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Add Dynamic Mode Decomposition functions (Reference-LAPACK PR 736)

tags/v0.3.24
Martin Kroeker GitHub 3 years ago
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SUBROUTINE CGEDMD( JOBS, JOBZ, JOBR, JOBF, WHTSVD, &
M, N, X, LDX, Y, LDY, NRNK, TOL, &
K, EIGS, Z, LDZ, RES, B, LDB, &
W, LDW, S, LDS, ZWORK, LZWORK, &
RWORK, LRWORK, IWORK, LIWORK, INFO )
! March 2023
!.....
USE iso_fortran_env
IMPLICIT NONE
INTEGER, PARAMETER :: WP = real32
!.....
! Scalar arguments
CHARACTER, INTENT(IN) :: JOBS, JOBZ, JOBR, JOBF
INTEGER, INTENT(IN) :: WHTSVD, M, N, LDX, LDY, &
NRNK, LDZ, LDB, LDW, LDS, &
LIWORK, LRWORK, LZWORK
INTEGER, INTENT(OUT) :: K, INFO
REAL(KIND=WP), INTENT(IN) :: TOL
! Array arguments
COMPLEX(KIND=WP), INTENT(INOUT) :: X(LDX,*), Y(LDY,*)
COMPLEX(KIND=WP), INTENT(OUT) :: Z(LDZ,*), B(LDB,*), &
W(LDW,*), S(LDS,*)
COMPLEX(KIND=WP), INTENT(OUT) :: EIGS(*)
COMPLEX(KIND=WP), INTENT(OUT) :: ZWORK(*)
REAL(KIND=WP), INTENT(OUT) :: RES(*)
REAL(KIND=WP), INTENT(OUT) :: RWORK(*)
INTEGER, INTENT(OUT) :: IWORK(*)
!............................................................
! Purpose
! =======
! CGEDMD computes the Dynamic Mode Decomposition (DMD) for
! a pair of data snapshot matrices. For the input matrices
! X and Y such that Y = A*X with an unaccessible matrix
! A, CGEDMD computes a certain number of Ritz pairs of A using
! the standard Rayleigh-Ritz extraction from a subspace of
! range(X) that is determined using the leading left singular
! vectors of X. Optionally, CGEDMD returns the residuals
! of the computed Ritz pairs, the information needed for
! a refinement of the Ritz vectors, or the eigenvectors of
! the Exact DMD.
! For further details see the references listed
! below. For more details of the implementation see [3].
!
! References
! ==========
! [1] P. Schmid: Dynamic mode decomposition of numerical
! and experimental data,
! Journal of Fluid Mechanics 656, 5-28, 2010.
! [2] Z. Drmac, I. Mezic, R. Mohr: Data driven modal
! decompositions: analysis and enhancements,
! SIAM J. on Sci. Comp. 40 (4), A2253-A2285, 2018.
! [3] Z. Drmac: A LAPACK implementation of the Dynamic
! Mode Decomposition I. Technical report. AIMDyn Inc.
! and LAPACK Working Note 298.
! [4] J. Tu, C. W. Rowley, D. M. Luchtenburg, S. L.
! Brunton, N. Kutz: On Dynamic Mode Decomposition:
! Theory and Applications, Journal of Computational
! Dynamics 1(2), 391 -421, 2014.
!
!......................................................................
! Developed and supported by:
! ===========================
! Developed and coded by Zlatko Drmac, Faculty of Science,
! University of Zagreb; drmac@math.hr
! In cooperation with
! AIMdyn Inc., Santa Barbara, CA.
! and supported by
! - DARPA SBIR project "Koopman Operator-Based Forecasting
! for Nonstationary Processes from Near-Term, Limited
! Observational Data" Contract No: W31P4Q-21-C-0007
! - DARPA PAI project "Physics-Informed Machine Learning
! Methodologies" Contract No: HR0011-18-9-0033
! - DARPA MoDyL project "A Data-Driven, Operator-Theoretic
! Framework for Space-Time Analysis of Process Dynamics"
! Contract No: HR0011-16-C-0116
! Any opinions, findings and conclusions or recommendations
! expressed in this material are those of the author and
! do not necessarily reflect the views of the DARPA SBIR
! Program Office
!============================================================
! Distribution Statement A:
! Approved for Public Release, Distribution Unlimited.
! Cleared by DARPA on September 29, 2022
!============================================================
!......................................................................
! Arguments
! =========
! JOBS (input) CHARACTER*1
! Determines whether the initial data snapshots are scaled
! by a diagonal matrix.
! 'S' :: The data snapshots matrices X and Y are multiplied
! with a diagonal matrix D so that X*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'C' :: The snapshots are scaled as with the 'S' option.
! If it is found that an i-th column of X is zero
! vector and the corresponding i-th column of Y is
! non-zero, then the i-th column of Y is set to
! zero and a warning flag is raised.
! 'Y' :: The data snapshots matrices X and Y are multiplied
! by a diagonal matrix D so that Y*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'N' :: No data scaling.
!.....
! JOBZ (input) CHARACTER*1
! Determines whether the eigenvectors (Koopman modes) will
! be computed.
! 'V' :: The eigenvectors (Koopman modes) will be computed
! and returned in the matrix Z.
! See the description of Z.
! 'F' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product X(:,1:K)*W, where X
! contains a POD basis (leading left singular vectors
! of the data matrix X) and W contains the eigenvectors
! of the corresponding Rayleigh quotient.
! See the descriptions of K, X, W, Z.
! 'N' :: The eigenvectors are not computed.
!.....
! JOBR (input) CHARACTER*1
! Determines whether to compute the residuals.
! 'R' :: The residuals for the computed eigenpairs will be
! computed and stored in the array RES.
! See the description of RES.
! For this option to be legal, JOBZ must be 'V'.
! 'N' :: The residuals are not computed.
!.....
! JOBF (input) CHARACTER*1
! Specifies whether to store information needed for post-
! processing (e.g. computing refined Ritz vectors)
! 'R' :: The matrix needed for the refinement of the Ritz
! vectors is computed and stored in the array B.
! See the description of B.
! 'E' :: The unscaled eigenvectors of the Exact DMD are
! computed and returned in the array B. See the
! description of B.
! 'N' :: No eigenvector refinement data is computed.
!.....
! WHTSVD (input) INTEGER, WHSTVD in { 1, 2, 3, 4 }
! Allows for a selection of the SVD algorithm from the
! LAPACK library.
! 1 :: CGESVD (the QR SVD algorithm)
! 2 :: CGESDD (the Divide and Conquer algorithm; if enough
! workspace available, this is the fastest option)
! 3 :: CGESVDQ (the preconditioned QR SVD ; this and 4
! are the most accurate options)
! 4 :: CGEJSV (the preconditioned Jacobi SVD; this and 3
! are the most accurate options)
! For the four methods above, a significant difference in
! the accuracy of small singular values is possible if
! the snapshots vary in norm so that X is severely
! ill-conditioned. If small (smaller than EPS*||X||)
! singular values are of interest and JOBS=='N', then
! the options (3, 4) give the most accurate results, where
! the option 4 is slightly better and with stronger
! theoretical background.
! If JOBS=='S', i.e. the columns of X will be normalized,
! then all methods give nearly equally accurate results.
!.....
! M (input) INTEGER, M>= 0
! The state space dimension (the row dimension of X, Y).
!.....
! N (input) INTEGER, 0 <= N <= M
! The number of data snapshot pairs
! (the number of columns of X and Y).
!.....
! X (input/output) COMPLEX(KIND=WP) M-by-N array
! > On entry, X contains the data snapshot matrix X. It is
! assumed that the column norms of X are in the range of
! the normalized floating point numbers.
! < On exit, the leading K columns of X contain a POD basis,
! i.e. the leading K left singular vectors of the input
! data matrix X, U(:,1:K). All N columns of X contain all
! left singular vectors of the input matrix X.
! See the descriptions of K, Z and W.
!.....
! LDX (input) INTEGER, LDX >= M
! The leading dimension of the array X.
!.....
! Y (input/workspace/output) COMPLEX(KIND=WP) M-by-N array
! > On entry, Y contains the data snapshot matrix Y
! < On exit,
! If JOBR == 'R', the leading K columns of Y contain
! the residual vectors for the computed Ritz pairs.
! See the description of RES.
! If JOBR == 'N', Y contains the original input data,
! scaled according to the value of JOBS.
!.....
! LDY (input) INTEGER , LDY >= M
! The leading dimension of the array Y.
!.....
! NRNK (input) INTEGER
! Determines the mode how to compute the numerical rank,
! i.e. how to truncate small singular values of the input
! matrix X. On input, if
! NRNK = -1 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(1)
! This option is recommended.
! NRNK = -2 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(i-1)
! This option is included for R&D purposes.
! It requires highly accurate SVD, which
! may not be feasible.
! The numerical rank can be enforced by using positive
! value of NRNK as follows:
! 0 < NRNK <= N :: at most NRNK largest singular values
! will be used. If the number of the computed nonzero
! singular values is less than NRNK, then only those
! nonzero values will be used and the actually used
! dimension is less than NRNK. The actual number of
! the nonzero singular values is returned in the variable
! K. See the descriptions of TOL and K.
!.....
! TOL (input) REAL(KIND=WP), 0 <= TOL < 1
! The tolerance for truncating small singular values.
! See the description of NRNK.
!.....
! K (output) INTEGER, 0 <= K <= N
! The dimension of the POD basis for the data snapshot
! matrix X and the number of the computed Ritz pairs.
! The value of K is determined according to the rule set
! by the parameters NRNK and TOL.
! See the descriptions of NRNK and TOL.
!.....
! EIGS (output) COMPLEX(KIND=WP) N-by-1 array
! The leading K (K<=N) entries of EIGS contain
! the computed eigenvalues (Ritz values).
! See the descriptions of K, and Z.
!.....
! Z (workspace/output) COMPLEX(KIND=WP) M-by-N array
! If JOBZ =='V' then Z contains the Ritz vectors. Z(:,i)
! is an eigenvector of the i-th Ritz value; ||Z(:,i)||_2=1.
! If JOBZ == 'F', then the Z(:,i)'s are given implicitly as
! the columns of X(:,1:K)*W(1:K,1:K), i.e. X(:,1:K)*W(:,i)
! is an eigenvector corresponding to EIGS(i). The columns
! of W(1:k,1:K) are the computed eigenvectors of the
! K-by-K Rayleigh quotient.
! See the descriptions of EIGS, X and W.
!.....
! LDZ (input) INTEGER , LDZ >= M
! The leading dimension of the array Z.
!.....
! RES (output) REAL(KIND=WP) N-by-1 array
! RES(1:K) contains the residuals for the K computed
! Ritz pairs,
! RES(i) = || A * Z(:,i) - EIGS(i)*Z(:,i))||_2.
! See the description of EIGS and Z.
!.....
! B (output) COMPLEX(KIND=WP) M-by-N array.
! IF JOBF =='R', B(1:M,1:K) contains A*U(:,1:K), and can
! be used for computing the refined vectors; see further
! details in the provided references.
! If JOBF == 'E', B(1:M,1:K) contains
! A*U(:,1:K)*W(1:K,1:K), which are the vectors from the
! Exact DMD, up to scaling by the inverse eigenvalues.
! If JOBF =='N', then B is not referenced.
! See the descriptions of X, W, K.
!.....
! LDB (input) INTEGER, LDB >= M
! The leading dimension of the array B.
!.....
! W (workspace/output) COMPLEX(KIND=WP) N-by-N array
! On exit, W(1:K,1:K) contains the K computed
! eigenvectors of the matrix Rayleigh quotient.
! The Ritz vectors (returned in Z) are the
! product of X (containing a POD basis for the input
! matrix X) and W. See the descriptions of K, S, X and Z.
