
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NB = ILAENV( 1, 'DGELST', ' ', M, N, -1, -1 )
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*
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MNNRHS = MAX( MN, NRHS )
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LWOPT = MAX( 1, (MN+MNNRHS)*NB )
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WORK( 1 ) = DBLE( LWOPT )
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*
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END IF
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*
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IF( INFO.NE.0 ) THEN
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CALL XERBLA( 'DGELST ', -INFO )
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RETURN
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ELSE IF( LQUERY ) THEN
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RETURN
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END IF
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*
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* Quick return if possible
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*
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IF( MIN( M, N, NRHS ).EQ.0 ) THEN
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CALL DLASET( 'Full', MAX( M, N ), NRHS, ZERO, ZERO, B, LDB )
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WORK( 1 ) = DBLE( LWOPT )
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RETURN
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END IF
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*
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* *GEQRT and *GELQT routines cannot accept NB larger than min(M,N)
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*
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IF( NB.GT.MN ) NB = MN
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*
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* Determine the block size from the supplied LWORK
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* ( at this stage we know that LWORK >= (minimum required workspace,
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* but it may be less than optimal)
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*
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NB = MIN( NB, LWORK/( MN + MNNRHS ) )
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*
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* The minimum value of NB, when blocked code is used
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*
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NBMIN = MAX( 2, ILAENV( 2, 'DGELST', ' ', M, N, -1, -1 ) )
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*
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IF( NB.LT.NBMIN ) THEN
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NB = 1
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END IF
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*
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* Get machine parameters
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*
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SMLNUM = DLAMCH( 'S' ) / DLAMCH( 'P' )
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BIGNUM = ONE / SMLNUM
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*
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* Scale A, B if max element outside range [SMLNUM,BIGNUM]
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*
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ANRM = DLANGE( 'M', M, N, A, LDA, RWORK )
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IASCL = 0
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IF( ANRM.GT.ZERO .AND. ANRM.LT.SMLNUM ) THEN
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*
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* Scale matrix norm up to SMLNUM
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*
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CALL DLASCL( 'G', 0, 0, ANRM, SMLNUM, M, N, A, LDA, INFO )
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IASCL = 1
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ELSE IF( ANRM.GT.BIGNUM ) THEN
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*
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* Scale matrix norm down to BIGNUM
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*
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CALL DLASCL( 'G', 0, 0, ANRM, BIGNUM, M, N, A, LDA, INFO )
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IASCL = 2
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ELSE IF( ANRM.EQ.ZERO ) THEN
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*
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* Matrix all zero. Return zero solution.
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*
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CALL DLASET( 'Full', MAX( M, N ), NRHS, ZERO, ZERO, B, LDB )
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WORK( 1 ) = DBLE( LWOPT )
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RETURN
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END IF
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*
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BROW = M
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IF( TPSD )
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$ BROW = N
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BNRM = DLANGE( 'M', BROW, NRHS, B, LDB, RWORK )
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IBSCL = 0
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IF( BNRM.GT.ZERO .AND. BNRM.LT.SMLNUM ) THEN
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*
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* Scale matrix norm up to SMLNUM
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*
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CALL DLASCL( 'G', 0, 0, BNRM, SMLNUM, BROW, NRHS, B, LDB,
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$ INFO )
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IBSCL = 1
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ELSE IF( BNRM.GT.BIGNUM ) THEN
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*
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* Scale matrix norm down to BIGNUM
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*
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CALL DLASCL( 'G', 0, 0, BNRM, BIGNUM, BROW, NRHS, B, LDB,
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$ INFO )
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IBSCL = 2
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END IF
|
||
|
|
*
|
||
|
|
IF( M.GE.N ) THEN
|
||
|
|
*
|
||
|
|
* M > N:
|
||
|
|
* Compute the blocked QR factorization of A,
|
||
|
|
* using the compact WY representation of Q,
|
||
|
|
* workspace at least N, optimally N*NB.
|
||
|
|
*
|
||
|
|
CALL DGEQRT( M, N, NB, A, LDA, WORK( 1 ), NB,
|
||
|
|
$ WORK( MN*NB+1 ), INFO )
|
||
|
|
*
|
||
|
|
IF( .NOT.TPSD ) THEN
|
||
|
|
*
|
||
|
|
* M > N, A is not transposed:
|
||
|
|
* Overdetermined system of equations,
|
||
|
|
* least-squares problem, min || A * X - B ||.
