numeric-linalg
Educational material on the SciPy implementation of numerical linear algebra algorithms
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lapack/SRC/slaqp2rk.f | 24696B | -rw-r--r-- |
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*> \brief \b SLAQP2RK computes truncated QR factorization with column pivoting of a real matrix block using Level 2 BLAS and overwrites a real m-by-nrhs matrix B with Q**T * B. * * =========== DOCUMENTATION =========== * * Online html documentation available at * http://www.netlib.org/lapack/explore-html/ * *> \htmlonly *> Download SLAQP2RK + dependencies *> <a href="http://www.netlib.org/cgi-bin/netlibfiles.tgz?format=tgz&filename=/lapack/lapack_routine/slaqp2rk.f"> *> [TGZ]</a> *> <a href="http://www.netlib.org/cgi-bin/netlibfiles.zip?format=zip&filename=/lapack/lapack_routine/slaqp2rk.f"> *> [ZIP]</a> *> <a href="http://www.netlib.org/cgi-bin/netlibfiles.txt?format=txt&filename=/lapack/lapack_routine/slaqp2rk.f"> *> [TXT]</a> *> \endhtmlonly * * Definition: * =========== * * SUBROUTINE SLAQP2RK( M, N, NRHS, IOFFSET, KMAX, ABSTOL, RELTOL, * $ KP1, MAXC2NRM, A, LDA, K, MAXC2NRMK, * $ RELMAXC2NRMK, JPIV, TAU, VN1, VN2, WORK, * $ INFO ) * IMPLICIT NONE * * .. Scalar Arguments .. * INTEGER INFO, IOFFSET, KP1, K, KMAX, LDA, M, N, NRHS * REAL ABSTOL, MAXC2NRM, MAXC2NRMK, RELMAXC2NRMK, * $ RELTOL * .. * .. Array Arguments .. * INTEGER JPIV( * ) * REAL A( LDA, * ), TAU( * ), VN1( * ), VN2( * ), * $ WORK( * ) * .. * * *> \par Purpose: * ============= *> *> \verbatim *> *> SLAQP2RK computes a truncated (rank K) or full rank Householder QR *> factorization with column pivoting of a real matrix *> block A(IOFFSET+1:M,1:N) as *> *> A * P(K) = Q(K) * R(K). *> *> The routine uses Level 2 BLAS. The block A(1:IOFFSET,1:N) *> is accordingly pivoted, but not factorized. *> *> The routine also overwrites the right-hand-sides matrix block B *> stored in A(IOFFSET+1:M,N+1:N+NRHS) with Q(K)**T * B. *> \endverbatim * * Arguments: * ========== * *> \param[in] M *> \verbatim *> M is INTEGER *> The number of rows of the matrix A. M >= 0. *> \endverbatim *> *> \param[in] N *> \verbatim *> N is INTEGER *> The number of columns of the matrix A. N >= 0. *> \endverbatim *> *> \param[in] NRHS *> \verbatim *> NRHS is INTEGER *> The number of right hand sides, i.e., the number of *> columns of the matrix B. NRHS >= 0. *> \endverbatim *> *> \param[in] IOFFSET *> \verbatim *> IOFFSET is INTEGER *> The number of rows of the matrix A that must be pivoted *> but not factorized. IOFFSET >= 0. *> *> IOFFSET also represents the number of columns of the whole *> original matrix A_orig that have been factorized *> in the previous steps. *> \endverbatim *> *> \param[in] KMAX *> \verbatim *> KMAX is INTEGER *> *> The first factorization stopping criterion. KMAX >= 0. *> *> The maximum number of columns of the matrix A to factorize, *> i.e. the maximum factorization rank. *> *> a) If KMAX >= min(M-IOFFSET,N), then this stopping *> criterion is not used, factorize columns *> depending on ABSTOL and RELTOL. *> *> b) If KMAX = 0, then this stopping criterion is *> satisfied on input and the routine exits immediately. *> This means that the factorization is not performed, *> the matrices A and B and the arrays TAU, IPIV *> are not modified. *> \endverbatim *> *> \param[in] ABSTOL *> \verbatim *> ABSTOL is DOUBLE