LUPCH
Updates the RT R Cholesky factorization of a real symmetric positive definite matrix after a rank-one matrix is added.
Required Arguments
R — N by N upper triangular matrix containing the upper triangular factor to be updated. (Input)
Only the upper triangle of R is referenced.
X — Vector of length N determining the rank-one matrix to be added to the factorization RT R. (Input)
RNEW — N by N upper triangular matrix containing the updated triangular factor of RT R + XXT. (Output)
Only the upper triangle of RNEW is referenced. If R is not needed, R and RNEW can share the same storage locations.
Optional Arguments
N — Order of the matrix. (Input)
Default: N = size (R,2).
LDR — Leading dimension of R exactly as specified in the dimension statement of the calling program. (Input)
Default: LDR = size (R,1).
LDRNEW — Leading dimension of RNEW exactly as specified in the dimension statement of the calling program. (Input)
Default: LDRNEW = size (RNEW,1).
CS — Vector of length N containing the cosines of the rotations. (Output)
SN — Vector of length N containing the sines of the rotations. (Output)
FORTRAN 90 Interface
Generic: CALL LUPCH (R, X, RNEW [, …])
Specific: The specific interface names are S_LUPCH and D_LUPCH.
FORTRAN 77 Interface
Single: CALL LUPCH (N, R, LDR, X, RNEW, LDRNEW, CS, SN)
Double: The double precision name is DLUPCH.
Description
The routine LUPCH is based on the LINPACK routine SCHUD; see Dongarra et al. (1979).
The Cholesky factorization of a matrix is A = RT R, where R is an upper triangular matrix. Given this factorization, LUPCH computes the factorization
In the program
is called RNEW.
LUPCH determines an orthogonal matrix U as the product GN…G1 of Givens rotations, such that
By multiplying this equation by its transpose, and noting that UT U = I, the desired result
is obtained.
Each Givens rotation, Gi, is chosen to zero out an element in xT. The matrix
Gi is (N + 1) × (N + 1) and has the form
Where Ik is the identity matrix of order k and ci = cosθi = CS(I), si = sinθi = SN(I) for some θi.
Example
A linear system Az = b is solved using the Cholesky factorization of A. This factorization is then updated and the system (A + xxT) z = b is solved using this updated factorization.
USE IMSL_LIBRARIES
! Declare variables
INTEGER LDA, LDFACT, N
PARAMETER (LDA=3, LDFACT=3, N=3)
REAL A(LDA,LDA), FACT(LDFACT,LDFACT), FACNEW(LDFACT,LDFACT), &
X(N), B(N), CS(N), SN(N), Z(N)
!
! Set values for A
! A = ( 1.0 -3.0 2.0)
! ( -3.0 10.0 -5.0)
! ( 2.0 -5.0 6.0)
!
DATA A/1.0, -3.0, 2.0, -3.0, 10.0, -5.0, 2.0, -5.0, 6.0/
!
! Set values for X and B
DATA X/3.0, 2.0, 1.0/
DATA B/53.0, 20.0, 31.0/
! Factor the matrix A
CALL LFTDS (A, FACT)
! Solve the original system
CALL LFSDS (FACT, B, Z)
! Print the results
CALL WRRRN (’FACT’, FACT, ITRING=1)
CALL WRRRN (’Z’, Z, 1, N, 1)
! Update the factorization
CALL LUPCH (FACT, X, FACNEW)
! Solve the updated system
CALL LFSDS (FACNEW, B, Z)
! Print the results
CALL WRRRN (’FACNEW’, FACNEW, ITRING=1)
CALL WRRRN (’Z’, Z, 1, N, 1)
!
END
Output
FACT
1 2 3
1 1.000 -3.000 2.000
2 1.000 1.000
3 1.000
Z
1 2 3
1860.0 433.0 -254.0
FACNEW
1 2 3
1 3.162 0.949 1.581
2 3.619 -1.243
3 -1.719
Z
1 2 3
4.000 1.000 2.000