! W is also used as a workspace to temporarily store the
! right singular vectors of X.
!.....
! LDW (input) INTEGER, LDW >= N
! The leading dimension of the array W.
!.....
! S (workspace/output) COMPLEX(KIND=WP) N-by-N array
! The array S(1:K,1:K) is used for the matrix Rayleigh
! quotient. This content is overwritten during
! the eigenvalue decomposition by CGEEV.
! See the description of K.
!.....
! LDS (input) INTEGER, LDS >= N
! The leading dimension of the array S.
!.....
! ZWORK (workspace/output) COMPLEX(KIND=WP) LZWORK-by-1 array
! ZWORK is used as complex workspace in the complex SVD, as
! specified by WHTSVD (1,2, 3 or 4) and for CGEEV for computing
! the eigenvalues of a Rayleigh quotient.
! If the call to CGEDMD is only workspace query, then
! ZWORK(1) contains the minimal complex workspace length and
! ZWORK(2) is the optimal complex workspace length.
! Hence, the length of work is at least 2.
! See the description of LZWORK.
!.....
! LZWORK (input) INTEGER
! The minimal length of the workspace vector ZWORK.
! LZWORK is calculated as MAX(LZWORK_SVD, LZWORK_CGEEV),
! where LZWORK_CGEEV = MAX( 1, 2*N ) and the minimal
! LZWORK_SVD is calculated as follows
! If WHTSVD == 1 :: CGESVD ::
! LZWORK_SVD = MAX(1,2*MIN(M,N)+MAX(M,N))
! If WHTSVD == 2 :: CGESDD ::
! LZWORK_SVD = 2*MIN(M,N)*MIN(M,N)+2*MIN(M,N)+MAX(M,N)
! If WHTSVD == 3 :: CGESVDQ ::
! LZWORK_SVD = obtainable by a query
! If WHTSVD == 4 :: CGEJSV ::
! LZWORK_SVD = obtainable by a query
! If on entry LZWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths and returns them in
! LZWORK(1) and LZWORK(2), respectively.
!.....
! RWORK (workspace/output) REAL(KIND=WP) LRWORK-by-1 array
! On exit, RWORK(1:N) contains the singular values of
! X (for JOBS=='N') or column scaled X (JOBS=='S', 'C').
! If WHTSVD==4, then RWORK(N+1) and RWORK(N+2) contain
! scaling factor RWORK(N+2)/RWORK(N+1) used to scale X
! and Y to avoid overflow in the SVD of X.
! This may be of interest if the scaling option is off
! and as many as possible smallest eigenvalues are
! desired to the highest feasible accuracy.
! If the call to CGEDMD is only workspace query, then
! RWORK(1) contains the minimal workspace length.
! See the description of LRWORK.
!.....
! LRWORK (input) INTEGER
! The minimal length of the workspace vector RWORK.
! LRWORK is calculated as follows:
! LRWORK = MAX(1, N+LRWORK_SVD,N+LRWORK_CGEEV), where
! LRWORK_CGEEV = MAX(1,2*N) and RWORK_SVD is the real workspace
! for the SVD subroutine determined by the input parameter
! WHTSVD.
! If WHTSVD == 1 :: CGESVD ::
! LRWORK_SVD = 5*MIN(M,N)
! If WHTSVD == 2 :: CGESDD ::
! LRWORK_SVD = MAX(5*MIN(M,N)*MIN(M,N)+7*MIN(M,N),
! 2*MAX(M,N)*MIN(M,N)+2*MIN(M,N)*MIN(M,N)+MIN(M,N) ) )
! If WHTSVD == 3 :: CGESVDQ ::
! LRWORK_SVD = obtainable by a query
! If WHTSVD == 4 :: CGEJSV ::
! LRWORK_SVD = obtainable by a query
! If on entry LRWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! real workspace length and returns it in RWORK(1).
!.....
! IWORK (workspace/output) INTEGER LIWORK-by-1 array
! Workspace that is required only if WHTSVD equals
! 2 , 3 or 4. (See the description of WHTSVD).
! If on entry LWORK =-1 or LIWORK=-1, then the
! minimal length of IWORK is computed and returned in
! IWORK(1). See the description of LIWORK.
!.....
! LIWORK (input) INTEGER
! The minimal length of the workspace vector IWORK.
! If WHTSVD == 1, then only IWORK(1) is used; LIWORK >=1
! If WHTSVD == 2, then LIWORK >= MAX(1,8*MIN(M,N))
! If WHTSVD == 3, then LIWORK >= MAX(1,M+N-1)
! If WHTSVD == 4, then LIWORK >= MAX(3,M+3*N)
! If on entry LIWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for ZWORK, RWORK and
! IWORK. See the descriptions of ZWORK, RWORK and IWORK.
!.....
! INFO (output) INTEGER
! -i < 0 :: On entry, the i-th argument had an
! illegal value
! = 0 :: Successful return.
! = 1 :: Void input. Quick exit (M=0 or N=0).
! = 2 :: The SVD computation of X did not converge.
! Suggestion: Check the input data and/or
! repeat with different WHTSVD.
! = 3 :: The computation of the eigenvalues did not
! converge.
! = 4 :: If data scaling was requested on input and
! the procedure found inconsistency in the data
! such that for some column index i,
! X(:,i) = 0 but Y(:,i) /= 0, then Y(:,i) is set
! to zero if JOBS=='C'. The computation proceeds
! with original or modified data and warning
! flag is set with INFO=4.
!.............................................................
!.............................................................
! Parameters
! ~~~~~~~~~~
REAL(KIND=WP), PARAMETER :: ONE = 1.0_WP
REAL(KIND=WP), PARAMETER :: ZERO = 0.0_WP
COMPLEX(KIND=WP), PARAMETER :: ZONE = ( 1.0_WP, 0.0_WP )
COMPLEX(KIND=WP), PARAMETER :: ZZERO = ( 0.0_WP, 0.0_WP )
! Local scalars
! ~~~~~~~~~~~~~
REAL(KIND=WP) :: OFL, ROOTSC, SCALE, SMALL, &
SSUM, XSCL1, XSCL2
INTEGER :: i, j, IMINWR, INFO1, INFO2, &
LWRKEV, LWRSDD, LWRSVD, LWRSVJ, &
LWRSVQ, MLWORK, MWRKEV, MWRSDD, &
MWRSVD, MWRSVJ, MWRSVQ, NUMRNK, &
OLWORK, MLRWRK
LOGICAL :: BADXY, LQUERY, SCCOLX, SCCOLY, &
WNTEX, WNTREF, WNTRES, WNTVEC
CHARACTER :: JOBZL, T_OR_N
CHARACTER :: JSVOPT
!
! Local arrays
! ~~~~~~~~~~~~
REAL(KIND=WP) :: RDUMMY(2)
! External functions (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~
REAL(KIND=WP) CLANGE, SLAMCH, SCNRM2
EXTERNAL CLANGE, SLAMCH, SCNRM2, ICAMAX
INTEGER ICAMAX
LOGICAL SISNAN, LSAME
EXTERNAL SISNAN, LSAME
! External subroutines (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL CAXPY, CGEMM, CSSCAL
EXTERNAL CGEEV, CGEJSV, CGESDD, CGESVD, CGESVDQ, &
CLACPY, CLASCL, CLASSQ, XERBLA
! Intrinsic functions
! ~~~~~~~~~~~~~~~~~~~
INTRINSIC FLOAT, INT, MAX, SQRT
!............................................................
!
! Test the input arguments
!
WNTRES = LSAME(JOBR,'R')
SCCOLX = LSAME(JOBS,'S') .OR. LSAME(JOBS,'C')
SCCOLY = LSAME(JOBS,'Y')
WNTVEC = LSAME(JOBZ,'V')
WNTREF = LSAME(JOBF,'R')
WNTEX = LSAME(JOBF,'E')
INFO = 0
LQUERY = ( ( LZWORK == -1 ) .OR. ( LIWORK == -1 ) &
.OR. ( LRWORK == -1 ) )
!
IF ( .NOT. (SCCOLX .OR. SCCOLY .OR. &
LSAME(JOBS,'N')) ) THEN
INFO = -1
ELSE IF ( .NOT. (WNTVEC .OR. LSAME(JOBZ,'N') &
.OR. LSAME(JOBZ,'F')) ) THEN
INFO = -2
ELSE IF ( .NOT. (WNTRES .OR. LSAME(JOBR,'N')) .OR. &
( WNTRES .AND. (.NOT.WNTVEC) ) ) THEN
INFO = -3
ELSE IF ( .NOT. (WNTREF .OR. WNTEX .OR. &
LSAME(JOBF,'N') ) ) THEN
INFO = -4
ELSE IF ( .NOT.((WHTSVD == 1) .OR. (WHTSVD == 2) .OR. &
(WHTSVD == 3) .OR. (WHTSVD == 4) )) THEN
INFO = -5
ELSE IF ( M < 0 ) THEN
INFO = -6
ELSE IF ( ( N < 0 ) .OR. ( N > M ) ) THEN
INFO = -7
ELSE IF ( LDX < M ) THEN
INFO = -9
ELSE IF ( LDY < M ) THEN
INFO = -11
ELSE IF ( .NOT. (( NRNK == -2).OR.(NRNK == -1).OR. &
((NRNK >= 1).AND.(NRNK <=N ))) ) THEN
INFO = -12
ELSE IF ( ( TOL < ZERO ) .OR. ( TOL >= ONE ) ) THEN
INFO = -13
ELSE IF ( LDZ < M ) THEN
INFO = -17
ELSE IF ( (WNTREF .OR. WNTEX ) .AND. ( LDB < M ) ) THEN
INFO = -20
ELSE IF ( LDW < N ) THEN
INFO = -22
ELSE IF ( LDS < N ) THEN
INFO = -24
END IF
!
IF ( INFO == 0 ) THEN
! Compute the minimal and the optimal workspace
! requirements. Simulate running the code and
! determine minimal and optimal sizes of the
! workspace at any moment of the run.
IF ( N == 0 ) THEN
! Quick return. All output except K is void.
! INFO=1 signals the void input.
! In case of a workspace query, the default
! minimal workspace lengths are returned.
IF ( LQUERY ) THEN
IWORK(1) = 1
RWORK(1) = 1
ZWORK(1) = 2
ZWORK(2) = 2
ELSE
K = 0
END IF
INFO = 1
RETURN
END IF
IMINWR = 1
MLRWRK = MAX(1,N)
MLWORK = 2
OLWORK = 2
SELECT CASE ( WHTSVD )
CASE (1)
! The following is specified as the minimal
! length of WORK in the definition of CGESVD:
! MWRSVD = MAX(1,2*MIN(M,N)+MAX(M,N))
MWRSVD = MAX(1,2*MIN(M,N)+MAX(M,N))
MLWORK = MAX(MLWORK,MWRSVD)
MLRWRK = MAX(MLRWRK,N + 5*MIN(M,N))
IF ( LQUERY ) THEN
CALL CGESVD( 'O', 'S', M, N, X, LDX, RWORK, &
B, LDB, W, LDW, ZWORK, -1, RDUMMY, INFO1 )
LWRSVD = INT( ZWORK(1) )
OLWORK = MAX(OLWORK,LWRSVD)
END IF
CASE (2)
! The following is specified as the minimal
! length of WORK in the definition of CGESDD:
! MWRSDD = 2*min(M,N)*min(M,N)+2*min(M,N)+max(M,N).
! RWORK length: 5*MIN(M,N)*MIN(M,N)+7*MIN(M,N)
! In LAPACK 3.10.1 RWORK is defined differently.
! Below we take max over the two versions.