PRECISION, cannot be NaN. *> *> The second factorization stopping criterion. *> *> The absolute tolerance (stopping threshold) for *> maximum column 2-norm of the residual matrix. *> The algorithm converges (stops the factorization) when *> the maximum column 2-norm of the residual matrix *> is less than or equal to ABSTOL. *> *> a) If ABSTOL < 0.0, then this stopping criterion is not *> used, the routine factorizes columns depending *> on KMAX and RELTOL. *> This includes the case ABSTOL = -Inf. *> *> b) If 0.0 <= ABSTOL then the input value *> of ABSTOL is used. *> \endverbatim *> *> \param[in] RELTOL *> \verbatim *> RELTOL is DOUBLE PRECISION, cannot be NaN. *> *> The third factorization stopping criterion. *> *> The tolerance (stopping threshold) for the ratio of the *> maximum column 2-norm of the residual matrix to the maximum *> column 2-norm of the original matrix A_orig. The algorithm *> converges (stops the factorization), when this ratio is *> less than or equal to RELTOL. *> *> a) If RELTOL < 0.0, then this stopping criterion is not *> used, the routine factorizes columns depending *> on KMAX and ABSTOL. *> This includes the case RELTOL = -Inf. *> *> d) If 0.0 <= RELTOL then the input value of RELTOL *> is used. *> \endverbatim *> *> \param[in] KP1 *> \verbatim *> KP1 is INTEGER *> The index of the column with the maximum 2-norm in *> the whole original matrix A_orig determined in the *> main routine SGEQP3RK. 1 <= KP1 <= N_orig_mat. *> \endverbatim *> *> \param[in] MAXC2NRM *> \verbatim *> MAXC2NRM is DOUBLE PRECISION *> The maximum column 2-norm of the whole original *> matrix A_orig computed in the main routine SGEQP3RK. *> MAXC2NRM >= 0. *> \endverbatim *> *> \param[in,out] A *> \verbatim *> A is REAL array, dimension (LDA,N+NRHS) *> On entry: *> the M-by-N matrix A and M-by-NRHS matrix B, as in *> *> N NRHS *> array_A = M [ mat_A, mat_B ] *> *> On exit: *> 1. The elements in block A(IOFFSET+1:M,1:K) below *> the diagonal together with the array TAU represent *> the orthogonal matrix Q(K) as a product of elementary *> reflectors. *> 2. The upper triangular block of the matrix A stored *> in A(IOFFSET+1:M,1:K) is the triangular factor obtained. *> 3. The block of the matrix A stored in A(1:IOFFSET,1:N) *> has been accordingly pivoted, but not factorized. *> 4. The rest of the array A, block A(IOFFSET+1:M,K+1:N+NRHS). *> The left part A(IOFFSET+1:M,K+1:N) of this block *> contains the residual of the matrix A, and, *> if NRHS > 0, the right part of the block *> A(IOFFSET+1:M,N+1:N+NRHS) contains the block of *> the right-hand-side matrix B. Both these blocks have been *> updated by multiplication from the left by Q(K)**T. *> \endverbatim *> *> \param[in] LDA *> \verbatim *> LDA is INTEGER *> The leading dimension of the array A. LDA >= max(1,M). *> \endverbatim *> *> \param[out] K *> \verbatim *> K is INTEGER *> Factorization rank of the matrix A, i.e. the rank of *> the factor R, which is the same as the number of non-zero *> rows of the factor R. 0 <= K <= min(M-IOFFSET,KMAX,N). *> *> K also represents the number of non-zero Householder *> vectors. *> \endverbatim *> *> \param[out] MAXC2NRMK *> \verbatim *> MAXC2NRMK is DOUBLE PRECISION *> The maximum column 2-norm of the residual matrix, *> when the factorization stopped at rank K. MAXC2NRMK >= 0. *> \endverbatim *> *> \param[out] RELMAXC2NRMK *> \verbatim *> RELMAXC2NRMK is DOUBLE PRECISION *> The ratio MAXC2NRMK / MAXC2NRM of the maximum column *> 2-norm of the residual matrix (when the factorization *> stopped at rank K) to the maximum column 2-norm of the *> whole original matrix A. RELMAXC2NRMK >= 0. *> \endverbatim *> *> \param[out] JPIV *> \verbatim *> JPIV is INTEGER array, dimension (N) *> Column pivot indices, for 1 <= j <= N, column j *> of the matrix A was interchanged with column JPIV(j). *> \endverbatim *> *> \param[out] TAU *> \verbatim *> TAU is REAL array, dimension (min(M-IOFFSET,N)) *> The scalar factors of the elementary reflectors. *> \endverbatim *> *> \param[in,out] VN1 *> \verbatim *> VN1 is REAL array, dimension (N) *> The vector with the partial column norms. *> \endverbatim *> *> \param[in,out] VN2 *> \verbatim *> VN2 is REAL array, dimension (N) *> The vector with the exact column norms. *> \endverbatim *> *> \param[out] WORK *> \verbatim *> WORK is REAL array, dimension (N-1) *> Used in SLARF1F subroutine to apply an elementary *> reflector from the left. *> \endverbatim *> *> \param[out] INFO *> \verbatim *> INFO is INTEGER *> 1) INFO = 0: successful exit. *> 2) If INFO = j_1, where 1 <= j_1 <= N, then NaN was *> detected and the routine stops the computation. *> The j_1-th column of the matrix A or the j_1-th *> element of array TAU contains the first occurrence *> of NaN in the factorization step K+1 ( when K columns *> have been factorized ). *> *> On exit: *> K is set to the number of *> factorized columns without *> exception. *> MAXC2NRMK is set to NaN. *> RELMAXC2NRMK is set to NaN. *> TAU(K+1:min(M,N)) is not set and contains undefined *> elements. If j_1=K+1, TAU(K+1) *> may contain NaN. *> 3) If INFO = j_2, where N+1 <= j_2 <= 2*N, then no NaN *> was detected, but +Inf (or -Inf) was detected and *> the routine continues the computation until completion. *> The (j_2-N)-th column of the matrix A contains the first *> occurrence of +Inf (or -Inf) in the factorization *> step K+1 ( when K columns have been factorized ). *> \endverbatim * * Authors: * ======== * *> \author Univ. of Tennessee *> \author Univ. of California Berkeley *> \author Univ. of Colorado Denver *> \author NAG Ltd. * *> \ingroup laqp2rk * *> \par References: * ================ *> [1] A Level 3 BLAS QR factorization algorithm with column pivoting developed in 1996. *> G. Quintana-Orti, Depto. de Informatica, Universidad Jaime I, Spain. *> X. Sun, Computer Science Dept., Duke University, USA. *> C. H. Bischof, Math. and Comp. Sci. Div., Argonne National Lab, USA. *> A BLAS-3 version of the QR factorization with column pivoting. *> LAPACK Working Note 114 *> \htmlonly *> <a href="https://www.netlib.org/lapack/lawnspdf/lawn114.pdf">https://www.netlib.org/lapack/lawnspdf/lawn114.pdf</a> *> \endhtmlonly *> and in *> SIAM J. Sci. Comput., 19(5):1486-1494, Sept. 1998. *> \htmlonly *> <a href="https://doi.org/10.1137/S1064827595296732">https://doi.org/10.1137/S1064827595296732</a> *> \endhtmlonly *> *> [2] A partial column norm updating strategy developed in 2006. *> Z. Drmac and Z. Bujanovic, Dept. of Math., University of Zagreb, Croatia. *> On the failure of rank revealing QR factorization software – a case study. *> LAPACK Working Note 176. *> \htmlonly *> <a href="http://www.netlib.org/lapack/lawnspdf/lawn176.pdf">http://www.netlib.org/lapack/lawnspdf/lawn176.pdf</a> *> \endhtmlonly *> and in *> ACM Trans. Math. Softw. 