Previous: rt Up: ../eispas.html Next: tinvit
SUBROUTINE SVD(NM,M,N,A,W,MATU,U,MATV,V,IERR,RV1)
C
INTEGER I,J,K,L,M,N,II,I1,KK,K1,LL,L1,MN,NM,ITS,IERR
REAL A(NM,N),W(N),U(NM,N),V(NM,N),RV1(N)
REAL C,F,G,H,S,X,Y,Z,TST1,TST2,SCALE,PYTHAG
LOGICAL MATU,MATV
C
C THIS SUBROUTINE IS A TRANSLATION OF THE ALGOL PROCEDURE SVD,
C NUM. MATH. 14, 403-420(1970) BY GOLUB AND REINSCH.
C HANDBOOK FOR AUTO. COMP., VOL II-LINEAR ALGEBRA, 134-151(1971).
C
C THIS SUBROUTINE DETERMINES THE SINGULAR VALUE DECOMPOSITION
C T
C A=USV OF A REAL M BY N RECTANGULAR MATRIX. HOUSEHOLDER
C BIDIAGONALIZATION AND A VARIANT OF THE QR ALGORITHM ARE USED.
C
C ON INPUT
C
C NM MUST BE SET TO THE ROW DIMENSION OF TWO-DIMENSIONAL
C ARRAY PARAMETERS AS DECLARED IN THE CALLING PROGRAM
C DIMENSION STATEMENT. NOTE THAT NM MUST BE AT LEAST
C AS LARGE AS THE MAXIMUM OF M AND N.
C
C M IS THE NUMBER OF ROWS OF A (AND U).
C
C N IS THE NUMBER OF COLUMNS OF A (AND U) AND THE ORDER OF V.
C
C A CONTAINS THE RECTANGULAR INPUT MATRIX TO BE DECOMPOSED.
C
C MATU SHOULD BE SET TO .TRUE. IF THE U MATRIX IN THE
C DECOMPOSITION IS DESIRED, AND TO .FALSE. OTHERWISE.
C
C MATV SHOULD BE SET TO .TRUE. IF THE V MATRIX IN THE
C DECOMPOSITION IS DESIRED, AND TO .FALSE. OTHERWISE.
C
C ON OUTPUT
C
C A IS UNALTERED (UNLESS OVERWRITTEN BY U OR V).
C
C W CONTAINS THE N (NON-NEGATIVE) SINGULAR VALUES OF A (THE
C DIAGONAL ELEMENTS OF S). THEY ARE UNORDERED. IF AN
C ERROR EXIT IS MADE, THE SINGULAR VALUES SHOULD BE CORRECT
C FOR INDICES IERR+1,IERR+2,...,N.
C
C U CONTAINS THE MATRIX U (ORTHOGONAL COLUMN VECTORS) OF THE
C DECOMPOSITION IF MATU HAS BEEN SET TO .TRUE. OTHERWISE
C U IS USED AS A TEMPORARY ARRAY. U MAY COINCIDE WITH A.
C IF AN ERROR EXIT IS MADE, THE COLUMNS OF U CORRESPONDING
C TO INDICES OF CORRECT SINGULAR VALUES SHOULD BE CORRECT.
C
C V CONTAINS THE MATRIX V (ORTHOGONAL) OF THE DECOMPOSITION IF
C MATV HAS BEEN SET TO .TRUE. OTHERWISE V IS NOT REFERENCED.
C V MAY ALSO COINCIDE WITH A IF U IS NOT NEEDED. IF AN ERROR
C EXIT IS MADE, THE COLUMNS OF V CORRESPONDING TO INDICES OF
C CORRECT SINGULAR VALUES SHOULD BE CORRECT.
C
C IERR IS SET TO
C ZERO FOR NORMAL RETURN,
C K IF THE K-TH SINGULAR VALUE HAS NOT BEEN
C DETERMINED AFTER 30 ITERATIONS.
C
C RV1 IS A TEMPORARY STORAGE ARRAY.
C
C CALLS PYTHAG FOR SQRT(A*A + B*B) .
C
C QUESTIONS AND COMMENTS SHOULD BE DIRECTED TO BURTON S. GARBOW,
C MATHEMATICS AND COMPUTER SCIENCE DIV, ARGONNE NATIONAL LABORATORY
C
C THIS VERSION DATED AUGUST 1983.
C
C ------------------------------------------------------------------
C