ZGELSD(l) ) ZGELSD(l)
ZGELSD - compute the minimum-norm solution to a real linear least squares problem
SUBROUTINE ZGELSD( M, N, NRHS, A, LDA, B, LDB, S, RCOND, RANK, WORK, LWORK, RWORK, IWORK,
INTEGER INFO, LDA, LDB, LWORK, M, N, NRHS, RANK
DOUBLE PRECISION RCOND
INTEGER IWORK( * )
DOUBLE PRECISION RWORK( * ), S( * )
COMPLEX*16 A( LDA, * ), B( LDB, * ), WORK( * )
ZGELSD computes the minimum-norm solution to a real linear least squares problem: min-
imize 2-norm(| b - A*x |)
using the singular value decomposition (SVD) of A. A is an M-by-N matrix which may be
Several right hand side vectors b and solution vectors x can be handled in a single call;
they are stored as the columns of the M-by-NRHS right hand side matrix B and the N-by-NRHS
solution matrix X.
The problem is solved in three steps:
(1) Reduce the coefficient matrix A to bidiagonal form with
Householder tranformations, reducing the original problem
into a "bidiagonal least squares problem" (BLS)
(2) Solve the BLS using a divide and conquer approach.
(3) Apply back all the Householder tranformations to solve
the original least squares problem.
The effective rank of A is determined by treating as zero those singular values which are
less than RCOND times the largest singular value.
The divide and conquer algorithm makes very mild assumptions about floating point arith-
metic. It will work on machines with a guard digit in add/subtract, or on those binary
machines without guard digits which subtract like the Cray X-MP, Cray Y-MP, Cray C-90, or
Cray-2. It could conceivably fail on hexadecimal or decimal machines without guard digits,
but we know of none.
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.
NRHS (input) INTEGER
The number of right hand sides, i.e., the number of columns of the matrices B and
X. NRHS >= 0.
A (input) COMPLEX*16 array, dimension (LDA,N)
On entry, the M-by-N matrix A. On exit, A has been destroyed.
LDA (input) INTEGER
The leading dimension of the array A. LDA >= max(1,M).
B (input/output) COMPLEX*16 array, dimension (LDB,NRHS)
On entry, the M-by-NRHS right hand side matrix B. On exit, B is overwritten by
the N-by-NRHS solution matrix X. If m >= n and RANK = n, the residual sum-of-
squares for the solution in the i-th column is given by the sum of squares of ele-
ments n+1:m in that column.
LDB (input) INTEGER
The leading dimension of the array B. LDB >= max(1,M,N).
S (output) DOUBLE PRECISION array, dimension (min(M,N))
The singular values of A in decreasing order. The condition number of A in the
2-norm = S(1)/S(min(m,n)).
RCOND (input) DOUBLE PRECISION
RCOND is used to determine the effective rank of A. Singular values S(i) <=
RCOND*S(1) are treated as zero. If RCOND < 0, machine precision is used instead.
RANK (output) INTEGER
The effective rank of A, i.e., the number of singular values which are greater
WORK (workspace/output) COMPLEX*16 array, dimension (LWORK)
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK (input) INTEGER
The dimension of the array WORK. LWORK must be at least 1. The exact minimum
amount of workspace needed depends on M, N and NRHS. As long as LWORK is at least
2 * N + N * NRHS if M is greater than or equal to N or 2 * M + M * NRHS if M is
less than N, the code will execute correctly. For good performance, LWORK should
generally be larger.
If LWORK = -1, then a workspace query is assumed; the routine only calculates the
optimal size of the WORK array, returns this value as the first entry of the WORK
array, and no error message related to LWORK is issued by XERBLA.
RWORK (workspace) DOUBLE PRECISION array, dimension at least
10*N + 2*N*SMLSIZ + 8*N*NLVL + 3*SMLSIZ*NRHS + (SMLSIZ+1)**2 if M is greater than
or equal to N or 10*M + 2*M*SMLSIZ + 8*M*NLVL + 3*SMLSIZ*NRHS + (SMLSIZ+1)**2 if M
is less than N, the code will execute correctly. SMLSIZ is returned by ILAENV and
is equal to the maximum size of the subproblems at the bottom of the computation
tree (usually about 25), and NLVL = MAX( 0, INT( LOG_2( MIN( M,N )/(SMLSIZ+1) ) )
+ 1 )
IWORK (workspace) INTEGER array, dimension (LIWORK)
LIWORK >= 3 * MINMN * NLVL + 11 * MINMN, where MINMN = MIN( M,N ).
INFO (output) INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: the algorithm for computing the SVD failed to converge; if INFO = i, i off-
diagonal elements of an intermediate bidiagonal form did not converge to zero.
Based on contributions by
Ming Gu and Ren-Cang Li, Computer Science Division, University of
California at Berkeley, USA
Osni Marques, LBNL/NERSC, USA
LAPACK version 3.0 15 June 2000 ZGELSD(l)