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dynare/mex/sources/libslicot/MB05ND.f

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SUBROUTINE MB05ND( N, DELTA, A, LDA, EX, LDEX, EXINT, LDEXIN,
$ TOL, IWORK, DWORK, LDWORK, INFO )
C
C SLICOT RELEASE 5.0.
C
C Copyright (c) 2002-2009 NICONET e.V.
C
C This program is free software: you can redistribute it and/or
C modify it under the terms of the GNU General Public License as
C published by the Free Software Foundation, either version 2 of
C the License, or (at your option) any later version.
C
C This program is distributed in the hope that it will be useful,
C but WITHOUT ANY WARRANTY; without even the implied warranty of
C MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
C GNU General Public License for more details.
C
C You should have received a copy of the GNU General Public License
C along with this program. If not, see
C <http://www.gnu.org/licenses/>.
C
C PURPOSE
C
C To compute
C
C (a) F(delta) = exp(A*delta) and
C
C (b) H(delta) = Int[F(s) ds] from s = 0 to s = delta,
C
C where A is a real N-by-N matrix and delta is a scalar value.
C
C ARGUMENTS
C
C Input/Output Parameters
C
C N (input) INTEGER
C The order of the matrix A. N >= 0.
C
C DELTA (input) DOUBLE PRECISION
C The scalar value delta of the problem.
C
C A (input) DOUBLE PRECISION array, dimension (LDA,N)
C The leading N-by-N part of this array must contain the
C matrix A of the problem. (Array A need not be set if
C DELTA = 0.)
C
C LDA INTEGER
C The leading dimension of array A. LDA >= max(1,N).
C
C EX (output) DOUBLE PRECISION array, dimension (LDEX,N)
C The leading N-by-N part of this array contains an
C approximation to F(delta).
C
C LDEX INTEGER
C The leading dimension of array EX. LDEX >= MAX(1,N).
C
C EXINT (output) DOUBLE PRECISION array, dimension (LDEXIN,N)
C The leading N-by-N part of this array contains an
C approximation to H(delta).
C
C LDEXIN INTEGER
C The leading dimension of array EXINT. LDEXIN >= MAX(1,N).
C
C Tolerances
C
C TOL DOUBLE PRECISION
C The tolerance to be used in determining the order of the
C Pade approximation to H(t), where t is a scale factor
C determined by the routine. A reasonable value for TOL may
C be SQRT(EPS), where EPS is the machine precision (see
C LAPACK Library routine DLAMCH).
C
C Workspace
C
C IWORK INTEGER array, dimension (N)
C
C DWORK DOUBLE PRECISION array, dimension (LDWORK)
C On exit, if INFO = 0, DWORK(1) returns the optimal value
C of LDWORK.
C
C LDWORK INTEGER
C The length of the array DWORK. LDWORK >= MAX(1,N*(N+1)).
C For optimum performance LDWORK should be larger (2*N*N).
C
C Error Indicator
C
C INFO INTEGER
C = 0: successful exit;
C < 0: if INFO = -i, the i-th argument had an illegal
C value;
C > 0: if INFO = i, the (i,i) element of the denominator of
C the Pade approximation is zero, so the denominator
C is exactly singular;
C = N+1: if DELTA = (delta * frobenius norm of matrix A) is
C probably too large to permit meaningful computation.
C That is, DELTA > SQRT(BIG), where BIG is a
C representable number near the overflow threshold of
C the machine (see LAPACK Library Routine DLAMCH).
C
C METHOD
C
C This routine uses a Pade approximation to H(t) for some small
C value of t (where 0 < t <= delta) and then calculates F(t) from
C H(t). Finally, the results are re-scaled to give F(delta) and
C H(delta). For a detailed description of the implementation of this
C algorithm see [1].
C
C REFERENCES
C
C [1] Benson, C.J.
C The numerical evaluation of the matrix exponential and its
C integral.
C Report 82/03, Control Systems Research Group,
C School of Electronic Engineering and Computer
C Science, Kingston Polytechnic, January 1982.
C
C [2] Ward, R.C.
C Numerical computation of the matrix exponential with accuracy
C estimate.
C SIAM J. Numer. Anal., 14, pp. 600-610, 1977.
C
C [3] Moler, C.B. and Van Loan, C.F.
C Nineteen Dubious Ways to Compute the Exponential of a Matrix.
C SIAM Rev., 20, pp. 801-836, 1978.
C
C NUMERICAL ASPECTS
C 3
C The algorithm requires 0(N ) operations.
C
C CONTRIBUTOR
C
C Release 3.0: V. Sima, Katholieke Univ. Leuven, Belgium, May 1997.
C Supersedes Release 2.0 routine MB05BD by C.J. Benson, Kingston
C Polytechnic, January 1982.