! IMINWR = 8*MIN(M,N)
MWRSDD = 2*MIN(M,N)*MIN(M,N)+2*MIN(M,N)+MAX(M,N)
MLWORK = MAX(MLWORK,MWRSDD)
IMINWR = 8*MIN(M,N)
MLRWRK = MAX( MLRWRK, N + &
MAX( 5*MIN(M,N)*MIN(M,N)+7*MIN(M,N), &
5*MIN(M,N)*MIN(M,N)+5*MIN(M,N), &
2*MAX(M,N)*MIN(M,N)+ &
2*MIN(M,N)*MIN(M,N)+MIN(M,N) ) )
IF ( LQUERY ) THEN
CALL CGESDD( 'O', M, N, X, LDX, RWORK, B, &
LDB, W, LDW, ZWORK, -1, RDUMMY, IWORK, INFO1 )
LWRSDD = MAX(MWRSDD,INT( ZWORK(1) ))
OLWORK = MAX(OLWORK,LWRSDD)
END IF
CASE (3)
CALL CGESVDQ( 'H', 'P', 'N', 'R', 'R', M, N, &
X, LDX, RWORK, Z, LDZ, W, LDW, NUMRNK, &
IWORK, -1, ZWORK, -1, RDUMMY, -1, INFO1 )
IMINWR = IWORK(1)
MWRSVQ = INT(ZWORK(2))
MLWORK = MAX(MLWORK,MWRSVQ)
MLRWRK = MAX(MLRWRK,N + INT(RDUMMY(1)))
IF ( LQUERY ) THEN
LWRSVQ = INT(ZWORK(1))
OLWORK = MAX(OLWORK,LWRSVQ)
END IF
CASE (4)
JSVOPT = 'J'
CALL CGEJSV( 'F', 'U', JSVOPT, 'N', 'N', 'P', M, &
N, X, LDX, RWORK, Z, LDZ, W, LDW, &
ZWORK, -1, RDUMMY, -1, IWORK, INFO1 )
IMINWR = IWORK(1)
MWRSVJ = INT(ZWORK(2))
MLWORK = MAX(MLWORK,MWRSVJ)
MLRWRK = MAX(MLRWRK,N + MAX(7,INT(RDUMMY(1))))
IF ( LQUERY ) THEN
LWRSVJ = INT(ZWORK(1))
OLWORK = MAX(OLWORK,LWRSVJ)
END IF
END SELECT
IF ( WNTVEC .OR. WNTEX .OR. LSAME(JOBZ,'F') ) THEN
JOBZL = 'V'
ELSE
JOBZL = 'N'
END IF
! Workspace calculation to the CGEEV call
MWRKEV = MAX( 1, 2*N )
MLWORK = MAX(MLWORK,MWRKEV)
MLRWRK = MAX(MLRWRK,N+2*N)
IF ( LQUERY ) THEN
CALL CGEEV( 'N', JOBZL, N, S, LDS, EIGS, &
W, LDW, W, LDW, ZWORK, -1, RWORK, INFO1 ) ! LAPACK CALL
LWRKEV = INT(ZWORK(1))
OLWORK = MAX( OLWORK, LWRKEV )
OLWORK = MAX( 2, OLWORK )
END IF
!
IF ( LIWORK < IMINWR .AND. (.NOT.LQUERY) ) INFO = -30
IF ( LRWORK < MLRWRK .AND. (.NOT.LQUERY) ) INFO = -28
IF ( LZWORK < MLWORK .AND. (.NOT.LQUERY) ) INFO = -26
END IF
!
IF( INFO /= 0 ) THEN
CALL XERBLA( 'CGEDMD', -INFO )
RETURN
ELSE IF ( LQUERY ) THEN
! Return minimal and optimal workspace sizes
IWORK(1) = IMINWR
RWORK(1) = MLRWRK
ZWORK(1) = MLWORK
ZWORK(2) = OLWORK
RETURN
END IF
!............................................................
!
OFL = SLAMCH('O')*SLAMCH('P')
SMALL = SLAMCH('S')
BADXY = .FALSE.
!
! <1> Optional scaling of the snapshots (columns of X, Y)
! ==========================================================
IF ( SCCOLX ) THEN
! The columns of X will be normalized.
! To prevent overflows, the column norms of X are
! carefully computed using CLASSQ.
K = 0
DO i = 1, N
!WORK(i) = SCNRM2( M, X(1,i), 1 )
SCALE = ZERO
CALL CLASSQ( M, X(1,i), 1, SCALE, SSUM )
IF ( SISNAN(SCALE) .OR. SISNAN(SSUM) ) THEN
K = 0
INFO = -8
CALL XERBLA('CGEDMD',-INFO)
END IF
IF ( (SCALE /= ZERO) .AND. (SSUM /= ZERO) ) THEN
ROOTSC = SQRT(SSUM)
IF ( SCALE .GE. (OFL / ROOTSC) ) THEN
! Norm of X(:,i) overflows. First, X(:,i)
! is scaled by
! ( ONE / ROOTSC ) / SCALE = 1/||X(:,i)||_2.
! Next, the norm of X(:,i) is stored without
! overflow as WORK(i) = - SCALE * (ROOTSC/M),
! the minus sign indicating the 1/M factor.
! Scaling is performed without overflow, and
! underflow may occur in the smallest entries
! of X(:,i). The relative backward and forward
! errors are small in the ell_2 norm.
CALL CLASCL( 'G', 0, 0, SCALE, ONE/ROOTSC, &
M, 1, X(1,i), LDX, INFO2 )
RWORK(i) = - SCALE * ( ROOTSC / FLOAT(M) )
ELSE
! X(:,i) will be scaled to unit 2-norm
RWORK(i) = SCALE * ROOTSC
CALL CLASCL( 'G',0, 0, RWORK(i), ONE, M, 1, &
X(1,i), LDX, INFO2 ) ! LAPACK CALL
! X(1:M,i) = (ONE/RWORK(i)) * X(1:M,i) ! INTRINSIC
END IF
ELSE
RWORK(i) = ZERO
K = K + 1
END IF
END DO
IF ( K == N ) THEN
! All columns of X are zero. Return error code -8.
! (the 8th input variable had an illegal value)
K = 0
INFO = -8
CALL XERBLA('CGEDMD',-INFO)
RETURN
END IF
DO i = 1, N
! Now, apply the same scaling to the columns of Y.
IF ( RWORK(i) > ZERO ) THEN
CALL CSSCAL( M, ONE/RWORK(i), Y(1,i), 1 ) ! BLAS CALL
! Y(1:M,i) = (ONE/RWORK(i)) * Y(1:M,i) ! INTRINSIC
ELSE IF ( RWORK(i) < ZERO ) THEN
CALL CLASCL( 'G', 0, 0, -RWORK(i), &
ONE/FLOAT(M), M, 1, Y(1,i), LDY, INFO2 ) ! LAPACK CALL
ELSE IF ( ABS(Y(ICAMAX(M, Y(1,i),1),i )) &
/= ZERO ) THEN
! X(:,i) is zero vector. For consistency,
! Y(:,i) should also be zero. If Y(:,i) is not
! zero, then the data might be inconsistent or
! corrupted. If JOBS == 'C', Y(:,i) is set to
! zero and a warning flag is raised.
! The computation continues but the
! situation will be reported in the output.
BADXY = .TRUE.
IF ( LSAME(JOBS,'C')) &
CALL CSSCAL( M, ZERO, Y(1,i), 1 ) ! BLAS CALL
END IF
END DO
END IF
!
IF ( SCCOLY ) THEN
! The columns of Y will be normalized.
! To prevent overflows, the column norms of Y are
! carefully computed using CLASSQ.
DO i = 1, N
!RWORK(i) = SCNRM2( M, Y(1,i), 1 )
SCALE = ZERO
CALL CLASSQ( M, Y(1,i), 1, SCALE, SSUM )
IF ( SISNAN(SCALE) .OR. SISNAN(SSUM) ) THEN
K = 0
INFO = -10
CALL XERBLA('CGEDMD',-INFO)
END IF
IF ( SCALE /= ZERO .AND. (SSUM /= ZERO) ) THEN
ROOTSC = SQRT(SSUM)
IF ( SCALE .GE. (OFL / ROOTSC) ) THEN
! Norm of Y(:,i) overflows. First, Y(:,i)
! is scaled by
! ( ONE / ROOTSC ) / SCALE = 1/||Y(:,i)||_2.
! Next, the norm of Y(:,i) is stored without
! overflow as RWORK(i) = - SCALE * (ROOTSC/M),
! the minus sign indicating the 1/M factor.
! Scaling is performed without overflow, and
! underflow may occur in the smallest entries
! of Y(:,i). The relative backward and forward
! errors are small in the ell_2 norm.
CALL CLASCL( 'G', 0, 0, SCALE, ONE/ROOTSC, &
M, 1, Y(1,i), LDY, INFO2 )
RWORK(i) = - SCALE * ( ROOTSC / FLOAT(M) )
ELSE
! Y(:,i) will be scaled to unit 2-norm
RWORK(i) = SCALE * ROOTSC
CALL CLASCL( 'G',0, 0, RWORK(i), ONE, M, 1, &
Y(1,i), LDY, INFO2 ) ! LAPACK CALL
! Y(1:M,i) = (ONE/RWORK(i)) * Y(1:M,i) ! INTRINSIC
END IF
ELSE
RWORK(i) = ZERO
END IF
END DO
DO i = 1, N
! Now, apply the same scaling to the columns of X.
IF ( RWORK(i) > ZERO ) THEN
CALL CSSCAL( M, ONE/RWORK(i), X(1,i), 1 ) ! BLAS CALL
! X(1:M,i) = (ONE/RWORK(i)) * X(1:M,i) ! INTRINSIC
ELSE IF ( RWORK(i) < ZERO ) THEN
CALL CLASCL( 'G', 0, 0, -RWORK(i), &
ONE/FLOAT(M), M, 1, X(1,i), LDX, INFO2 ) ! LAPACK CALL
ELSE IF ( ABS(X(ICAMAX(M, X(1,i),1),i )) &
/= ZERO ) THEN
! Y(:,i) is zero vector. If X(:,i) is not
! zero, then a warning flag is raised.
! The computation continues but the
! situation will be reported in the output.
BADXY = .TRUE.
END IF
END DO
END IF
!
! <2> SVD of the data snapshot matrix X.
! =====================================
! The left singular vectors are stored in the array X.
! The right singular vectors are in the array W.
! The array W will later on contain the eigenvectors
! of a Rayleigh quotient.
NUMRNK = N
SELECT CASE ( WHTSVD )
CASE (1)
CALL CGESVD( 'O', 'S', M, N, X, LDX, RWORK, B, &
LDB, W, LDW, ZWORK, LZWORK, RWORK(N+1), INFO1 ) ! LAPACK CALL
T_OR_N = 'C'
CASE (2)
CALL CGESDD( 'O', M, N, X, LDX, RWORK, B, LDB, W, &
LDW, ZWORK, LZWORK, RWORK(N+1), IWORK, INFO1 ) ! LAPACK CALL
T_OR_N = 'C'
CASE (3)
CALL CGESVDQ( 'H', 'P', 'N', 'R', 'R', M, N, &
X, LDX, RWORK, Z, LDZ, W, LDW, &
NUMRNK, IWORK, LIWORK, ZWORK, &
LZWORK, RWORK(N+1), LRWORK-N, INFO1) ! LAPACK CALL
CALL CLACPY( 'A', M, NUMRNK, Z, LDZ, X, LDX ) ! LAPACK CALL
T_OR_N = 'C'
CASE (4)
CALL CGEJSV( 'F', 'U', JSVOPT, 'N', 'N', 'P', M, &
N, X, LDX, RWORK, Z, LDZ, W, LDW, &
ZWORK, LZWORK, RWORK(N+1), LRWORK-N, IWORK, INFO1 ) ! LAPACK CALL
CALL CLACPY( 'A', M, N, Z, LDZ, X, LDX ) ! LAPACK CALL
T_OR_N = 'N'
XSCL1 = RWORK(N+1)
XSCL2 = RWORK(N+2)
IF ( XSCL1 /= XSCL2 ) THEN
! This is an exceptional situation. If the
! data matrices are not scaled and the
! largest singular value of X overflows.
