NAG Library Routine Document

G05PXF

Note: before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

G05PXF generates a random orthogonal matrix.

2 Specification

SUBROUTINE G05PXF ( SIDE, INIT, M, N, STATE, A, LDA, IFAIL)

INTEGER M, N, STATE(*), LDA, IFAIL

REAL (KIND=nag_wp) A(LDA,N)

CHARACTER(1) SIDE, INIT

3 Description

G05PXF pre- or post-multiplies an

m

n

matrix

A

by a random orthogonal matrix

U

, overwriting

A

. The matrix

A

may optionally be initialized to the identity matrix before multiplying by

U

, hence

U

is returned.

U

is generated using the method of Stewart (1980). The algorithm can be summarised as follows.

Let

x_{1}, x_{2}, \dots, x_{n - 1}

follow independent multinormal distributions with zero mean and variance

I σ^{2}

and dimensions

n, n - 1, \dots, 2

; let

H_{j} = diag (I_{j - 1}, H_{j}^{*})

, where

I_{j - 1}

is the identity matrix and

H_{j}^{*}

is the Householder transformation that reduces

x_{j}

r_{j j} e_{1}

e_{1}

being the vector with first element one and the remaining elements zero and

r_{j j}

being a scalar, and let

D = diag (sign (r_{11}), sign (r_{22}), \dots, sign (r_{n n}))

. Then the product

U = D H_{1} H_{2} \dots H_{n - 1}

is a random orthogonal matrix distributed according to the Haar measure over the set of orthogonal matrices of

n

. See Theorem 3.3 in Stewart (1980).

One of the initialization routines G05KFF (for a repeatable sequence if computed sequentially) or G05KGF (for a non-repeatable sequence) must be called prior to the first call to G05PXF.

4 References

Stewart G W (1980) The efficient generation of random orthogonal matrices with an application to condition estimates SIAM J. Numer. Anal. 17 403–409

5 Parameters

1: SIDE – CHARACTER(1)Input

On entry: indicates whether the matrix

A

is multiplied on the left or right by the random orthogonal matrix

U

$SIDE ='L'$: The matrix $A$ is multiplied on the left, i.e., premultiplied.
$SIDE ='R'$: The matrix $A$ is multiplied on the right, i.e., post-multiplied.

Constraint:

SIDE ='L'

'R'

2: INIT – CHARACTER(1)Input

On entry: indicates whether or not A should be initialized to the identity matrix.

$INIT ='I'$: A is initialized to the identity matrix.
$INIT ='N'$: A is not initialized and the matrix $A$ must be supplied in A.

Constraint:

INIT ='I'

'N'

3: M – INTEGERInput

On entry:

m

, the number of rows of the matrix

A

Constraints:

if $SIDE ='L'$ , $M > 1$ ;
otherwise $M \geq 1$ .

4: N – INTEGERInput

On entry:

n

, the number of columns of the matrix

A

Constraints:

if $SIDE ='R'$ , $N > 1$ ;
otherwise $N \geq 1$ .

5: STATE( $*$ ) – INTEGER arrayCommunication Array

Note: the actual argument supplied must be the array STATE supplied to the initialization routines G05KFF or G05KGF.

On entry: contains information on the selected base generator and its current state.

On exit: contains updated information on the state of the generator.

6: A(LDA,N) – REAL (KIND=nag_wp) arrayInput/Output

On entry: if

INIT ='N'

, A must contain the matrix

A

On exit: the matrix

U A

when

SIDE ='L'

or the matrix

A U

when

SIDE ='R'

7: LDA – INTEGERInput

On entry: the first dimension of the array A as declared in the (sub)program from which G05PXF is called.

Constraint:

LDA \geq M

8: IFAIL – INTEGERInput/Output

On entry: IFAIL must be set to

0

- 1 ​ or ​ 1

. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of IFAIL on exit.

On exit:

IFAIL = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

IFAIL = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

$IFAIL = 1$: On entry, $SIDE \neq'L'$ or $'R'$ .

$IFAIL = 2$: On entry, $INIT \neq'I'$ or $'N'$ .

$IFAIL = 3$: On entry, $M < 1$ .

$IFAIL = 4$: On entry, $N < 1$ .

$IFAIL = 5$: On entry, STATE vector was not initialized or has been corrupted.

$IFAIL = 7$: On entry, $LDA < M$ .

$IFAIL = 8$: On entry, an orthogonal matrix of dimension $1$ has been requested.

7 Accuracy

The maximum error in

U^{T} U

should be a modest multiple of machine precision (see Chapter X02).

8 Further Comments

None.

9 Example

Following initialization of the pseudorandom number generator by a call to G05KFF, a

4

4

orthogonal matrix is generated using the

INIT ='I'

option and the result printed.

NAG Library Routine DocumentG05PXF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

NAG Library Routine Document

G05PXF