C
C REVISIONS
C
C -
C
C KEYWORDS
C
C Continuous-time system, matrix algebra, matrix exponential,
C matrix operations, Pade approximation.
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, HALF, ONE, ONE64, THREE, FOUR8
PARAMETER ( ZERO = 0.0D0, HALF = 0.5D0, ONE = 1.0D0,
$ ONE64 = 1.64D0, THREE = 3.0D0, FOUR8 = 4.8D0 )
C .. Scalar Arguments ..
INTEGER INFO, LDA, LDEX, LDEXIN, LDWORK, N
DOUBLE PRECISION DELTA, TOL
C .. Array Arguments ..
INTEGER IWORK(*)
DOUBLE PRECISION A(LDA,*), DWORK(*), EX(LDEX,*), EXINT(LDEXIN,*)
C .. Local Scalars ..
INTEGER I, I2IQ1, IJ, IQ, J, JSCAL, KK, L, NN
DOUBLE PRECISION COEFFD, COEFFN, DELSC, EPS, ERR, F2IQ1,
$ FNORM, FNORM2, QMAX, SMALL
C .. External Functions ..
LOGICAL LSAME
DOUBLE PRECISION DLAMCH, DLANGE
EXTERNAL DLAMCH, DLANGE, LSAME
C .. External Subroutines ..
EXTERNAL DAXPY, DCOPY, DGEMM, DGEMV, DGESV, DLACPY,
$ DLASET, DSCAL, XERBLA
C .. Intrinsic Functions ..
INTRINSIC ABS, DBLE, EXP, MAX, MOD, SQRT
C .. Executable Statements ..
C
INFO = 0
NN = N*N
C
C Test the input scalar arguments.
C
IF( N.LT.0 ) THEN
INFO = -1
ELSE IF( LDA.LT.MAX( 1, N ) ) THEN
INFO = -4
ELSE IF( LDEX.LT.MAX( 1, N ) ) THEN
INFO = -6
ELSE IF( LDEXIN.LT.MAX( 1, N ) ) THEN
INFO = -8
ELSE IF( LDWORK.LT.MAX( 1, NN + N ) ) THEN
INFO = -12
END IF
C
IF ( INFO.NE.0 ) THEN
C
C Error return.
C
CALL XERBLA( 'MB05ND', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
DWORK(1) = ONE
IF ( N.EQ.0 )
$ RETURN
C
CALL DLASET( 'Full', N, N, ZERO, ZERO, EX, LDEX )
CALL DLASET( 'Full', N, N, ZERO, ZERO, EXINT, LDEXIN )
C
IF ( DELTA.EQ.ZERO ) THEN
CALL DLASET( 'Upper', N, N, ZERO, ONE, EX, LDEX )
RETURN
END IF
C
IF ( N.EQ.1 ) THEN
EX(1,1) = EXP( DELTA*A(1,1) )
IF ( A(1,1).EQ.ZERO ) THEN
EXINT(1,1) = DELTA
ELSE
EXINT(1,1) = ( ( ONE/A(1,1) )*EX(1,1) ) - ( ONE/A(1,1) )
END IF
RETURN
END IF
C
C Set some machine parameters.
C
EPS = DLAMCH( 'Epsilon' )
SMALL = DLAMCH( 'Safe minimum' )/EPS
C
C First calculate the Frobenius norm of A, and the scaling factor.
C
FNORM = DELTA*DLANGE( 'Frobenius', N, N, A, LDA, DWORK )
C
IF ( FNORM.GT.SQRT( ONE/SMALL ) ) THEN
INFO = N + 1
RETURN
END IF
C
JSCAL = 0
DELSC = DELTA
C WHILE ( FNORM >= HALF ) DO
20 CONTINUE
IF ( FNORM.GE.HALF ) THEN
JSCAL = JSCAL + 1
DELSC = DELSC*HALF
FNORM = FNORM*HALF
GO TO 20
END IF
C END WHILE 20
C
C Calculate the order of the Pade approximation needed to satisfy
C the requested relative error TOL.
C
FNORM2 = FNORM**2
IQ = 1
QMAX = FNORM/THREE
ERR = DELTA/DELSC*FNORM2**2/FOUR8
C WHILE ( ERR > TOL*( 2*IQ + 3 - FNORM )/1.64 and QMAX >= EPS ) DO
40 CONTINUE
IF ( ERR.GT.TOL*( DBLE( 2*IQ + 3 ) - FNORM )/ONE64 ) THEN
IQ = IQ + 1
QMAX = QMAX*DBLE( IQ + 1 )*FNORM/DBLE( 2*IQ*( 2*IQ + 1 ) )
IF ( QMAX.GE.EPS ) THEN
ERR = ERR*FNORM2*DBLE( 2*IQ + 5 )/DBLE( ( 2*IQ + 3 )**2
$ *( 2*IQ + 4 ) )
GO TO 40
END IF
END IF
C END WHILE 40
C
C Initialise DWORK (to contain succesive powers of A),
C EXINT (to contain the numerator) and
C EX (to contain the denominator).