! In that case CGEJSV can return the SVD
! in scaled form. The scaling factor can be used
! to rescale the data (X and Y).
CALL CLASCL( 'G', 0, 0, XSCL1, XSCL2, M, N, Y, LDY, INFO2 )
END IF
END SELECT
!
IF ( INFO1 > 0 ) THEN
! The SVD selected subroutine did not converge.
! Return with an error code.
INFO = 2
RETURN
END IF
!
IF ( RWORK(1) == ZERO ) THEN
! The largest computed singular value of (scaled)
! X is zero. Return error code -8
! (the 8th input variable had an illegal value).
K = 0
INFO = -8
CALL XERBLA('CGEDMD',-INFO)
RETURN
END IF
!
!<3> Determine the numerical rank of the data
! snapshots matrix X. This depends on the
! parameters NRNK and TOL.
SELECT CASE ( NRNK )
CASE ( -1 )
K = 1
DO i = 2, NUMRNK
IF ( ( RWORK(i) <= RWORK(1)*TOL ) .OR. &
( RWORK(i) <= SMALL ) ) EXIT
K = K + 1
END DO
CASE ( -2 )
K = 1
DO i = 1, NUMRNK-1
IF ( ( RWORK(i+1) <= RWORK(i)*TOL ) .OR. &
( RWORK(i) <= SMALL ) ) EXIT
K = K + 1
END DO
CASE DEFAULT
K = 1
DO i = 2, NRNK
IF ( RWORK(i) <= SMALL ) EXIT
K = K + 1
END DO
END SELECT
! Now, U = X(1:M,1:K) is the SVD/POD basis for the
! snapshot data in the input matrix X.
!<4> Compute the Rayleigh quotient S = U^H * A * U.
! Depending on the requested outputs, the computation
! is organized to compute additional auxiliary
! matrices (for the residuals and refinements).
!
! In all formulas below, we need V_k*Sigma_k^(-1)
! where either V_k is in W(1:N,1:K), or V_k^H is in
! W(1:K,1:N). Here Sigma_k=diag(WORK(1:K)).
IF ( LSAME(T_OR_N, 'N') ) THEN
DO i = 1, K
CALL CSSCAL( N, ONE/RWORK(i), W(1,i), 1 ) ! BLAS CALL
! W(1:N,i) = (ONE/RWORK(i)) * W(1:N,i) ! INTRINSIC
END DO
ELSE
! This non-unit stride access is due to the fact
! that CGESVD, CGESVDQ and CGESDD return the
! adjoint matrix of the right singular vectors.
!DO i = 1, K
! CALL DSCAL( N, ONE/RWORK(i), W(i,1), LDW ) ! BLAS CALL
! ! W(i,1:N) = (ONE/RWORK(i)) * W(i,1:N) ! INTRINSIC
!END DO
DO i = 1, K
RWORK(N+i) = ONE/RWORK(i)
END DO
DO j = 1, N
DO i = 1, K
W(i,j) = CMPLX(RWORK(N+i),ZERO,KIND=WP)*W(i,j)
END DO
END DO
END IF
!
IF ( WNTREF ) THEN
!
! Need A*U(:,1:K)=Y*V_k*inv(diag(WORK(1:K)))
! for computing the refined Ritz vectors
! (optionally, outside CGEDMD).
CALL CGEMM( 'N', T_OR_N, M, K, N, ZONE, Y, LDY, W, &
LDW, ZZERO, Z, LDZ ) ! BLAS CALL
! Z(1:M,1:K)=MATMUL(Y(1:M,1:N),TRANSPOSE(W(1:K,1:N))) ! INTRINSIC, for T_OR_N=='T'
! Z(1:M,1:K)=MATMUL(Y(1:M,1:N),W(1:N,1:K)) ! INTRINSIC, for T_OR_N=='N'
!
! At this point Z contains
! A * U(:,1:K) = Y * V_k * Sigma_k^(-1), and
! this is needed for computing the residuals.
! This matrix is returned in the array B and
! it can be used to compute refined Ritz vectors.
CALL CLACPY( 'A', M, K, Z, LDZ, B, LDB ) ! BLAS CALL
! B(1:M,1:K) = Z(1:M,1:K) ! INTRINSIC
CALL CGEMM( 'C', 'N', K, K, M, ZONE, X, LDX, Z, &
LDZ, ZZERO, S, LDS ) ! BLAS CALL
! S(1:K,1:K) = MATMUL(TANSPOSE(X(1:M,1:K)),Z(1:M,1:K)) ! INTRINSIC
! At this point S = U^H * A * U is the Rayleigh quotient.
ELSE
! A * U(:,1:K) is not explicitly needed and the
! computation is organized differently. The Rayleigh
! quotient is computed more efficiently.
CALL CGEMM( 'C', 'N', K, N, M, ZONE, X, LDX, Y, LDY, &
ZZERO, Z, LDZ ) ! BLAS CALL
! Z(1:K,1:N) = MATMUL( TRANSPOSE(X(1:M,1:K)), Y(1:M,1:N) ) ! INTRINSIC
!
CALL CGEMM( 'N', T_OR_N, K, K, N, ZONE, Z, LDZ, W, &
LDW, ZZERO, S, LDS ) ! BLAS CALL
! S(1:K,1:K) = MATMUL(Z(1:K,1:N),TRANSPOSE(W(1:K,1:N))) ! INTRINSIC, for T_OR_N=='T'
! S(1:K,1:K) = MATMUL(Z(1:K,1:N),(W(1:N,1:K))) ! INTRINSIC, for T_OR_N=='N'
! At this point S = U^H * A * U is the Rayleigh quotient.
! If the residuals are requested, save scaled V_k into Z.
! Recall that V_k or V_k^H is stored in W.
IF ( WNTRES .OR. WNTEX ) THEN
IF ( LSAME(T_OR_N, 'N') ) THEN
CALL CLACPY( 'A', N, K, W, LDW, Z, LDZ )
ELSE
CALL CLACPY( 'A', K, N, W, LDW, Z, LDZ )
END IF
END IF
END IF
!
!<5> Compute the Ritz values and (if requested) the
! right eigenvectors of the Rayleigh quotient.
!
CALL CGEEV( 'N', JOBZL, K, S, LDS, EIGS, W, &
LDW, W, LDW, ZWORK, LZWORK, RWORK(N+1), INFO1 ) ! LAPACK CALL
!
! W(1:K,1:K) contains the eigenvectors of the Rayleigh
! quotient. See the description of Z.
! Also, see the description of CGEEV.
IF ( INFO1 > 0 ) THEN
! CGEEV failed to compute the eigenvalues and
! eigenvectors of the Rayleigh quotient.
INFO = 3
RETURN
END IF
!
! <6> Compute the eigenvectors (if requested) and,
! the residuals (if requested).
!
IF ( WNTVEC .OR. WNTEX ) THEN
IF ( WNTRES ) THEN
IF ( WNTREF ) THEN
! Here, if the refinement is requested, we have
! A*U(:,1:K) already computed and stored in Z.
! For the residuals, need Y = A * U(:,1;K) * W.
CALL CGEMM( 'N', 'N', M, K, K, ZONE, Z, LDZ, W, &
LDW, ZZERO, Y, LDY ) ! BLAS CALL
! Y(1:M,1:K) = Z(1:M,1:K) * W(1:K,1:K) ! INTRINSIC
! This frees Z; Y contains A * U(:,1:K) * W.
ELSE
! Compute S = V_k * Sigma_k^(-1) * W, where
! V_k * Sigma_k^(-1) (or its adjoint) is stored in Z
CALL CGEMM( T_OR_N, 'N', N, K, K, ZONE, Z, LDZ, &
W, LDW, ZZERO, S, LDS)
! Then, compute Z = Y * S =
! = Y * V_k * Sigma_k^(-1) * W(1:K,1:K) =
! = A * U(:,1:K) * W(1:K,1:K)
CALL CGEMM( 'N', 'N', M, K, N, ZONE, Y, LDY, S, &
LDS, ZZERO, Z, LDZ)
! Save a copy of Z into Y and free Z for holding
! the Ritz vectors.
CALL CLACPY( 'A', M, K, Z, LDZ, Y, LDY )
IF ( WNTEX ) CALL CLACPY( 'A', M, K, Z, LDZ, B, LDB )
END IF
ELSE IF ( WNTEX ) THEN
! Compute S = V_k * Sigma_k^(-1) * W, where
! V_k * Sigma_k^(-1) is stored in Z
CALL CGEMM( T_OR_N, 'N', N, K, K, ZONE, Z, LDZ, &
W, LDW, ZZERO, S, LDS)
! Then, compute Z = Y * S =
! = Y * V_k * Sigma_k^(-1) * W(1:K,1:K) =
! = A * U(:,1:K) * W(1:K,1:K)
CALL CGEMM( 'N', 'N', M, K, N, ZONE, Y, LDY, S, &
LDS, ZZERO, B, LDB)
! The above call replaces the following two calls
! that were used in the developing-testing phase.
! CALL CGEMM( 'N', 'N', M, K, N, ZONE, Y, LDY, S, &
! LDS, ZZERO, Z, LDZ)
! Save a copy of Z into Y and free Z for holding
! the Ritz vectors.
! CALL CLACPY( 'A', M, K, Z, LDZ, B, LDB )
END IF
!
! Compute the Ritz vectors
IF ( WNTVEC ) CALL CGEMM( 'N', 'N', M, K, K, ZONE, X, LDX, W, LDW, &
ZZERO, Z, LDZ ) ! BLAS CALL
! Z(1:M,1:K) = MATMUL(X(1:M,1:K), W(1:K,1:K)) ! INTRINSIC
!
IF ( WNTRES ) THEN
DO i = 1, K
CALL CAXPY( M, -EIGS(i), Z(1,i), 1, Y(1,i), 1 ) ! BLAS CALL
! Y(1:M,i) = Y(1:M,i) - EIGS(i) * Z(1:M,i) ! INTRINSIC
RES(i) = SCNRM2( M, Y(1,i), 1) ! BLAS CALL
END DO
END IF
END IF
!
IF ( WHTSVD == 4 ) THEN
RWORK(N+1) = XSCL1
RWORK(N+2) = XSCL2
END IF
!
! Successful exit.
IF ( .NOT. BADXY ) THEN
INFO = 0
ELSE
! A warning on possible data inconsistency.
! This should be a rare event.
INFO = 4
END IF
!............................................................
RETURN
! ......
END SUBROUTINE CGEDMD

+ 689
- 0
lapack-netlib/SRC/cgedmdq.f90 View File

@@ -0,0 +1,689 @@
SUBROUTINE CGEDMDQ( JOBS, JOBZ, JOBR, JOBQ, JOBT, JOBF, &
WHTSVD, M, N, F, LDF, X, LDX, Y, &
LDY, NRNK, TOL, K, EIGS, &
Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, ZWORK, LZWORK, WORK, LWORK, &
IWORK, LIWORK, INFO )
! March 2023
!.....
USE iso_fortran_env
IMPLICIT NONE
INTEGER, PARAMETER :: WP = real32
!.....