35, 2, Article 12 (July 2008), 28 pages. *> \htmlonly *> <a href="https://doi.org/10.1145/1377612.1377616">https://doi.org/10.1145/1377612.1377616</a> *> \endhtmlonly * *> \par Contributors: * ================== *> *> \verbatim *> *> November 2023, Igor Kozachenko, James Demmel, *> EECS Department, *> University of California, Berkeley, USA. *> *> \endverbatim * * ===================================================================== SUBROUTINE SLAQP2RK( M, N, NRHS, IOFFSET, KMAX, ABSTOL, RELTOL, $ KP1, MAXC2NRM, A, LDA, K, MAXC2NRMK, $ RELMAXC2NRMK, JPIV, TAU, VN1, VN2, WORK, $ INFO ) IMPLICIT NONE * * -- LAPACK auxiliary routine -- * -- LAPACK is a software package provided by Univ. of Tennessee, -- * -- Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..-- * * .. Scalar Arguments .. INTEGER INFO, IOFFSET, KP1, K, KMAX, LDA, M, N, NRHS REAL ABSTOL, MAXC2NRM, MAXC2NRMK, RELMAXC2NRMK, $ RELTOL * .. * .. Array Arguments .. INTEGER JPIV( * ) REAL A( LDA, * ), TAU( * ), VN1( * ), VN2( * ), $ WORK( * ) * .. * * ===================================================================== * * .. Parameters .. REAL ZERO, ONE PARAMETER ( ZERO = 0.0E+0, ONE = 1.0E+0 ) * .. * .. Local Scalars .. INTEGER I, ITEMP, J, JMAXC2NRM, KK, KP, MINMNFACT, $ MINMNUPDT REAL HUGEVAL, TEMP, TEMP2, TOL3Z * .. * .. External Subroutines .. EXTERNAL SLARF1F, SLARFG, SSWAP * .. * .. Intrinsic Functions .. INTRINSIC ABS, MAX, MIN, SQRT * .. * .. External Functions .. LOGICAL SISNAN INTEGER ISAMAX REAL SLAMCH, SNRM2 EXTERNAL SISNAN, SLAMCH, ISAMAX, SNRM2 * .. * .. Executable Statements .. * * Initialize INFO * INFO = 0 * * MINMNFACT in the smallest dimension of the submatrix * A(IOFFSET+1:M,1:N) to be factorized. * * MINMNUPDT is the smallest dimension * of the subarray A(IOFFSET+1:M,1:N+NRHS) to be udated, which * contains the submatrices A(IOFFSET+1:M,1:N) and * B(IOFFSET+1:M,1:NRHS) as column blocks. * MINMNFACT = MIN( M-IOFFSET, N ) MINMNUPDT = MIN( M-IOFFSET, N+NRHS ) KMAX = MIN( KMAX, MINMNFACT ) TOL3Z = SQRT( SLAMCH( 'Epsilon' ) ) HUGEVAL = SLAMCH( 'Overflow' ) * * Compute the factorization, KK is the lomn loop index. * DO KK = 1, KMAX * I = IOFFSET + KK * IF( I.EQ.1 ) THEN * * ============================================================ * * We are at the first column of the original whole matrix A, * therefore we use the computed KP1 and MAXC2NRM from the * main routine. * KP = KP1 * * ============================================================ * ELSE * * ============================================================ * * Determine the pivot column in KK-th step, i.e. the index * of the column with the maximum 2-norm in the * submatrix A(I:M,K:N). * KP = ( KK-1 ) + ISAMAX( N-KK+1, VN1( KK ), 1 ) * * Determine the maximum column 2-norm and the relative maximum * column 2-norm of the submatrix A(I:M,KK:N) in step KK. * RELMAXC2NRMK will be computed later, after somecondition * checks on MAXC2NRMK. * MAXC2NRMK = VN1( KP ) * * ============================================================ * * Check if the submatrix A(I:M,KK:N) contains NaN, and set * INFO parameter to the column number, where the first NaN * is found and return from the routine. * We need to check the condition only if the * column index (same as row index) of the original whole * matrix is larger than 1, since the condition