C
I2IQ1 = 2*IQ + 1
F2IQ1 = DBLE( I2IQ1 )
COEFFD = -DBLE( IQ )/F2IQ1
COEFFN = HALF/F2IQ1
IJ = 1
C
DO 80 J = 1, N
C
DO 60 I = 1, N
DWORK(IJ) = DELSC*A(I,J)
EXINT(I,J) = COEFFN*DWORK(IJ)
EX(I,J) = COEFFD*DWORK(IJ)
IJ = IJ + 1
60 CONTINUE
C
EXINT(J,J) = EXINT(J,J) + ONE
EX(J,J) = EX(J,J) + ONE
80 CONTINUE
C
DO 140 KK = 2, IQ
C
C Calculate the next power of A*DELSC, and update the numerator
C and denominator.
C
COEFFD = -COEFFD*DBLE( IQ+1-KK )/DBLE( KK*( I2IQ1+1-KK ) )
IF ( MOD( KK, 2 ).EQ.0 ) THEN
COEFFN = COEFFD/DBLE( KK + 1 )
ELSE
COEFFN = -COEFFD/DBLE( I2IQ1 - KK )
END IF
IJ = 1
C
IF ( LDWORK.GE.2*NN ) THEN
C
C Enough space for a BLAS 3 calculation.
C
CALL DGEMM( 'No transpose', 'No transpose', N, N, N, DELSC,
$ A, LDA, DWORK, N, ZERO, DWORK(NN+1), N )
CALL DCOPY( NN, DWORK(NN+1), 1, DWORK, 1 )
C
DO 100 J = 1, N
CALL DAXPY( N, COEFFN, DWORK(IJ), 1, EXINT(1,J), 1 )
CALL DAXPY( N, COEFFD, DWORK(IJ), 1, EX(1,J), 1 )
IJ = IJ + N
100 CONTINUE
C
ELSE
C
C Not enough space for a BLAS 3 calculation. Use BLAS 2.
C
DO 120 J = 1, N
CALL DGEMV( 'No transpose', N, N, ONE, A, LDA, DWORK(IJ),
$ 1, ZERO, DWORK(NN+1), 1 )
CALL DCOPY( N, DWORK(NN+1), 1, DWORK(IJ), 1 )
CALL DSCAL( N, DELSC, DWORK(IJ), 1 )
CALL DAXPY( N, COEFFN, DWORK(IJ), 1, EXINT(1,J), 1 )
CALL DAXPY( N, COEFFD, DWORK(IJ), 1, EX(1,J), 1 )
IJ = IJ + N
120 CONTINUE
C
END IF
140 CONTINUE
C
C We now have numerator in EXINT, denominator in EX.
C
C Solve the set of N systems of linear equations for the columns of
C EXINT using the LU factorization of EX.
C
CALL DGESV( N, N, EX, LDEX, IWORK, EXINT, LDEXIN, INFO )
IF ( INFO.NE.0 )
$ RETURN
C
C Now we can form EX from EXINT using the formula:
C EX = EXINT * A + I
C
DO 160 J = 1, N
CALL DSCAL( N, DELSC, EXINT(1,J), 1 )
160 CONTINUE
C
CALL DGEMM( 'No transpose', 'No transpose', N, N, N, ONE, EXINT,
$ LDEXIN, A, LDA, ZERO, EX, LDEX )
C
DO 180 J = 1, N
EX(J,J) = EX(J,J) + ONE
180 CONTINUE
C
C EX and EXINT have been evaluated at DELSC, so the results
C must be re-scaled to give the function values at DELTA.
C
C EXINT(2t) = EXINT(t) * ^ EX(t) + I [
C EX(2t) = EX(t) * EX(t)
C
C DWORK is used to accumulate products.
C
DO 200 L = 1, JSCAL
CALL DLACPY( 'Full', N, N, EXINT, LDEXIN, DWORK, N )
CALL DGEMM( 'No transpose', 'No transpose', N, N, N, ONE,
$ DWORK, N, EX, LDEX, ONE, EXINT, LDEXIN )
CALL DLACPY( 'Full', N, N, EX, LDEX, DWORK, N )
CALL DGEMM( 'No transpose', 'No transpose', N, N, N, ONE,
$ DWORK, N, DWORK, N, ZERO, EX, LDEX )
200 CONTINUE
C
DWORK(1) = 2*NN
RETURN
C *** Last line of MB05ND ***
END
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