! Scalar arguments
CHARACTER, INTENT(IN) :: JOBS, JOBZ, JOBR, JOBQ, &
JOBT, JOBF
INTEGER, INTENT(IN) :: WHTSVD, M, N, LDF, LDX, &
LDY, NRNK, LDZ, LDB, LDV, &
LDS, LZWORK, LWORK, LIWORK
INTEGER, INTENT(OUT) :: INFO, K
REAL(KIND=WP), INTENT(IN) :: TOL
! Array arguments
COMPLEX(KIND=WP), INTENT(INOUT) :: F(LDF,*)
COMPLEX(KIND=WP), INTENT(OUT) :: X(LDX,*), Y(LDY,*), &
Z(LDZ,*), B(LDB,*), &
V(LDV,*), S(LDS,*)
COMPLEX(KIND=WP), INTENT(OUT) :: EIGS(*)
COMPLEX(KIND=WP), INTENT(OUT) :: ZWORK(*)
REAL(KIND=WP), INTENT(OUT) :: RES(*)
REAL(KIND=WP), INTENT(OUT) :: WORK(*)
INTEGER, INTENT(OUT) :: IWORK(*)
!.....
! Purpose
! =======
! CGEDMDQ computes the Dynamic Mode Decomposition (DMD) for
! a pair of data snapshot matrices, using a QR factorization
! based compression of the data. For the input matrices
! X and Y such that Y = A*X with an unaccessible matrix
! A, CGEDMDQ computes a certain number of Ritz pairs of A using
! the standard Rayleigh-Ritz extraction from a subspace of
! range(X) that is determined using the leading left singular
! vectors of X. Optionally, CGEDMDQ returns the residuals
! of the computed Ritz pairs, the information needed for
! a refinement of the Ritz vectors, or the eigenvectors of
! the Exact DMD.
! For further details see the references listed
! below. For more details of the implementation see [3].
!
! References
! ==========
! [1] P. Schmid: Dynamic mode decomposition of numerical
! and experimental data,
! Journal of Fluid Mechanics 656, 5-28, 2010.
! [2] Z. Drmac, I. Mezic, R. Mohr: Data driven modal
! decompositions: analysis and enhancements,
! SIAM J. on Sci. Comp. 40 (4), A2253-A2285, 2018.
! [3] Z. Drmac: A LAPACK implementation of the Dynamic
! Mode Decomposition I. Technical report. AIMDyn Inc.
! and LAPACK Working Note 298.
! [4] J. Tu, C. W. Rowley, D. M. Luchtenburg, S. L.
! Brunton, N. Kutz: On Dynamic Mode Decomposition:
! Theory and Applications, Journal of Computational
! Dynamics 1(2), 391 -421, 2014.
!
! Developed and supported by:
! ===========================
! Developed and coded by Zlatko Drmac, Faculty of Science,
! University of Zagreb; drmac@math.hr
! In cooperation with
! AIMdyn Inc., Santa Barbara, CA.
! and supported by
! - DARPA SBIR project "Koopman Operator-Based Forecasting
! for Nonstationary Processes from Near-Term, Limited
! Observational Data" Contract No: W31P4Q-21-C-0007
! - DARPA PAI project "Physics-Informed Machine Learning
! Methodologies" Contract No: HR0011-18-9-0033
! - DARPA MoDyL project "A Data-Driven, Operator-Theoretic
! Framework for Space-Time Analysis of Process Dynamics"
! Contract No: HR0011-16-C-0116
! Any opinions, findings and conclusions or recommendations
! expressed in this material are those of the author and
! do not necessarily reflect the views of the DARPA SBIR
! Program Office.
!============================================================
! Distribution Statement A:
! Approved for Public Release, Distribution Unlimited.
! Cleared by DARPA on September 29, 2022
!============================================================
!......................................................................
! Arguments
! =========
! JOBS (input) CHARACTER*1
! Determines whether the initial data snapshots are scaled
! by a diagonal matrix. The data snapshots are the columns
! of F. The leading N-1 columns of F are denoted X and the
! trailing N-1 columns are denoted Y.
! 'S' :: The data snapshots matrices X and Y are multiplied
! with a diagonal matrix D so that X*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'C' :: The snapshots are scaled as with the 'S' option.
! If it is found that an i-th column of X is zero
! vector and the corresponding i-th column of Y is
! non-zero, then the i-th column of Y is set to
! zero and a warning flag is raised.
! 'Y' :: The data snapshots matrices X and Y are multiplied
! by a diagonal matrix D so that Y*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'N' :: No data scaling.
!.....
! JOBZ (input) CHARACTER*1
! Determines whether the eigenvectors (Koopman modes) will
! be computed.
! 'V' :: The eigenvectors (Koopman modes) will be computed
! and returned in the matrix Z.
! See the description of Z.
! 'F' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Z*V, where Z
! is orthonormal and V contains the eigenvectors
! of the corresponding Rayleigh quotient.
! See the descriptions of F, V, Z.
! 'Q' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Q*Z, where Z
! contains the eigenvectors of the compression of the
! underlying discretised operator onto the span of
! the data snapshots. See the descriptions of F, V, Z.
! Q is from the inital QR facorization.
! 'N' :: The eigenvectors are not computed.
!.....
! JOBR (input) CHARACTER*1
! Determines whether to compute the residuals.
! 'R' :: The residuals for the computed eigenpairs will
! be computed and stored in the array RES.
! See the description of RES.
! For this option to be legal, JOBZ must be 'V'.
! 'N' :: The residuals are not computed.
!.....
! JOBQ (input) CHARACTER*1
! Specifies whether to explicitly compute and return the
! unitary matrix from the QR factorization.
! 'Q' :: The matrix Q of the QR factorization of the data
! snapshot matrix is computed and stored in the
! array F. See the description of F.
! 'N' :: The matrix Q is not explicitly computed.
!.....
! JOBT (input) CHARACTER*1
! Specifies whether to return the upper triangular factor
! from the QR factorization.
! 'R' :: The matrix R of the QR factorization of the data
! snapshot matrix F is returned in the array Y.
! See the description of Y and Further details.
! 'N' :: The matrix R is not returned.
!.....
! JOBF (input) CHARACTER*1
! Specifies whether to store information needed for post-
! processing (e.g. computing refined Ritz vectors)
! 'R' :: The matrix needed for the refinement of the Ritz
! vectors is computed and stored in the array B.
! See the description of B.
! 'E' :: The unscaled eigenvectors of the Exact DMD are
! computed and returned in the array B. See the
! description of B.
! 'N' :: No eigenvector refinement data is computed.
! To be useful on exit, this option needs JOBQ='Q'.
!.....
! WHTSVD (input) INTEGER, WHSTVD in { 1, 2, 3, 4 }
! Allows for a selection of the SVD algorithm from the
! LAPACK library.
! 1 :: CGESVD (the QR SVD algorithm)
! 2 :: CGESDD (the Divide and Conquer algorithm; if enough
! workspace available, this is the fastest option)
! 3 :: CGESVDQ (the preconditioned QR SVD ; this and 4
! are the most accurate options)
! 4 :: CGEJSV (the preconditioned Jacobi SVD; this and 3
! are the most accurate options)
! For the four methods above, a significant difference in
! the accuracy of small singular values is possible if
! the snapshots vary in norm so that X is severely
! ill-conditioned. If small (smaller than EPS*||X||)
! singular values are of interest and JOBS=='N', then
! the options (3, 4) give the most accurate results, where
! the option 4 is slightly better and with stronger
! theoretical background.
! If JOBS=='S', i.e. the columns of X will be normalized,
! then all methods give nearly equally accurate results.
!.....
! M (input) INTEGER, M >= 0
! The state space dimension (the number of rows of F).
!.....
! N (input) INTEGER, 0 <= N <= M
! The number of data snapshots from a single trajectory,
! taken at equidistant discrete times. This is the
! number of columns of F.
!.....
! F (input/output) COMPLEX(KIND=WP) M-by-N array
! > On entry,
! the columns of F are the sequence of data snapshots
! from a single trajectory, taken at equidistant discrete
! times. It is assumed that the column norms of F are
! in the range of the normalized floating point numbers.
! < On exit,
! If JOBQ == 'Q', the array F contains the orthogonal
! matrix/factor of the QR factorization of the initial
! data snapshots matrix F. See the description of JOBQ.
! If JOBQ == 'N', the entries in F strictly below the main
! diagonal contain, column-wise, the information on the
! Householder vectors, as returned by CGEQRF. The
! remaining information to restore the orthogonal matrix
! of the initial QR factorization is stored in ZWORK(1:MIN(M,N)).
! See the description of ZWORK.
!.....
! LDF (input) INTEGER, LDF >= M
! The leading dimension of the array F.
!.....
! X (workspace/output) COMPLEX(KIND=WP) MIN(M,N)-by-(N-1) array
! X is used as workspace to hold representations of the
! leading N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit, the leading K columns of X contain the leading
! K left singular vectors of the above described content
! of X. To lift them to the space of the left singular
! vectors U(:,1:K) of the input data, pre-multiply with the
! Q factor from the initial QR factorization.
! See the descriptions of F, K, V and Z.
!.....
! LDX (input) INTEGER, LDX >= N
! The leading dimension of the array X.
!.....
! Y (workspace/output) COMPLEX(KIND=WP) MIN(M,N)-by-(N) array
! Y is used as workspace to hold representations of the
! trailing N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit,
! If JOBT == 'R', Y contains the MIN(M,N)-by-N upper
! triangular factor from the QR factorization of the data
! snapshot matrix F.
!.....
! LDY (input) INTEGER , LDY >= N
! The leading dimension of the array Y.
!.....
! NRNK (input) INTEGER
! Determines the mode how to compute the numerical rank,
! i.e. how to truncate small singular values of the input
! matrix X. On input, if
! NRNK = -1 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(1)
! This option is recommended.
! NRNK = -2 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(i-1)
! This option is included for R&D purposes.
! It requires highly accurate SVD, which
! may not be feasible.
! The numerical rank can be enforced by using positive
! value of NRNK as follows:
! 0 < NRNK <= N-1 :: at most NRNK largest singular values
! will be used. If the number of the computed nonzero
! singular values is less than NRNK, then only those
! nonzero values will be used and the actually used
! dimension is less than NRNK. The actual number of
! the nonzero singular values is returned in the variable
! K. See the description of K.
!.....
! TOL (input) REAL(KIND=WP), 0 <= TOL < 1
! The tolerance for truncating small singular values.
! See the description of NRNK.
!.....
! K (output) INTEGER, 0 <= K <= N
! The dimension of the SVD/POD basis for the leading N-1
! data snapshots (columns of F) and the number of the
! computed Ritz pairs. The value of K is determined
! according to the rule set by the parameters NRNK and
! TOL. See the descriptions of NRNK and TOL.
!.....
! EIGS (output) COMPLEX(KIND=WP) (N-1)-by-1 array
! The leading K (K<=N-1) entries of EIGS contain
! the computed eigenvalues (Ritz values).
! See the descriptions of K, and Z.
!.....
! Z (workspace/output) COMPLEX(KIND=WP) M-by-(N-1) array
! If JOBZ =='V' then Z contains the Ritz vectors. Z(:,i)
! is an eigenvector of the i-th Ritz value; ||Z(:,i)||_2=1.
! If JOBZ == 'F', then the Z(:,i)'s are given implicitly as
! Z*V, where Z contains orthonormal matrix (the product of
! Q from the initial QR factorization and the SVD/POD_basis
! returned by CGEDMD in X) and the second factor (the
! eigenvectors of the Rayleigh quotient) is in the array V,
! as returned by CGEDMD. That is, X(:,1:K)*V(:,i)
! is an eigenvector corresponding to EIGS(i). The columns
! of V(1:K,1:K) are the computed eigenvectors of the
! K-by-K Rayleigh quotient.
! See the descriptions of EIGS, X and V.
!.....
! LDZ (input) INTEGER , LDZ >= M
! The leading dimension of the array Z.
!.....
! RES (output) REAL(KIND=WP) (N-1)-by-1 array
! RES(1:K) contains the residuals for the K computed
! Ritz pairs,
! RES(i) = || A * Z(:,i) - EIGS(i)*Z(:,i))||_2.
! See the description of EIGS and Z.
!.....
! B (output) COMPLEX(KIND=WP) MIN(M,N)-by-(N-1) array.
! IF JOBF =='R', B(1:N,1:K) contains A*U(:,1:K), and can
! be used for computing the refined vectors; see further
! details in the provided references.
! If JOBF == 'E', B(1:N,1;K) contains
! A*U(:,1:K)*W(1:K,1:K), which are the vectors from the
! Exact DMD, up to scaling by the inverse eigenvalues.
! In both cases, the content of B can be lifted to the
! original dimension of the input data by pre-multiplying
! with the Q factor from the initial QR factorization.
! Here A denotes a compression of the underlying operator.
! See the descriptions of F and X.
! If JOBF =='N', then B is not referenced.
!.....
! LDB (input) INTEGER, LDB >= MIN(M,N)
! The leading dimension of the array B.
!.....
! V (workspace/output) COMPLEX(KIND=WP) (N-1)-by-(N-1) array
! On exit, V(1:K,1:K) V contains the K eigenvectors of
! the Rayleigh quotient. The Ritz vectors
! (returned in Z) are the product of Q from the initial QR
! factorization (see the description of F) X (see the
! description of X) and V.
!.....
! LDV (input) INTEGER, LDV >= N-1
! The leading dimension of the array V.
!.....
! S (output) COMPLEX(KIND=WP) (N-1)-by-(N-1) array
! The array S(1:K,1:K) is used for the matrix Rayleigh
! quotient. This content is overwritten during
! the eigenvalue decomposition by CGEEV.
! See the description of K.
!.....
! LDS (input) INTEGER, LDS >= N-1
! The leading dimension of the array S.
!.....
! ZWORK (workspace/output) COMPLEX(KIND=WP) LWORK-by-1 array
! On exit,
! ZWORK(1:MIN(M,N)) contains the scalar factors of the
! elementary reflectors as returned by CGEQRF of the
! M-by-N input matrix F.
! If the call to CGEDMDQ is only workspace query, then
! ZWORK(1) contains the minimal complex workspace length and
! ZWORK(2) is the optimal complex workspace length.
! Hence, the length of work is at least 2.
! See the description of LZWORK.
!.....
! LZWORK (input) INTEGER
! The minimal length of the workspace vector ZWORK.
! LZWORK is calculated as follows:
! Let MLWQR = N (minimal workspace for CGEQRF[M,N])
! MLWDMD = minimal workspace for CGEDMD (see the
! description of LWORK in CGEDMD)
! MLWMQR = N (minimal workspace for
! ZUNMQR['L','N',M,N,N])
! MLWGQR = N (minimal workspace for ZUNGQR[M,N,N])
! MINMN = MIN(M,N)
! Then
! LZWORK = MAX(2, MIN(M,N)+MLWQR, MINMN+MLWDMD)
! is further updated as follows:
! if JOBZ == 'V' or JOBZ == 'F' THEN
! LZWORK = MAX( LZWORK, MINMN+MLWMQR )
! if JOBQ == 'Q' THEN
! LZWORK = MAX( ZLWORK, MINMN+MLWGQR)
!
!.....
! WORK (workspace/output) REAL(KIND=WP) LWORK-by-1 array
! On exit,
! WORK(1:N-1) contains the singular values of
! the input submatrix F(1:M,1:N-1).
! If the call to CGEDMDQ is only workspace query, then
! WORK(1) contains the minimal workspace length and
! WORK(2) is the optimal workspace length. hence, the
! length of work is at least 2.
! See the description of LWORK.
!.....
! LWORK (input) INTEGER
! The minimal length of the workspace vector WORK.
! LWORK is the same as in CGEDMD, because in CGEDMDQ
! only CGEDMD requires real workspace for snapshots
! of dimensions MIN(M,N)-by-(N-1).
! If on entry LWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for both WORK and
! IWORK. See the descriptions of WORK and IWORK.
!.....
! IWORK (workspace/output) INTEGER LIWORK-by-1 array
! Workspace that is required only if WHTSVD equals
! 2 , 3 or 4. (See the description of WHTSVD).
! If on entry LWORK =-1 or LIWORK=-1, then the
! minimal length of IWORK is computed and returned in
! IWORK(1). See the description of LIWORK.
!.....
! LIWORK (input) INTEGER
! The minimal length of the workspace vector IWORK.
! If WHTSVD == 1, then only IWORK(1) is used; LIWORK >=1
! Let M1=MIN(M,N), N1=N-1. Then
! If WHTSVD == 2, then LIWORK >= MAX(1,8*MIN(M,N))
! If WHTSVD == 3, then LIWORK >= MAX(1,M+N-1)
! If WHTSVD == 4, then LIWORK >= MAX(3,M+3*N)
! If on entry LIWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for both WORK and
! IWORK. See the descriptions of WORK and IWORK.
!.....
! INFO (output) INTEGER
! -i < 0 :: On entry, the i-th argument had an
! illegal value
! = 0 :: Successful return.
! = 1 :: Void input. Quick exit (M=0 or N=0).
! = 2 :: The SVD computation of X did not converge.
! Suggestion: Check the input data and/or
! repeat with different WHTSVD.
! = 3 :: The computation of the eigenvalues did not
! converge.
! = 4 :: If data scaling was requested on input and
! the procedure found inconsistency in the data
! such that for some column index i,
! X(:,i) = 0 but Y(:,i) /= 0, then Y(:,i) is set
! to zero if JOBS=='C'. The computation proceeds
! with original or modified data and warning
! flag is set with INFO=4.
!.............................................................
!.............................................................
! Parameters
! ~~~~~~~~~~
REAL(KIND=WP), PARAMETER :: ONE = 1.0_WP
REAL(KIND=WP), PARAMETER :: ZERO = 0.0_WP
! COMPLEX(KIND=WP), PARAMETER :: ZONE = ( 1.0_WP, 0.0_WP )
COMPLEX(KIND=WP), PARAMETER :: ZZERO = ( 0.0_WP, 0.0_WP )
!
! Local scalars
! ~~~~~~~~~~~~~
INTEGER :: IMINWR, INFO1, MINMN, MLRWRK, &
MLWDMD, MLWGQR, MLWMQR, MLWORK, &
MLWQR, OLWDMD, OLWGQR, OLWMQR, &
OLWORK, OLWQR
LOGICAL :: LQUERY, SCCOLX, SCCOLY, WANTQ, &
WNTTRF, WNTRES, WNTVEC, WNTVCF, &
WNTVCQ, WNTREF, WNTEX
CHARACTER(LEN=1) :: JOBVL
!
! External functions (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~
LOGICAL LSAME
EXTERNAL LSAME
!
! External subroutines (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL CGEQRF, CLACPY, CLASET, CUNGQR, &
CUNMQR, XERBLA
! External subroutines
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL CGEDMD
! Intrinsic functions
! ~~~~~~~~~~~~~~~~~~~
INTRINSIC MAX, MIN, INT
!..........................................................
!
! Test the input arguments
WNTRES = LSAME(JOBR,'R')
SCCOLX = LSAME(JOBS,'S') .OR. LSAME( JOBS, 'C' )
SCCOLY = LSAME(JOBS,'Y')
WNTVEC = LSAME(JOBZ,'V')
WNTVCF = LSAME(JOBZ,'F')
WNTVCQ = LSAME(JOBZ,'Q')
WNTREF = LSAME(JOBF,'R')
WNTEX = LSAME(JOBF,'E')
WANTQ = LSAME(JOBQ,'Q')
WNTTRF = LSAME(JOBT,'R')
MINMN = MIN(M,N)
INFO = 0
LQUERY = ( ( LWORK == -1 ) .OR. ( LIWORK == -1 ) )
!
IF ( .NOT. (SCCOLX .OR. SCCOLY .OR. &
LSAME(JOBS,'N')) ) THEN
INFO = -1
ELSE IF ( .NOT. (WNTVEC .OR. WNTVCF .OR. WNTVCQ &
.OR. LSAME(JOBZ,'N')) ) THEN
INFO = -2
ELSE IF ( .NOT. (WNTRES .OR. LSAME(JOBR,'N')) .OR. &
( WNTRES .AND. LSAME(JOBZ,'N') ) ) THEN
INFO = -3
ELSE IF ( .NOT. (WANTQ .OR. LSAME(JOBQ,'N')) ) THEN
INFO = -4
ELSE IF ( .NOT. ( WNTTRF .OR. LSAME(JOBT,'N') ) ) THEN
INFO = -5
ELSE IF ( .NOT. (WNTREF .OR. WNTEX .OR. &
LSAME(JOBF,'N') ) ) THEN
INFO = -6
ELSE IF ( .NOT. ((WHTSVD == 1).OR.(WHTSVD == 2).OR. &
(WHTSVD == 3).OR.(WHTSVD == 4)) ) THEN
INFO = -7
ELSE IF ( M < 0 ) THEN
INFO = -8
ELSE IF ( ( N < 0 ) .OR. ( N > M+1 ) ) THEN
INFO = -9
ELSE IF ( LDF < M ) THEN
INFO = -11
ELSE IF ( LDX < MINMN ) THEN
INFO = -13
ELSE IF ( LDY < MINMN ) THEN
INFO = -15
ELSE IF ( .NOT. (( NRNK == -2).OR.(NRNK == -1).OR. &
((NRNK >= 1).AND.(NRNK <=N ))) ) THEN
INFO = -16
ELSE IF ( ( TOL < ZERO ) .OR. ( TOL >= ONE ) ) THEN
INFO = -17
ELSE IF ( LDZ < M ) THEN
INFO = -21
ELSE IF ( (WNTREF.OR.WNTEX ).AND.( LDB < MINMN ) ) THEN
INFO = -24
ELSE IF ( LDV < N-1 ) THEN
INFO = -26
ELSE IF ( LDS < N-1 ) THEN
INFO = -28
END IF
!
IF ( WNTVEC .OR. WNTVCF .OR. WNTVCQ ) THEN
JOBVL = 'V'
ELSE
JOBVL = 'N'
END IF
IF ( INFO == 0 ) THEN
! Compute the minimal and the optimal workspace
! requirements. Simulate running the code and
! determine minimal and optimal sizes of the
! workspace at any moment of the run.
IF ( ( N == 0 ) .OR. ( N == 1 ) ) THEN
! All output except K is void. INFO=1 signals
! the void input. In case of a workspace query,
! the minimal workspace lengths are returned.
IF ( LQUERY ) THEN
IWORK(1) = 1
WORK(1) = 2
WORK(2) = 2
ELSE
K = 0
END IF
INFO = 1
RETURN
END IF
MLRWRK = 2
MLWORK = 2
OLWORK = 2
IMINWR = 1
MLWQR = MAX(1,N) ! Minimal workspace length for CGEQRF.
