LAPACK  3.4.2 LAPACK: Linear Algebra PACKage
dggglm.f File Reference

Go to the source code of this file.

## Functions/Subroutines

subroutine dggglm (N, M, P, A, LDA, B, LDB, D, X, Y, WORK, LWORK, INFO)
DGGEVX computes the eigenvalues and, optionally, the left and/or right eigenvectors for GE matrices

## Function/Subroutine Documentation

 subroutine dggglm ( integer N, integer M, integer P, double precision, dimension( lda, * ) A, integer LDA, double precision, dimension( ldb, * ) B, integer LDB, double precision, dimension( * ) D, double precision, dimension( * ) X, double precision, dimension( * ) Y, double precision, dimension( * ) WORK, integer LWORK, integer INFO )

DGGEVX computes the eigenvalues and, optionally, the left and/or right eigenvectors for GE matrices

Purpose:
``` DGGGLM solves a general Gauss-Markov linear model (GLM) problem:

minimize || y ||_2   subject to   d = A*x + B*y
x

where A is an N-by-M matrix, B is an N-by-P matrix, and d is a
given N-vector. It is assumed that M <= N <= M+P, and

rank(A) = M    and    rank( A B ) = N.

Under these assumptions, the constrained equation is always
consistent, and there is a unique solution x and a minimal 2-norm
solution y, which is obtained using a generalized QR factorization
of the matrices (A, B) given by

A = Q*(R),   B = Q*T*Z.
(0)

In particular, if matrix B is square nonsingular, then the problem
GLM is equivalent to the following weighted linear least squares
problem

minimize || inv(B)*(d-A*x) ||_2
x

where inv(B) denotes the inverse of B.```
Parameters:
 [in] N ``` N is INTEGER The number of rows of the matrices A and B. N >= 0.``` [in] M ``` M is INTEGER The number of columns of the matrix A. 0 <= M <= N.``` [in] P ``` P is INTEGER The number of columns of the matrix B. P >= N-M.``` [in,out] A ``` A is DOUBLE PRECISION array, dimension (LDA,M) On entry, the N-by-M matrix A. On exit, the upper triangular part of the array A contains the M-by-M upper triangular matrix R.``` [in] LDA ``` LDA is INTEGER The leading dimension of the array A. LDA >= max(1,N).``` [in,out] B ``` B is DOUBLE PRECISION array, dimension (LDB,P) On entry, the N-by-P matrix B. On exit, if N <= P, the upper triangle of the subarray B(1:N,P-N+1:P) contains the N-by-N upper triangular matrix T; if N > P, the elements on and above the (N-P)th subdiagonal contain the N-by-P upper trapezoidal matrix T.``` [in] LDB ``` LDB is INTEGER The leading dimension of the array B. LDB >= max(1,N).``` [in,out] D ``` D is DOUBLE PRECISION array, dimension (N) On entry, D is the left hand side of the GLM equation. On exit, D is destroyed.``` [out] X ` X is DOUBLE PRECISION array, dimension (M)` [out] Y ``` Y is DOUBLE PRECISION array, dimension (P) On exit, X and Y are the solutions of the GLM problem.``` [out] WORK ``` WORK is DOUBLE PRECISION array, dimension (MAX(1,LWORK)) On exit, if INFO = 0, WORK(1) returns the optimal LWORK.``` [in] LWORK ``` LWORK is INTEGER The dimension of the array WORK. LWORK >= max(1,N+M+P). For optimum performance, LWORK >= M+min(N,P)+max(N,P)*NB, where NB is an upper bound for the optimal blocksizes for DGEQRF, SGERQF, DORMQR and SORMRQ. 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.``` [out] INFO ``` INFO is INTEGER = 0: successful exit. < 0: if INFO = -i, the i-th argument had an illegal value. = 1: the upper triangular factor R associated with A in the generalized QR factorization of the pair (A, B) is singular, so that rank(A) < M; the least squares solution could not be computed. = 2: the bottom (N-M) by (N-M) part of the upper trapezoidal factor T associated with B in the generalized QR factorization of the pair (A, B) is singular, so that rank( A B ) < N; the least squares solution could not be computed.```
Date:
November 2011

Definition at line 185 of file dggglm.f.

Here is the call graph for this function:

Here is the caller graph for this function: