cgelsd (l) - Linux Man Pages

cgelsd: computes the minimum-norm solution to a real linear least squares problem

NAME

CGELSD - computes the minimum-norm solution to a real linear least squares problem

SYNOPSIS

SUBROUTINE CGELSD(
M, N, NRHS, A, LDA, B, LDB, S, RCOND, RANK, WORK, LWORK, RWORK, IWORK, INFO )

    
INTEGER INFO, LDA, LDB, LWORK, M, N, NRHS, RANK

    
REAL RCOND

    
INTEGER IWORK( * )

    
REAL RWORK( * ), S( * )

    
COMPLEX A( LDA, * ), B( LDB, * ), WORK( * )

PURPOSE

CGELSD computes the minimum-norm solution to a real linear least squares problem:
 minimize 2-norm(| b - A*x |)
using the singular value decomposition (SVD) of A. A is an M-by-N matrix which may be rank-deficient.
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 arithmetic. 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.

ARGUMENTS

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/output) COMPLEX 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 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 the modulus of elements n+1:m in that column.
LDB (input) INTEGER
The leading dimension of the array B. LDB >= max(1,M,N).
S (output) REAL 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) REAL
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 than RCOND*S(1).
WORK (workspace/output) COMPLEX array, dimension (MAX(1,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 array WORK and the minimum sizes of the arrays RWORK and IWORK, and returns these values as the first entries of the WORK, RWORK and IWORK arrays, and no error message related to LWORK is issued by XERBLA.
RWORK (workspace) REAL array, dimension (MAX(1,LRWORK))
LRWORK >= 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 ) On exit, if INFO = 0, RWORK(1) returns the minimum LRWORK.
IWORK (workspace) INTEGER array, dimension (MAX(1,LIWORK))
LIWORK >= max(1, 3*MINMN*NLVL + 11*MINMN), where MINMN = MIN( M,N ). On exit, if INFO = 0, IWORK(1) returns the minimum LIWORK.
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.

FURTHER DETAILS

Based on contributions by

Ming Gu and Ren-Cang Li, Computer Science Division, University of
  California at Berkeley, USA

Osni Marques, LBNL/NERSC, USA