NAME
dgglse - solve the linear equality-constrained least squares
(LSE) problem
SYNOPSIS
SUBROUTINE DGGLSE( M, N, P, A, LDA, B, LDB, C, D, X, WORK,
LWORK, INFO )
INTEGER INFO, LDA, LDB, LWORK, M, N, P
DOUBLE PRECISION A( LDA, * ), B( LDB, * ), C( * ), D( * ),
WORK( * ), X( * )
#include <sunperf.h>
void dgglse(int m, int n, int p, double *da, int lda, double
*db, int ldb, double *dc, double *d, double *dx,
int *info) ;
PURPOSE
DGGLSE solves the linear equality-constrained least squares
(LSE) problem:
minimize || c - A*x ||_2 subject to B*x = d
where A is an M-by-N matrix, B is a P-by-N matrix, c is a
given M-vector, and d is a given P-vector. It is assumed
that
P <= N <= M+P, and
rank(B) = P and rank( ( A ) ) = N.
( ( B ) )
These conditions ensure that the LSE problem has a unique
solution, which is obtained using a GRQ factorization of the
matrices B and A.
ARGUMENTS
M (input) INTEGER
The number of rows of the matrix A. M >= 0.
N (input) INTEGER
The number of columns of the matrices A and B. N
>= 0.
P (input) INTEGER
The number of rows of the matrix B. 0 <= P <= N <=
M+P.
A (input/output) DOUBLE PRECISION array, dimension
(LDA,N)
On entry, the M-by-N matrix A. On exit, A is des-
troyed.
LDA (input) INTEGER
The leading dimension of the array A. LDA >=
max(1,M).
B (input/output) DOUBLE PRECISION array, dimension
(LDB,N)
On entry, the P-by-N matrix B. On exit, B is des-
troyed.
LDB (input) INTEGER
The leading dimension of the array B. LDB >=
max(1,P).
C (input/output) DOUBLE PRECISION array, dimension
(M)
On entry, C contains the right hand side vector
for the least squares part of the LSE problem. On
exit, the residual sum of squares for the solution
is given by the sum of squares of elements N-P+1
to M of vector C.
D (input/output) DOUBLE PRECISION array, dimension
(P)
On entry, D contains the right hand side vector
for the constrained equation. On exit, D is des-
troyed.
X (output) DOUBLE PRECISION array, dimension (N)
On exit, X is the solution of the LSE problem.
WORK (workspace/output) DOUBLE PRECISION array, dimen-
sion (LWORK)
On exit, if INFO = 0, WORK(1) returns the optimal
LWORK.
LWORK (input) INTEGER
The dimension of the array WORK. LWORK >=
max(1,M+N+P). For optimum performance LWORK >=
P+min(M,N)+max(M,N)*NB, where NB is an upper bound
for the optimal blocksizes for DGEQRF, SGERQF,
DORMQR and SORMRQ.
INFO (output) INTEGER
= 0: successful exit.
< 0: if INFO = -i, the i-th argument had an ille-
gal value.
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