MLWORK = MAX(MLWORK,MINMN + MLWQR)
IF ( LQUERY ) THEN
CALL CGEQRF( M, N, F, LDF, ZWORK, ZWORK, -1, &
INFO1 )
OLWQR = INT(ZWORK(1))
OLWORK = MAX(OLWORK,MINMN + OLWQR)
END IF
CALL CGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN,&
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
EIGS, Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, ZWORK, LZWORK, WORK, -1, IWORK,&
LIWORK, INFO1 )
MLWDMD = INT(ZWORK(1))
MLWORK = MAX(MLWORK, MINMN + MLWDMD)
MLRWRK = MAX(MLRWRK, INT(WORK(1)))
IMINWR = MAX(IMINWR, IWORK(1))
IF ( LQUERY ) THEN
OLWDMD = INT(ZWORK(2))
OLWORK = MAX(OLWORK, MINMN+OLWDMD)
END IF
IF ( WNTVEC .OR. WNTVCF ) THEN
MLWMQR = MAX(1,N)
MLWORK = MAX(MLWORK, MINMN+MLWMQR)
IF ( LQUERY ) THEN
CALL CUNMQR( 'L','N', M, N, MINMN, F, LDF, &
ZWORK, Z, LDZ, ZWORK, -1, INFO1 )
OLWMQR = INT(ZWORK(1))
OLWORK = MAX(OLWORK, MINMN+OLWMQR)
END IF
END IF
IF ( WANTQ ) THEN
MLWGQR = MAX(1,N)
MLWORK = MAX(MLWORK, MINMN+MLWGQR)
IF ( LQUERY ) THEN
CALL CUNGQR( M, MINMN, MINMN, F, LDF, ZWORK, &
ZWORK, -1, INFO1 )
OLWGQR = INT(ZWORK(1))
OLWORK = MAX(OLWORK, MINMN+OLWGQR)
END IF
END IF
IF ( LIWORK < IMINWR .AND. (.NOT.LQUERY) ) INFO = -34
IF ( LWORK < MLRWRK .AND. (.NOT.LQUERY) ) INFO = -32
IF ( LZWORK < MLWORK .AND. (.NOT.LQUERY) ) INFO = -30
END IF
IF( INFO /= 0 ) THEN
CALL XERBLA( 'CGEDMDQ', -INFO )
RETURN
ELSE IF ( LQUERY ) THEN
! Return minimal and optimal workspace sizes
IWORK(1) = IMINWR
ZWORK(1) = MLWORK
ZWORK(2) = OLWORK
WORK(1) = MLRWRK
WORK(2) = MLRWRK
RETURN
END IF
!.....
! Initial QR factorization that is used to represent the
! snapshots as elements of lower dimensional subspace.
! For large scale computation with M >>N , at this place
! one can use an out of core QRF.
!
CALL CGEQRF( M, N, F, LDF, ZWORK, &
ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
!
! Define X and Y as the snapshots representations in the
! orthogonal basis computed in the QR factorization.
! X corresponds to the leading N-1 and Y to the trailing
! N-1 snapshots.
CALL CLASET( 'L', MINMN, N-1, ZZERO, ZZERO, X, LDX )
CALL CLACPY( 'U', MINMN, N-1, F, LDF, X, LDX )
CALL CLACPY( 'A', MINMN, N-1, F(1,2), LDF, Y, LDY )
IF ( M >= 3 ) THEN
CALL CLASET( 'L', MINMN-2, N-2, ZZERO, ZZERO, &
Y(3,1), LDY )
END IF
!
! Compute the DMD of the projected snapshot pairs (X,Y)
CALL CGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN, &
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
EIGS, Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, ZWORK(MINMN+1), LZWORK-MINMN, &
WORK, LWORK, IWORK, LIWORK, INFO1 )
IF ( INFO1 == 2 .OR. INFO1 == 3 ) THEN
! Return with error code. See CGEDMD for details.
INFO = INFO1
RETURN
ELSE
INFO = INFO1
END IF
!
! The Ritz vectors (Koopman modes) can be explicitly
! formed or returned in factored form.
IF ( WNTVEC ) THEN
! Compute the eigenvectors explicitly.
IF ( M > MINMN ) CALL CLASET( 'A', M-MINMN, K, ZZERO, &
ZZERO, Z(MINMN+1,1), LDZ )
CALL CUNMQR( 'L','N', M, K, MINMN, F, LDF, ZWORK, Z, &
LDZ, ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
ELSE IF ( WNTVCF ) THEN
! Return the Ritz vectors (eigenvectors) in factored
! form Z*V, where Z contains orthonormal matrix (the
! product of Q from the initial QR factorization and
! the SVD/POD_basis returned by CGEDMD in X) and the
! second factor (the eigenvectors of the Rayleigh
! quotient) is in the array V, as returned by CGEDMD.
CALL CLACPY( 'A', N, K, X, LDX, Z, LDZ )
IF ( M > N ) CALL CLASET( 'A', M-N, K, ZZERO, ZZERO, &
Z(N+1,1), LDZ )
CALL CUNMQR( 'L','N', M, K, MINMN, F, LDF, ZWORK, Z, &
LDZ, ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
END IF
!
! Some optional output variables:
!
! The upper triangular factor R in the initial QR
! factorization is optionally returned in the array Y.
! This is useful if this call to CGEDMDQ is to be
! followed by a streaming DMD that is implemented in a
! QR compressed form.
IF ( WNTTRF ) THEN ! Return the upper triangular R in Y
CALL CLASET( 'A', MINMN, N, ZZERO, ZZERO, Y, LDY )
CALL CLACPY( 'U', MINMN, N, F, LDF, Y, LDY )
END IF
!
! The orthonormal/unitary factor Q in the initial QR
! factorization is optionally returned in the array F.
! Same as with the triangular factor above, this is
! useful in a streaming DMD.
IF ( WANTQ ) THEN ! Q overwrites F
CALL CUNGQR( M, MINMN, MINMN, F, LDF, ZWORK, &
ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
END IF
!
RETURN
!
END SUBROUTINE CGEDMDQ

+ 1054
- 0
lapack-netlib/SRC/dgedmd.f90
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+ 704
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lapack-netlib/SRC/dgedmdq.f90 View File

@@ -0,0 +1,704 @@
SUBROUTINE DGEDMDQ( JOBS, JOBZ, JOBR, JOBQ, JOBT, JOBF, &
WHTSVD, M, N, F, LDF, X, LDX, Y, &
LDY, NRNK, TOL, K, REIG, IMEIG, &
Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, WORK, LWORK, IWORK, LIWORK, INFO )
! March 2023
!.....
USE iso_fortran_env
IMPLICIT NONE
INTEGER, PARAMETER :: WP = real64
!.....
! Scalar arguments
CHARACTER, INTENT(IN) :: JOBS, JOBZ, JOBR, JOBQ, &
JOBT, JOBF
INTEGER, INTENT(IN) :: WHTSVD, M, N, LDF, LDX, &
LDY, NRNK, LDZ, LDB, LDV, &
LDS, LWORK, LIWORK
INTEGER, INTENT(OUT) :: INFO, K
REAL(KIND=WP), INTENT(IN) :: TOL
! Array arguments
REAL(KIND=WP), INTENT(INOUT) :: F(LDF,*)
REAL(KIND=WP), INTENT(OUT) :: X(LDX,*), Y(LDY,*), &
Z(LDZ,*), B(LDB,*), &
V(LDV,*), S(LDS,*)
REAL(KIND=WP), INTENT(OUT) :: REIG(*), IMEIG(*), &
RES(*)
REAL(KIND=WP), INTENT(OUT) :: WORK(*)
INTEGER, INTENT(OUT) :: IWORK(*)
!.....
! Purpose
! =======
! DGEDMDQ computes the Dynamic Mode Decomposition (DMD) for
! a pair of data snapshot matrices, using a QR factorization
! based compression of the data. For the input matrices
! X and Y such that Y = A*X with an unaccessible matrix
! A, DGEDMDQ computes a certain number of Ritz pairs of A using
! the standard Rayleigh-Ritz extraction from a subspace of
! range(X) that is determined using the leading left singular
! vectors of X. Optionally, DGEDMDQ returns the residuals
! of the computed Ritz pairs, the information needed for
! a refinement of the Ritz vectors, or the eigenvectors of
! the Exact DMD.
! For further details see the references listed
! below. For more details of the implementation see [3].
!
! References
! ==========
! [1] P. Schmid: Dynamic mode decomposition of numerical
! and experimental data,
! Journal of Fluid Mechanics 656, 5-28, 2010.
! [2] Z. Drmac, I. Mezic, R. Mohr: Data driven modal
! decompositions: analysis and enhancements,
! SIAM J. on Sci. Comp. 40 (4), A2253-A2285, 2018.
! [3] Z. Drmac: A LAPACK implementation of the Dynamic
! Mode Decomposition I. Technical report. AIMDyn Inc.
! and LAPACK Working Note 298.
! [4] J. Tu, C. W. Rowley, D. M. Luchtenburg, S. L.
! Brunton, N. Kutz: On Dynamic Mode Decomposition:
! Theory and Applications, Journal of Computational
! Dynamics 1(2), 391 -421, 2014.
!
! Developed and supported by:
! ===========================
! Developed and coded by Zlatko Drmac, Faculty of Science,
! University of Zagreb; drmac@math.hr
! In cooperation with
! AIMdyn Inc., Santa Barbara, CA.
! and supported by
! - DARPA SBIR project "Koopman Operator-Based Forecasting
! for Nonstationary Processes from Near-Term, Limited
! Observational Data" Contract No: W31P4Q-21-C-0007
! - DARPA PAI project "Physics-Informed Machine Learning
! Methodologies" Contract No: HR0011-18-9-0033
! - DARPA MoDyL project "A Data-Driven, Operator-Theoretic
! Framework for Space-Time Analysis of Process Dynamics"
! Contract No: HR0011-16-C-0116
! Any opinions, findings and conclusions or recommendations
! expressed in this material are those of the author and
! do not necessarily reflect the views of the DARPA SBIR
! Program Office.
!============================================================
! Distribution Statement A:
! Approved for Public Release, Distribution Unlimited.
! Cleared by DARPA on September 29, 2022
!============================================================
!......................................................................
! Arguments
! =========
! JOBS (input) CHARACTER*1
! Determines whether the initial data snapshots are scaled
! by a diagonal matrix. The data snapshots are the columns
! of F. The leading N-1 columns of F are denoted X and the
! trailing N-1 columns are denoted Y.
! 'S' :: The data snapshots matrices X and Y are multiplied
! with a diagonal matrix D so that X*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'C' :: The snapshots are scaled as with the 'S' option.
! If it is found that an i-th column of X is zero
! vector and the corresponding i-th column of Y is
! non-zero, then the i-th column of Y is set to
! zero and a warning flag is raised.
! 'Y' :: The data snapshots matrices X and Y are multiplied
! by a diagonal matrix D so that Y*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'N' :: No data scaling.
!.....
! JOBZ (input) CHARACTER*1
! Determines whether the eigenvectors (Koopman modes) will
! be computed.
! 'V' :: The eigenvectors (Koopman modes) will be computed
! and returned in the matrix Z.
! See the description of Z.
! 'F' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Z*V, where Z
! is orthonormal and V contains the eigenvectors
! of the corresponding Rayleigh quotient.
! See the descriptions of F, V, Z.
! 'Q' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Q*Z, where Z
! contains the eigenvectors of the compression of the
! underlying discretized operator onto the span of
! the data snapshots. See the descriptions of F, V, Z.
! Q is from the initial QR factorization.
! 'N' :: The eigenvectors are not computed.
!.....
! JOBR (input) CHARACTER*1
! Determines whether to compute the residuals.
! 'R' :: The residuals for the computed eigenpairs will
! be computed and stored in the array RES.
! See the description of RES.
! For this option to be legal, JOBZ must be 'V'.
! 'N' :: The residuals are not computed.
!.....
! JOBQ (input) CHARACTER*1
! Specifies whether to explicitly compute and return the
! orthogonal matrix from the QR factorization.
! 'Q' :: The matrix Q of the QR factorization of the data
! snapshot matrix is computed and stored in the
! array F. See the description of F.
! 'N' :: The matrix Q is not explicitly computed.
!.....
! JOBT (input) CHARACTER*1
! Specifies whether to return the upper triangular factor
! from the QR factorization.
