Purpose
To compute (optionally) a rank-revealing QR factorization of a
real general M-by-N matrix A, which may be rank-deficient,
and estimate its effective rank using incremental condition
estimation.
The routine uses a QR factorization with column pivoting:
A * P = Q * R, where R = [ R11 R12 ],
[ 0 R22 ]
with R11 defined as the largest leading submatrix whose estimated
condition number is less than 1/RCOND. The order of R11, RANK,
is the effective rank of A.
MB03OD does not perform any scaling of the matrix A.
Specification
SUBROUTINE MB03OD( JOBQR, M, N, A, LDA, JPVT, RCOND, SVLMAX, TAU,
$ RANK, SVAL, DWORK, LDWORK, INFO )
C .. Scalar Arguments ..
CHARACTER JOBQR
INTEGER INFO, LDA, LDWORK, M, N, RANK
DOUBLE PRECISION RCOND, SVLMAX
C .. Array Arguments ..
INTEGER JPVT( * )
DOUBLE PRECISION A( LDA, * ), SVAL( 3 ), TAU( * ), DWORK( * )
Arguments
Mode Parameters
JOBQR CHARACTER*1
= 'Q': Perform a QR factorization with column pivoting;
= 'N': Do not perform the QR factorization (but assume
that it has been done outside).
Input/Output Parameters
M (input) INTEGER
The number of rows of the matrix A. M >= 0.
N (input) INTEGER
The number of columns of the matrix A. N >= 0.
A (input/output) DOUBLE PRECISION array, dimension
( LDA, N )
On entry with JOBQR = 'Q', the leading M by N part of this
array must contain the given matrix A.
On exit with JOBQR = 'Q', the leading min(M,N) by N upper
triangular part of A contains the triangular factor R,
and the elements below the diagonal, with the array TAU,
represent the orthogonal matrix Q as a product of
min(M,N) elementary reflectors.
On entry and on exit with JOBQR = 'N', the leading
min(M,N) by N upper triangular part of A contains the
triangular factor R, as determined by the QR factorization
with pivoting. The elements below the diagonal of A are
not referenced.
LDA INTEGER
The leading dimension of the array A. LDA >= max(1,M).
JPVT (input/output) INTEGER array, dimension ( N )
On entry with JOBQR = 'Q', if JPVT(i) <> 0, the i-th
column of A is an initial column, otherwise it is a free
column. Before the QR factorization of A, all initial
columns are permuted to the leading positions; only the
remaining free columns are moved as a result of column
pivoting during the factorization. For rank determination
it is preferable that all columns be free.
On exit with JOBQR = 'Q', if JPVT(i) = k, then the i-th
column of A*P was the k-th column of A.
Array JPVT is not referenced when JOBQR = 'N'.
RCOND (input) DOUBLE PRECISION
RCOND is used to determine the effective rank of A, which
is defined as the order of the largest leading triangular
submatrix R11 in the QR factorization with pivoting of A,
whose estimated condition number is less than 1/RCOND.
RCOND >= 0.
NOTE that when SVLMAX > 0, the estimated rank could be
less than that defined above (see SVLMAX).
SVLMAX (input) DOUBLE PRECISION
If A is a submatrix of another matrix B, and the rank
decision should be related to that matrix, then SVLMAX
should be an estimate of the largest singular value of B
(for instance, the Frobenius norm of B). If this is not
the case, the input value SVLMAX = 0 should work.
SVLMAX >= 0.
TAU (output) DOUBLE PRECISION array, dimension ( MIN( M, N ) )
On exit with JOBQR = 'Q', the leading min(M,N) elements of
TAU contain the scalar factors of the elementary
reflectors.
Array TAU is not referenced when JOBQR = 'N'.
RANK (output) INTEGER
The effective (estimated) rank of A, i.e. the order of
the submatrix R11.
SVAL (output) DOUBLE PRECISION array, dimension ( 3 )
The estimates of some of the singular values of the
triangular factor R:
SVAL(1): largest singular value of R(1:RANK,1:RANK);
SVAL(2): smallest singular value of R(1:RANK,1:RANK);
SVAL(3): smallest singular value of R(1:RANK+1,1:RANK+1),
if RANK < MIN( M, N ), or of R(1:RANK,1:RANK),
otherwise.
If the triangular factorization is a rank-revealing one
(which will be the case if the leading columns were well-
conditioned), then SVAL(1) will also be an estimate for
the largest singular value of A, and SVAL(2) and SVAL(3)
will be estimates for the RANK-th and (RANK+1)-st singular
values of A, respectively.
By examining these values, one can confirm that the rank
is well defined with respect to the chosen value of RCOND.
The ratio SVAL(1)/SVAL(2) is an estimate of the condition
number of R(1:RANK,1:RANK).
Workspace
DWORK DOUBLE PRECISION array, dimension ( LDWORK )
On exit, if INFO = 0, DWORK(1) returns the optimal value
of LDWORK.