|
||
|
|
*
|
||
|
|
* Compute B(1:M,1:NRHS) := Q**T * B(1:M,1:NRHS),
|
||
|
|
* using the compact WY representation of Q,
|
||
|
|
* workspace at least NRHS, optimally NRHS*NB.
|
||
|
|
*
|
||
|
|
CALL DGEMQRT( 'Left', 'Transpose', M, NRHS, N, NB, A, LDA,
|
||
|
|
$ WORK( 1 ), NB, B, LDB, WORK( MN*NB+1 ),
|
||
|
|
$ INFO )
|
||
|
|
*
|
||
|
|
* Compute B(1:N,1:NRHS) := inv(R) * B(1:N,1:NRHS)
|
||
|
|
*
|
||
|
|
CALL DTRTRS( 'Upper', 'No transpose', 'Non-unit', N, NRHS,
|
||
|
|
$ A, LDA, B, LDB, INFO )
|
||
|
|
*
|
||
|
|
IF( INFO.GT.0 ) THEN
|
||
|
|
RETURN
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
SCLLEN = N
|
||
|
|
*
|
||
|
|
ELSE
|
||
|
|
*
|
||
|
|
* M > N, A is transposed:
|
||
|
|
* Underdetermined system of equations,
|
||
|
|
* minimum norm solution of A**T * X = B.
|
||
|
|
*
|
||
|
|
* Compute B := inv(R**T) * B in two row blocks of B.
|
||
|
|
*
|
||
|
|
* Block 1: B(1:N,1:NRHS) := inv(R**T) * B(1:N,1:NRHS)
|
||
|
|
*
|
||
|
|
CALL DTRTRS( 'Upper', 'Transpose', 'Non-unit', N, NRHS,
|
||
|
|
$ A, LDA, B, LDB, INFO )
|
||
|
|
*
|
||
|
|
IF( INFO.GT.0 ) THEN
|
||
|
|
RETURN
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
* Block 2: Zero out all rows below the N-th row in B:
|
||
|
|
* B(N+1:M,1:NRHS) = ZERO
|
||
|
|
*
|
||
|
|
DO J = 1, NRHS
|
||
|
|
DO I = N + 1, M
|
||
|
|
B( I, J ) = ZERO
|
||
|
|
END DO
|
||
|
|
END DO
|
||
|
|
*
|
||
|
|
* Compute B(1:M,1:NRHS) := Q(1:N,:) * B(1:N,1:NRHS),
|
||
|
|
* using the compact WY representation of Q,
|
||
|
|
* workspace at least NRHS, optimally NRHS*NB.
|
||
|
|
*
|
||
|
|
CALL DGEMQRT( 'Left', 'No transpose', M, NRHS, N, NB,
|
||
|
|
$ A, LDA, WORK( 1 ), NB, B, LDB,
|
||
|
|
$ WORK( MN*NB+1 ), INFO )
|
||
|
|
*
|
||
|
|
SCLLEN = M
|
||
|
|
*
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
ELSE
|
||
|
|
*
|
||
|
|
* M < N:
|
||
|
|
* Compute the blocked LQ factorization of A,
|
||
|
|
* using the compact WY representation of Q,
|
||
|
|
* workspace at least M, optimally M*NB.
|
||
|
|
*
|
||
|
|
CALL DGELQT( M, N, NB, A, LDA, WORK( 1 ), NB,
|
||
|
|
$ WORK( MN*NB+1 ), INFO )
|
||
|
|
*
|
||
|
|
IF( .NOT.TPSD ) THEN
|
||
|
|
*
|
||
|
|
* M < N, A is not transposed:
|
||
|
|
* Underdetermined system of equations,
|
||
|
|
* minimum norm solution of A * X = B.
|
||
|
|
*
|
||
|
|
* Compute B := inv(L) * B in two row blocks of B.
|
||
|
|
*
|
||
|
|
* Block 1: B(1:M,1:NRHS) := inv(L) * B(1:M,1:NRHS)
|
||
|
|
*
|
||
|
|
CALL DTRTRS( 'Lower', 'No transpose', 'Non-unit', M, NRHS,
|
||
|
|
$ A, LDA, B, LDB, INFO )
|
||
|
|
*
|
||
|
|
IF( INFO.GT.0 ) THEN
|
||
|
|
RETURN
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
* Block 2: Zero out all rows below the M-th row in B:
|
||
|
|
* B(M+1:N,1:NRHS) = ZERO
|
||
|
|
*
|
||
|
|
DO J = 1, NRHS
|
||
|
|
DO I = M + 1, N
|
||
|
|
B( I, J ) = ZERO
|
||
|
|
END DO
|
||
|
|
END DO
|
||
|
|
*
|
||
|
|
* Compute B(1:N,1:NRHS) := Q(1:N,:)**T * B(1:M,1:NRHS),
|
||
|
|
* using the compact WY representation of Q,
|
||
|
|
* workspace at least NRHS, optimally NRHS*NB.
|
||
|
|
*
|
||
|
|
CALL DGEMLQT( 'Left', 'Transpose', N, NRHS, M, NB, A, LDA,
|
||
|
|
$ WORK( 1 ), NB, B, LDB,
|
||
|
|
$ WORK( MN*NB+1 ), INFO )
|
||
|
|
*
|
||
|
|
SCLLEN = N
|
||
|
|
*
|
||
|
|
ELSE
|
||
|
|
*
|
||
|
|
* M < N, A is transposed:
|
||
|
|
* Overdetermined system of equations,
|
||
|
|
* least-squares problem, min || A**T * X - B ||.
|
||
|
|
*
|
||
|
|
* Compute B(1:N,1:NRHS) := Q * B(1:N,1:NRHS),
|
||
|
|
* using the compact WY representation of Q,
|
||
|
|
* workspace at least NRHS, optimally NRHS*NB.
|
||
|
|
*
|
||
|
|
CALL DGEMLQT( 'Left', 'No transpose', N, NRHS, M, NB,
|
||
|
|
$ A, LDA, WORK( 1 ), NB, B, LDB,
|
||
|
|
$ WORK( MN*NB+1), INFO )
|
||
|
|
*
|
||
|
|
* Compute B(1:M,1:NRHS) := inv(L**T) * B(1:M,1:NRHS)
|
||
|
|
*
|
||
|
|
CALL DTRTRS( 'Lower', 'Transpose', 'Non-unit', M, NRHS,
|
||
|
|
$ A, LDA, B, LDB, INFO )
|
||
|
|
*
|
||
|
|
IF( INFO.GT.0 ) THEN
|
||
|
|
RETURN
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
SCLLEN = M
|
||
|
|
*
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
* Undo scaling
|
||
|
|
*
|
||
|
|
IF( IASCL.EQ.1 ) THEN
|
||
|
|
CALL DLASCL( 'G', 0, 0, ANRM, SMLNUM, SCLLEN, NRHS, B, LDB,
|
||
|
|
$ INFO )
|
||
|
|
ELSE IF( IASCL.EQ.2 ) THEN
|
||
|
|
CALL DLASCL( 'G', 0, 0, ANRM, BIGNUM, SCLLEN, NRHS, B, LDB,
|
||
|
|
$ INFO )
|
||
|
|
END IF
|
||
|
|
IF( IBSCL.EQ.1 ) THEN
|
||
|
|
CALL DLASCL( 'G', 0, 0, SMLNUM, BNRM, SCLLEN, NRHS, B, LDB,
|
||
|
|
$ INFO )
|
||
|
|
ELSE IF( IBSCL.EQ.2 ) THEN
|
||
|
|
CALL DLASCL( 'G', 0, 0, BIGNUM, BNRM, SCLLEN, NRHS, B, LDB,
|
||
|
|
$ INFO )
|
||
|
|
END IF
|
||
|
|
*
|
||
|
|
WORK( 1 ) = DBLE( LWOPT )
|
||
|
|
*
|
||
|
|
RETURN
|
||
|
|
*
|
||
|
|
* End of DGELST
|
||
|
|
*
|
||
|
|
END
|