SUBROUTINE DPSTRF( UPLO, N, A, LDA, PIV, RANK, TOL, WORK, INFO )
*
* -- LAPACK routine (version 3.2) --
* Craig Lucas, University of Manchester / NAG Ltd.
* October, 2008
*
* .. Scalar Arguments ..
DOUBLE PRECISION TOL
INTEGER INFO, LDA, N, RANK
CHARACTER UPLO
* ..
* .. Array Arguments ..
DOUBLE PRECISION A( LDA, * ), WORK( 2*N )
INTEGER PIV( N )
* ..
*
* Purpose
* =======
*
* DPSTRF computes the Cholesky factorization with complete
* pivoting of a real symmetric positive semidefinite matrix A.
*
* The factorization has the form
* P' * A * P = U' * U , if UPLO = 'U',
* P' * A * P = L * L', if UPLO = 'L',
* where U is an upper triangular matrix and L is lower triangular, and
* P is stored as vector PIV.
*
* This algorithm does not attempt to check that A is positive
* semidefinite. This version of the algorithm calls level 3 BLAS.
*
* Arguments
* =========
*
* UPLO (input) CHARACTER*1
* Specifies whether the upper or lower triangular part of the
* symmetric matrix A is stored.
* = 'U': Upper triangular
* = 'L': Lower triangular
*
* N (input) INTEGER
* The order of the matrix A. N >= 0.
*
* A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
* On entry, the symmetric matrix A. If UPLO = 'U', the leading
* n by n upper triangular part of A contains the upper
* triangular part of the matrix A, and the strictly lower
* triangular part of A is not referenced. If UPLO = 'L', the
* leading n by n lower triangular part of A contains the lower
* triangular part of the matrix A, and the strictly upper
* triangular part of A is not referenced.
*
* On exit, if INFO = 0, the factor U or L from the Cholesky
* factorization as above.
*
* LDA (input) INTEGER
* The leading dimension of the array A. LDA >= max(1,N).
*
* PIV (output) INTEGER array, dimension (N)
* PIV is such that the nonzero entries are P( PIV(K), K ) = 1.
*
* RANK (output) INTEGER
* The rank of A given by the number of steps the algorithm
* completed.
*
* TOL (input) DOUBLE PRECISION
* User defined tolerance. If TOL < 0, then N*U*MAX( A(K,K) )
* will be used. The algorithm terminates at the (K-1)st step
* if the pivot <= TOL.
*
* WORK DOUBLE PRECISION array, dimension (2*N)
* Work space.
*
* INFO (output) INTEGER
* < 0: If INFO = -K, the K-th argument had an illegal value,
* = 0: algorithm completed successfully, and
* > 0: the matrix A is either rank deficient with computed rank
* as returned in RANK, or is indefinite. See Section 7 of
* LAPACK Working Note #161 for further information.
*
* =====================================================================
*
* .. Parameters ..
DOUBLE PRECISION ONE, ZERO
PARAMETER ( ONE = 1.0D+0, ZERO = 0.0D+0 )
* ..
* .. Local Scalars ..
DOUBLE PRECISION AJJ, DSTOP, DTEMP
INTEGER I, ITEMP, J, JB, K, NB, PVT
LOGICAL UPPER
* ..
* .. External Functions ..
DOUBLE PRECISION DLAMCH
INTEGER ILAENV
LOGICAL LSAME, DISNAN
EXTERNAL DLAMCH, ILAENV, LSAME, DISNAN
* ..
* .. External Subroutines ..
EXTERNAL DGEMV, DPSTF2, DSCAL, DSWAP, DSYRK, XERBLA
* ..
* .. Intrinsic Functions ..
INTRINSIC MAX, MIN, SQRT, MAXLOC
* ..
* .. Executable Statements ..
*
* Test the input parameters.
*
INFO = 0
UPPER = LSAME( UPLO, 'U' )
IF( .NOT.UPPER .AND. .NOT.LSAME( UPLO, 'L' ) ) THEN
INFO = -1
ELSE IF( N.LT.0 ) THEN
INFO = -2
ELSE IF( LDA.LT.MAX( 1, N ) ) THEN
INFO = -4
END IF
IF( INFO.NE.0 ) THEN
CALL XERBLA( 'DPSTRF', -INFO )
RETURN
END IF
*
* Quick return if possible
*
IF( N.EQ.0 )
$ RETURN
*
* Get block size
*
NB = ILAENV( 1, 'DPOTRF', UPLO, N, -1, -1, -1 )
IF( NB.LE.1 .OR. NB.GE.N ) THEN
*
* Use unblocked code
*
CALL DPSTF2( UPLO, N, A( 1, 1 ), LDA, PIV, RANK, TOL, WORK,
$ INFO )
GO TO 200
*
ELSE
*
* Initialize PIV
*
DO 100 I = 1, N
PIV( I ) = I
100 CONTINUE
*
* Compute stopping value
*
PVT = 1
AJJ = A( PVT, PVT )
DO I = 2, N
IF( A( I, I ).GT.AJJ ) THEN
PVT = I
AJJ = A( PVT, PVT )
END IF
END DO