for whole * original matrix is checked in the main routine. * IF( SISNAN( MAXC2NRMK ) ) THEN * * Set K, the number of factorized columns. * that are not zero. * K = KK - 1 INFO = K + KP * * Set RELMAXC2NRMK to NaN. * RELMAXC2NRMK = MAXC2NRMK * * Array TAU(K+1:MINMNFACT) is not set and contains * undefined elements. * RETURN END IF * * ============================================================ * * Quick return, if the submatrix A(I:M,KK:N) is * a zero matrix. * We need to check the condition only if the * column index (same as row index) of the original whole * matrix is larger than 1, since the condition for whole * original matrix is checked in the main routine. * IF( MAXC2NRMK.EQ.ZERO ) THEN * * Set K, the number of factorized columns. * that are not zero. * K = KK - 1 RELMAXC2NRMK = ZERO * * Set TAUs corresponding to the columns that were not * factorized to ZERO, i.e. set TAU(KK:MINMNFACT) to ZERO. * DO J = KK, MINMNFACT TAU( J ) = ZERO END DO * * Return from the routine. * RETURN * END IF * * ============================================================ * * Check if the submatrix A(I:M,KK:N) contains Inf, * set INFO parameter to the column number, where * the first Inf is found plus N, and continue * the computation. * We need to check the condition only if the * column index (same as row index) of the original whole * matrix is larger than 1, since the condition for whole * original matrix is checked in the main routine. * IF( INFO.EQ.0 .AND. MAXC2NRMK.GT.HUGEVAL ) THEN INFO = N + KK - 1 + KP END IF * * ============================================================ * * Test for the second and third stopping criteria. * NOTE: There is no need to test for ABSTOL >= ZERO, since * MAXC2NRMK is non-negative. Similarly, there is no need * to test for RELTOL >= ZERO, since RELMAXC2NRMK is * non-negative. * We need to check the condition only if the * column index (same as row index) of the original whole * matrix is larger than 1, since the condition for whole * original matrix is checked in the main routine. RELMAXC2NRMK = MAXC2NRMK / MAXC2NRM * IF( MAXC2NRMK.LE.ABSTOL .OR. RELMAXC2NRMK.LE.RELTOL ) THEN * * Set K, the number of factorized columns. * K = KK - 1 * * Set TAUs corresponding to the columns that were not * factorized to ZERO, i.e. set TAU(KK:MINMNFACT) to ZERO. * DO J = KK, MINMNFACT TAU( J ) = ZERO END DO * * Return from the routine. * RETURN * END IF * * ============================================================ * * End ELSE of IF(I.EQ.1) * END IF * * =============================================================== * * If the pivot column is not the first column of the * subblock A(1:M,KK:N): * 1) swap the KK-th column and the KP-th pivot column * in A(1:M,1:N); * 2) copy the KK-th element into the KP-th element of the partial * and exact 2-norm vectors VN1 and VN2. ( Swap is not needed * for VN1 and VN2 since we use the element with the index * larger than KK in the next loop step.) * 3) Save the pivot interchange with the indices relative to the * the original matrix A, not the block A(1:M,1:N). * IF( KP.NE.KK ) THEN CALL SSWAP( M, A( 1, KP ), 1, A( 1, KK ), 1 ) VN1( KP ) = VN1( KK ) VN2( KP ) = VN2( KK ) ITEMP = JPIV( KP ) JPIV( KP ) = JPIV( KK ) JPIV( KK ) = ITEMP END IF * * Generate elementary reflector H(KK) using the column A(I:M,KK), * if the column has more than one element, otherwise * the elementary reflector would be an identity matrix, * and TAU(KK) = ZERO. * IF( I.LT.M ) THEN CALL SLARFG( M-I+1, A( I, KK ), A( I+1, KK ), 1, $ TAU( KK ) ) ELSE TAU( KK ) = ZERO END IF * * Check if TAU(KK) contains NaN, set INFO parameter * to the column number where NaN is found and return from * the routine. * NOTE: There is no need to check TAU(KK) for Inf, * since SLARFG cannot produce TAU(KK) or Householder vector * below the diagonal containing Inf. Only BETA on the diagonal, * returned by SLARFG can contain Inf, which requires * TAU(KK) to contain NaN. Therefore, this case of generating Inf * by SLARFG is covered by checking TAU(KK) for NaN. * IF( SISNAN( TAU(KK) ) ) THEN K = KK - 1 INFO = KK * * Set MAXC2NRMK and RELMAXC2NRMK to NaN. * MAXC2NRMK = TAU( KK ) RELMAXC2NRMK = TAU( KK ) * * Array TAU(KK:MINMNFACT) is not set and contains * undefined elements, except the first element TAU(KK) = NaN. * RETURN END IF * * Apply H(KK)**T to A(I:M,KK+1:N+NRHS) from the left. * ( If M >= N, then at KK = N there is no residual matrix, * i.e. no columns of A to update, only columns of B. * If M < N, then at KK = M-IOFFSET, I = M and we have a * one-row residual matrix in A and the elementary * reflector is a unit matrix, TAU(KK) = ZERO, i.e. no update * is needed for the residual matrix in A and the * right-hand-side-matrix in B. * Therefore, we update only if * KK < MINMNUPDT = min(M-IOFFSET, N+NRHS) * condition is satisfied, not only KK < N+NRHS ) * IF( KK.LT.MINMNUPDT ) THEN CALL SLARF1F( 'Left', M-I+1, N+NRHS-KK, A( I, KK ), 1, $ TAU( KK ), A( I, KK+1 ), LDA, WORK( 1 ) ) END IF * IF( KK.LT.MINMNFACT ) THEN * * Update the partial column 2-norms for the residual matrix, * only if the residual matrix A(I+1:M,KK+1:N) exists, i.e. * when KK < min(M-IOFFSET, N). * DO J = KK + 1, N IF( VN1( J ).NE.ZERO ) THEN * * NOTE: The following lines follow from the analysis in * Lapack Working Note 176. * TEMP = ONE - ( ABS( A( I, J ) ) / VN1( J ) )**2 TEMP = MAX( TEMP, ZERO ) TEMP2 = TEMP*( VN1( J ) / VN2( J ) )**2 IF( TEMP2 .LE. TOL3Z ) THEN * * Compute the column 2-norm for the partial * column A(I+1:M,J) by explicitly computing it, * and store it in both partial 2-norm vector VN1 * and exact column 2-norm vector VN2. * VN1( J ) = SNRM2( M-I, A( I+1, J ), 1 ) VN2( J ) = VN1( J ) * ELSE * * Update the column 2-norm for the partial * column A(I+1:M,J) by removing one * element A(I,J) and store it in partial * 2-norm vector VN1. * VN1( J ) = VN1( J )*SQRT( TEMP ) * END IF END IF END DO * END IF * * End factorization loop * END DO * * If we reached this point, all colunms have been factorized, * i.e. no condition was triggered to exit the routine. * Set the number of factorized columns. * K = KMAX * * We reached the end of the loop, i.e. all KMAX columns were * factorized, we need to set MAXC2NRMK and RELMAXC2NRMK before * we return. * IF( K.LT.MINMNFACT ) THEN * JMAXC2NRM = K + ISAMAX( N-K, VN1( K+1 ), 1 ) MAXC2NRMK = VN1( JMAXC2NRM ) * IF( K.EQ.0 ) THEN RELMAXC2NRMK = ONE ELSE RELMAXC2NRMK = MAXC2NRMK / MAXC2NRM END IF * ELSE MAXC2NRMK = ZERO RELMAXC2NRMK = ZERO END IF * * We reached the end of the loop, i.e. all KMAX columns were * factorized, set TAUs corresponding to the columns that were * not factorized to ZERO, i.e. TAU(K+1:MINMNFACT) set to ZERO. * DO J = K + 1, MINMNFACT TAU( J ) = ZERO END DO * RETURN * * End of SLAQP2RK * END