LDWORK INTEGER
The length of the array DWORK.
LDWORK >= 3*N + 1, if JOBQR = 'Q';
LDWORK >= max( 1, 2*min( M, N ) ), if JOBQR = 'N'.
For good performance when JOBQR = 'Q', LDWORK should be
larger. Specifically, LDWORK >= 2*N + ( N + 1 )*NB, where
NB is the optimal block size for the LAPACK Library
routine DGEQP3.
If LDWORK = -1, then a workspace query is assumed;
the routine only calculates the optimal size of the
DWORK array, returns this value as the first entry of
the DWORK array, and no error message related to LDWORK
is issued by XERBLA.
Error Indicator
INFO INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal
value.
Method
The routine computes or uses a QR factorization with column pivoting of A, A * P = Q * R, with R defined above, and then finds the largest leading submatrix whose estimated condition number is less than 1/RCOND, taking the possible positive value of SVLMAX into account. This is performed using the LAPACK incremental condition estimation scheme and a slightly modified rank decision test.Further Comments
NoneExample
Program Text
* MB03OD EXAMPLE PROGRAM TEXT
* Copyright (c) 2002-2017 NICONET e.V.
*
* .. Parameters ..
DOUBLE PRECISION ZERO, ONE
PARAMETER ( ZERO = 0.0D0, ONE = 1.0D0 )
INTEGER NIN, NOUT
PARAMETER ( NIN = 5, NOUT = 6 )
INTEGER NMAX, MMAX
PARAMETER ( NMAX = 10, MMAX = 10 )
INTEGER LDA
PARAMETER ( LDA = NMAX )
INTEGER LDTAU
PARAMETER ( LDTAU = MIN(MMAX,NMAX) )
INTEGER LDWORK
PARAMETER ( LDWORK = 3*NMAX + 1 )
* .. Local Scalars ..
CHARACTER*1 JOBQR
INTEGER I, INFO, J, M, N, RANK
DOUBLE PRECISION RCOND, SVAL(3), SVLMAX
* ..
* .. Local Arrays ..
DOUBLE PRECISION A(LDA,NMAX), DWORK(LDWORK), TAU(LDTAU)
INTEGER JPVT(NMAX)
* .. External Subroutines ..
EXTERNAL MB03OD
* .. Intrinsic Functions ..
INTRINSIC MIN
* .. Executable Statements ..
*
WRITE ( NOUT, FMT = 99999 )
* Skip the heading in the data file and read the data.
READ ( NIN, FMT = '()' )
READ ( NIN, FMT = * ) M, N, JOBQR, RCOND, SVLMAX
IF ( N.LT.0 .OR. N.GT.NMAX ) THEN
WRITE ( NOUT, FMT = 99972 ) N
ELSE
IF ( M.LT.0 .OR. M.GT.MMAX ) THEN
WRITE ( NOUT, FMT = 99971 ) M
ELSE
READ ( NIN, FMT = * ) ( ( A(I,J), J = 1,N ), I = 1,M )
* QR with column pivoting.
DO 10 I = 1, N
JPVT(I) = 0
10 CONTINUE
CALL MB03OD( JOBQR, M, N, A, LDA, JPVT, RCOND, SVLMAX, TAU,
$ RANK, SVAL, DWORK, LDWORK, INFO )
*
IF ( INFO.NE.0 ) THEN
WRITE ( NOUT, FMT = 99998 ) INFO
ELSE
WRITE ( NOUT, FMT = 99995 ) RANK
WRITE ( NOUT, FMT = 99994 ) ( JPVT(I), I = 1,N )
WRITE ( NOUT, FMT = 99993 ) ( SVAL(I), I = 1,3 )
END IF
END IF
END IF
*
STOP
*
99999 FORMAT (' MB03OD EXAMPLE PROGRAM RESULTS',/1X)
99998 FORMAT (' INFO on exit from MB03OD = ',I2)
99995 FORMAT (' The rank is ',I5)
99994 FORMAT (' Column permutations are ',/(20(I3,2X)))
99993 FORMAT (' SVAL vector is ',/(20(1X,F10.4)))
99972 FORMAT (/' N is out of range.',/' N = ',I5)
99971 FORMAT (/' M is out of range.',/' M = ',I5)
END
Program Data
MB03OD EXAMPLE PROGRAM DATA 6 5 Q 5.D-16 0.0 1. 2. 6. 3. 5. -2. -1. -1. 0. -2. 5. 5. 1. 5. 1. -2. -1. -1. 0. -2. 4. 8. 4. 20. 4. -2. -1. -1. 0. -2.Program Results
MB03OD EXAMPLE PROGRAM RESULTS
The rank is 4
Column permutations are
4 3 1 5 2
SVAL vector is
22.7257 1.4330 0.0000