IF( AJJ.EQ.ZERO.OR.DISNAN( AJJ ) ) THEN
RANK = 0
INFO = 1
GO TO 200
END IF
*
* Compute stopping value if not supplied
*
IF( TOL.LT.ZERO ) THEN
DSTOP = N * DLAMCH( 'Epsilon' ) * AJJ
ELSE
DSTOP = TOL
END IF
*
*
IF( UPPER ) THEN
*
* Compute the Cholesky factorization P' * A * P = U' * U
*
DO 140 K = 1, N, NB
*
* Account for last block not being NB wide
*
JB = MIN( NB, N-K+1 )
*
* Set relevant part of first half of WORK to zero,
* holds dot products
*
DO 110 I = K, N
WORK( I ) = 0
110 CONTINUE
*
DO 130 J = K, K + JB - 1
*
* Find pivot, test for exit, else swap rows and columns
* Update dot products, compute possible pivots which are
* stored in the second half of WORK
*
DO 120 I = J, N
*
IF( J.GT.K ) THEN
WORK( I ) = WORK( I ) + A( J-1, I )**2
END IF
WORK( N+I ) = A( I, I ) - WORK( I )
*
120 CONTINUE
*
IF( J.GT.1 ) THEN
ITEMP = MAXLOC( WORK( (N+J):(2*N) ), 1 )
PVT = ITEMP + J - 1
AJJ = WORK( N+PVT )
IF( AJJ.LE.DSTOP.OR.DISNAN( AJJ ) ) THEN
A( J, J ) = AJJ
GO TO 190
END IF
END IF
*
IF( J.NE.PVT ) THEN
*
* Pivot OK, so can now swap pivot rows and columns
*
A( PVT, PVT ) = A( J, J )
CALL DSWAP( J-1, A( 1, J ), 1, A( 1, PVT ), 1 )
IF( PVT.LT.N )
$ CALL DSWAP( N-PVT, A( J, PVT+1 ), LDA,
$ A( PVT, PVT+1 ), LDA )
CALL DSWAP( PVT-J-1, A( J, J+1 ), LDA,
$ A( J+1, PVT ), 1 )
*
* Swap dot products and PIV
*
DTEMP = WORK( J )
WORK( J ) = WORK( PVT )
WORK( PVT ) = DTEMP
ITEMP = PIV( PVT )
PIV( PVT ) = PIV( J )
PIV( J ) = ITEMP
END IF
*
AJJ = SQRT( AJJ )
A( J, J ) = AJJ
*
* Compute elements J+1:N of row J.
*
IF( J.LT.N ) THEN
CALL DGEMV( 'Trans', J-K, N-J, -ONE, A( K, J+1 ),
$ LDA, A( K, J ), 1, ONE, A( J, J+1 ),
$ LDA )
CALL DSCAL( N-J, ONE / AJJ, A( J, J+1 ), LDA )
END IF
*
130 CONTINUE
*
* Update trailing matrix, J already incremented
*
IF( K+JB.LE.N ) THEN
CALL DSYRK( 'Upper', 'Trans', N-J+1, JB, -ONE,
$ A( K, J ), LDA, ONE, A( J, J ), LDA )
END IF
*
140 CONTINUE
*
ELSE
*
* Compute the Cholesky factorization P' * A * P = L * L'
*
DO 180 K = 1, N, NB
*
* Account for last block not being NB wide
*
JB = MIN( NB, N-K+1 )
*
* Set relevant part of first half of WORK to zero,
* holds dot products
*
DO 150 I = K, N
WORK( I ) = 0
150 CONTINUE
*
DO 170 J = K, K + JB - 1
*
* Find pivot, test for exit, else swap rows and columns
* Update dot products, compute possible pivots which are
* stored in the second half of WORK
*
DO 160 I = J, N
*
IF( J.GT.K ) THEN
WORK( I ) = WORK( I ) + A( I, J-1 )**2
END IF
WORK( N+I ) = A( I, I ) - WORK( I )
*
160 CONTINUE
*
IF( J.GT.1 ) THEN
ITEMP = MAXLOC( WORK( (N+J):(2*N) ), 1 )
PVT = ITEMP + J - 1
AJJ = WORK( N+PVT )
IF( AJJ.LE.DSTOP.OR.DISNAN( AJJ ) ) THEN
A( J, J ) = AJJ
GO TO 190
END IF
END IF
*
IF( J.NE.PVT ) THEN
*
* Pivot OK, so can now swap pivot rows and columns
*
A( PVT, PVT ) = A( J, J )
CALL DSWAP( J-1, A( J, 1 ), LDA, A( PVT, 1 ), LDA )
IF( PVT.LT.N )
$ CALL DSWAP( N-PVT, A( PVT+1, J ), 1,
$ A( PVT+1, PVT ), 1 )
CALL DSWAP( PVT-J-1, A( J+1, J ), 1, A( PVT, J+1 ),
$ LDA )
*
* Swap dot products and PIV
*
DTEMP = WORK( J )
WORK( J ) = WORK( PVT )
WORK( PVT ) = DTEMP
ITEMP = PIV( PVT )
PIV( PVT ) = PIV( J )
PIV( J ) = ITEMP
END IF
*
AJJ = SQRT( AJJ )
A( J, J ) = AJJ
*
* Compute elements J+1:N of column J.
*
IF( J.LT.N ) THEN
CALL DGEMV( 'No Trans', N-J, J-K, -ONE,
$ A( J+1, K ), LDA, A( J, K ), LDA, ONE,
$ A( J+1, J ), 1 )
CALL DSCAL( N-J, ONE / AJJ, A( J+1, J ), 1 )
END IF
*
170 CONTINUE
*
* Update trailing matrix, J already incremented
*
IF( K+JB.LE.N ) THEN
CALL DSYRK( 'Lower', 'No Trans', N-J+1, JB, -ONE,
$ A( J, K ), LDA, ONE, A( J, J ), LDA )
END IF
*
180 CONTINUE
*
END IF
END IF
*
* Ran to completion, A has full rank
*
RANK = N
*
GO TO 200
190 CONTINUE
*
* Rank is the number of steps completed. Set INFO = 1 to signal
* that the factorization cannot be used to solve a system.
*
RANK = J - 1
INFO = 1
*
200 CONTINUE
RETURN
*
* End of DPSTRF
*
END