Revision 1c367879b5851f1ba03794c4da8770cb99137fdf authored by Berend Hasselman on 16 February 2017, 16:27:47 UTC, committed by cran-robot on 16 February 2017, 16:27:47 UTC
1 parent 435494e
liqrup.f
subroutine liqrup(Q,ldq,n,R,ldr,u,v,wk)
integer ldq,n,ldr
double precision Q(ldq,*),R(ldr,*),u(*),v(*),wk(*)
c-----------------------------------------------------------------------------
c
c Arguments
c
c Inout Q Real(ldq,n) orthogonal matrix from QR
c In ldq Integer leading dimension of Q
c In n Integer order of Q and R
c Inout R Real(ldr,n) upper triangular matrix R from QR
c In ldr Integer leading dimension of R
c In u Real(*) vector u of size n
c In v Real(*) vector v of size n
c Out wk Real(*) workspace of size n
c
c on return
c
c Q Q is the matrix with orthonormal columns in a QR
c decomposition of the matrix B = A + u*v'
c
c R R is the upper triangular matrix in a QR
c decomposition of the matrix B = A + u*v'
c
c Description
c
c The matrices Q and R are a QR decomposition of a square matrix
c A = Q*R.
c Given Q and R, qrupdt computes a QR decomposition of the rank one
c modification B = A + u*trans(v) of A. Here u and v are vectors.
c
c Source : procedure outlined in Dennis & Schnabel (Appendix A)
c Algorithm 3.1.4 and 3.4.1a
c modified (to use Lapack routines and more)
c
c-----------------------------------------------------------------------------
c Local variables and functions
integer k,i
double precision ddot
c calculate wk = trans(Q)*u
do i=1,n
wk(i) = ddot(n,Q(1,i),1,u,1)
enddo
c zero components wk(n),wk(n-1)...wk(2)
c and apply rotators to R and Q.
do k=n-1,1,-1
call jacrot(wk(k),wk(k+1),k,n,Q,ldq,R,ldr,k)
enddo
c r(1,1:n) += wk(1)*v(1:n)
call daxpy(n,wk(1),v,1,R(1,1),ldr)
c R is of upper hessenberg form. Triangularize R.
c kr argument == k+1 to start applying rotation at column k+1
c otherwise R(k,k) will be rotated twice and this way it also
c avoids tiny roundoff errors.
do k=1,n-1
call jacrot(R(k,k),R(k+1,k),k,n,Q,ldq,R,ldr,k+1)
enddo
return
end
c-----------------------------------------------------------------------------
subroutine jacrot(a,b,k,n,Q,ldq,R,ldr,kr)
double precision a, b
integer k,n,ldr,ldq,kr
double precision Q(ldq,*), R(ldr,*)
c-----------------------------------------------------------------------------
c
c Arguments
c
c Inout a Real rotate argument
c Inout b Real rotate argument to rotate to zero
c In k Integer row/column number for rotation
c In n Integer order of Q and R
c Inout Q Real(ldq,n) orthogonal matrix from QR
c In ldq Integer leading dimension of Q
c Inout R Real(ldr,n) upper triangular matrix R from QR
c In ldr Integer leading dimension of R
c In u Real(*) vector u of size n
c In v Real(*) vector v of size n
c In kr Integer start R rotation in column kr
c (should be k or k+1)
c
c-----------------------------------------------------------------------------
double precision t
double precision c,s
double precision Rzero
parameter(Rzero=0.0d0)
call dlartg(a,b,c,s,t)
a = t
b = Rzero
call drot(n-kr+1,R(k,kr),ldr,R(k+1,kr),ldr,c,s)
call drot(n ,Q(1,k) ,1 ,Q(1,k+1) ,1 ,c,s)
return
end
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