! 'R' :: The matrix R of the QR factorization of the data
! snapshot matrix F is returned in the array Y.
! See the description of Y and Further details.
! 'N' :: The matrix R is not returned.
!.....
! JOBF (input) CHARACTER*1
! Specifies whether to store information needed for post-
! processing (e.g. computing refined Ritz vectors)
! 'R' :: The matrix needed for the refinement of the Ritz
! vectors is computed and stored in the array B.
! See the description of B.
! 'E' :: The unscaled eigenvectors of the Exact DMD are
! computed and returned in the array B. See the
! description of B.
! 'N' :: No eigenvector refinement data is computed.
! To be useful on exit, this option needs JOBQ='Q'.
!.....
! WHTSVD (input) INTEGER, WHSTVD in { 1, 2, 3, 4 }
! Allows for a selection of the SVD algorithm from the
! LAPACK library.
! 1 :: DGESVD (the QR SVD algorithm)
! 2 :: DGESDD (the Divide and Conquer algorithm; if enough
! workspace available, this is the fastest option)
! 3 :: DGESVDQ (the preconditioned QR SVD ; this and 4
! are the most accurate options)
! 4 :: DGEJSV (the preconditioned Jacobi SVD; this and 3
! are the most accurate options)
! For the four methods above, a significant difference in
! the accuracy of small singular values is possible if
! the snapshots vary in norm so that X is severely
! ill-conditioned. If small (smaller than EPS*||X||)
! singular values are of interest and JOBS=='N', then
! the options (3, 4) give the most accurate results, where
! the option 4 is slightly better and with stronger
! theoretical background.
! If JOBS=='S', i.e. the columns of X will be normalized,
! then all methods give nearly equally accurate results.
!.....
! M (input) INTEGER, M >= 0
! The state space dimension (the number of rows of F).
!.....
! N (input) INTEGER, 0 <= N <= M
! The number of data snapshots from a single trajectory,
! taken at equidistant discrete times. This is the
! number of columns of F.
!.....
! F (input/output) REAL(KIND=WP) M-by-N array
! > On entry,
! the columns of F are the sequence of data snapshots
! from a single trajectory, taken at equidistant discrete
! times. It is assumed that the column norms of F are
! in the range of the normalized floating point numbers.
! < On exit,
! If JOBQ == 'Q', the array F contains the orthogonal
! matrix/factor of the QR factorization of the initial
! data snapshots matrix F. See the description of JOBQ.
! If JOBQ == 'N', the entries in F strictly below the main
! diagonal contain, column-wise, the information on the
! Householder vectors, as returned by DGEQRF. The
! remaining information to restore the orthogonal matrix
! of the initial QR factorization is stored in WORK(1:N).
! See the description of WORK.
!.....
! LDF (input) INTEGER, LDF >= M
! The leading dimension of the array F.
!.....
! X (workspace/output) REAL(KIND=WP) MIN(M,N)-by-(N-1) array
! X is used as workspace to hold representations of the
! leading N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit, the leading K columns of X contain the leading
! K left singular vectors of the above described content
! of X. To lift them to the space of the left singular
! vectors U(:,1:K)of the input data, pre-multiply with the
! Q factor from the initial QR factorization.
! See the descriptions of F, K, V and Z.
!.....
! LDX (input) INTEGER, LDX >= N
! The leading dimension of the array X.
!.....
! Y (workspace/output) REAL(KIND=WP) MIN(M,N)-by-(N-1) array
! Y is used as workspace to hold representations of the
! trailing N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit,
! If JOBT == 'R', Y contains the MIN(M,N)-by-N upper
! triangular factor from the QR factorization of the data
! snapshot matrix F.
!.....
! LDY (input) INTEGER , LDY >= N
! The leading dimension of the array Y.
!.....
! NRNK (input) INTEGER
! Determines the mode how to compute the numerical rank,
! i.e. how to truncate small singular values of the input
! matrix X. On input, if
! NRNK = -1 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(1)
! This option is recommended.
! NRNK = -2 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(i-1)
! This option is included for R&D purposes.
! It requires highly accurate SVD, which
! may not be feasible.
! The numerical rank can be enforced by using positive
! value of NRNK as follows:
! 0 < NRNK <= N-1 :: at most NRNK largest singular values
! will be used. If the number of the computed nonzero
! singular values is less than NRNK, then only those
! nonzero values will be used and the actually used
! dimension is less than NRNK. The actual number of
! the nonzero singular values is returned in the variable
! K. See the description of K.
!.....
! TOL (input) REAL(KIND=WP), 0 <= TOL < 1
! The tolerance for truncating small singular values.
! See the description of NRNK.
!.....
! K (output) INTEGER, 0 <= K <= N
! The dimension of the SVD/POD basis for the leading N-1
! data snapshots (columns of F) and the number of the
! computed Ritz pairs. The value of K is determined
! according to the rule set by the parameters NRNK and
! TOL. See the descriptions of NRNK and TOL.
!.....
! REIG (output) REAL(KIND=WP) (N-1)-by-1 array
! The leading K (K<=N) entries of REIG contain
! the real parts of the computed eigenvalues
! REIG(1:K) + sqrt(-1)*IMEIG(1:K).
! See the descriptions of K, IMEIG, Z.
!.....
! IMEIG (output) REAL(KIND=WP) (N-1)-by-1 array
! The leading K (K<N) entries of REIG contain
! the imaginary parts of the computed eigenvalues
! REIG(1:K) + sqrt(-1)*IMEIG(1:K).
! The eigenvalues are determined as follows:
! If IMEIG(i) == 0, then the corresponding eigenvalue is
! real, LAMBDA(i) = REIG(i).
! If IMEIG(i)>0, then the corresponding complex
! conjugate pair of eigenvalues reads
! LAMBDA(i) = REIG(i) + sqrt(-1)*IMAG(i)
! LAMBDA(i+1) = REIG(i) - sqrt(-1)*IMAG(i)
! That is, complex conjugate pairs have consequtive
! indices (i,i+1), with the positive imaginary part
! listed first.
! See the descriptions of K, REIG, Z.
!.....
! Z (workspace/output) REAL(KIND=WP) M-by-(N-1) array
! If JOBZ =='V' then
! Z contains real Ritz vectors as follows:
! If IMEIG(i)=0, then Z(:,i) is an eigenvector of
! the i-th Ritz value.
! If IMEIG(i) > 0 (and IMEIG(i+1) < 0) then
! [Z(:,i) Z(:,i+1)] span an invariant subspace and
! the Ritz values extracted from this subspace are
! REIG(i) + sqrt(-1)*IMEIG(i) and
! REIG(i) - sqrt(-1)*IMEIG(i).
! The corresponding eigenvectors are
! Z(:,i) + sqrt(-1)*Z(:,i+1) and
! Z(:,i) - sqrt(-1)*Z(:,i+1), respectively.
! If JOBZ == 'F', then the above descriptions hold for
! the columns of Z*V, where the columns of V are the
! eigenvectors of the K-by-K Rayleigh quotient, and Z is
! orthonormal. The columns of V are similarly structured:
! If IMEIG(i) == 0 then Z*V(:,i) is an eigenvector, and if
! IMEIG(i) > 0 then Z*V(:,i)+sqrt(-1)*Z*V(:,i+1) and
! Z*V(:,i)-sqrt(-1)*Z*V(:,i+1)
! are the eigenvectors of LAMBDA(i), LAMBDA(i+1).
! See the descriptions of REIG, IMEIG, X and V.
!.....
! LDZ (input) INTEGER , LDZ >= M
! The leading dimension of the array Z.
!.....
! RES (output) REAL(KIND=WP) (N-1)-by-1 array
! RES(1:K) contains the residuals for the K computed
! Ritz pairs.
! If LAMBDA(i) is real, then
! RES(i) = || A * Z(:,i) - LAMBDA(i)*Z(:,i))||_2.
! If [LAMBDA(i), LAMBDA(i+1)] is a complex conjugate pair
! then
! RES(i)=RES(i+1) = || A * Z(:,i:i+1) - Z(:,i:i+1) *B||_F
! where B = [ real(LAMBDA(i)) imag(LAMBDA(i)) ]
! [-imag(LAMBDA(i)) real(LAMBDA(i)) ].
! It holds that
! RES(i) = || A*ZC(:,i) - LAMBDA(i) *ZC(:,i) ||_2
! RES(i+1) = || A*ZC(:,i+1) - LAMBDA(i+1)*ZC(:,i+1) ||_2
! where ZC(:,i) = Z(:,i) + sqrt(-1)*Z(:,i+1)
! ZC(:,i+1) = Z(:,i) - sqrt(-1)*Z(:,i+1)
! See the description of Z.
!.....
! B (output) REAL(KIND=WP) MIN(M,N)-by-(N-1) array.
! IF JOBF =='R', B(1:N,1:K) contains A*U(:,1:K), and can
! be used for computing the refined vectors; see further
! details in the provided references.
! If JOBF == 'E', B(1:N,1;K) contains
! A*U(:,1:K)*W(1:K,1:K), which are the vectors from the
! Exact DMD, up to scaling by the inverse eigenvalues.
! In both cases, the content of B can be lifted to the
! original dimension of the input data by pre-multiplying
! with the Q factor from the initial QR factorization.
! Here A denotes a compression of the underlying operator.
! See the descriptions of F and X.
! If JOBF =='N', then B is not referenced.
!.....
! LDB (input) INTEGER, LDB >= MIN(M,N)
! The leading dimension of the array B.
!.....
! V (workspace/output) REAL(KIND=WP) (N-1)-by-(N-1) array
! On exit, V(1:K,1:K) contains the K eigenvectors of
! the Rayleigh quotient. The eigenvectors of a complex
! conjugate pair of eigenvalues are returned in real form
! as explained in the description of Z. The Ritz vectors
! (returned in Z) are the product of X and V; see
! the descriptions of X and Z.
!.....
! LDV (input) INTEGER, LDV >= N-1
! The leading dimension of the array V.
!.....
! S (output) REAL(KIND=WP) (N-1)-by-(N-1) array
! The array S(1:K,1:K) is used for the matrix Rayleigh
! quotient. This content is overwritten during
! the eigenvalue decomposition by DGEEV.
! See the description of K.
!.....
! LDS (input) INTEGER, LDS >= N-1
! The leading dimension of the array S.
!.....
! WORK (workspace/output) REAL(KIND=WP) LWORK-by-1 array
! On exit,
! WORK(1:MIN(M,N)) contains the scalar factors of the
! elementary reflectors as returned by DGEQRF of the
! M-by-N input matrix F.
! WORK(MIN(M,N)+1:MIN(M,N)+N-1) contains the singular values of
! the input submatrix F(1:M,1:N-1).
! If the call to DGEDMDQ is only workspace query, then
! WORK(1) contains the minimal workspace length and
! WORK(2) is the optimal workspace length. Hence, the
! length of work is at least 2.
! See the description of LWORK.
!.....
! LWORK (input) INTEGER
! The minimal length of the workspace vector WORK.
! LWORK is calculated as follows:
! Let MLWQR = N (minimal workspace for DGEQRF[M,N])
! MLWDMD = minimal workspace for DGEDMD (see the
! description of LWORK in DGEDMD) for
! snapshots of dimensions MIN(M,N)-by-(N-1)
! MLWMQR = N (minimal workspace for
! DORMQR['L','N',M,N,N])
! MLWGQR = N (minimal workspace for DORGQR[M,N,N])
! Then
! LWORK = MAX(N+MLWQR, N+MLWDMD)
! is updated as follows:
! if JOBZ == 'V' or JOBZ == 'F' THEN
! LWORK = MAX( LWORK, MIN(M,N)+N-1+MLWMQR )
! if JOBQ == 'Q' THEN
! LWORK = MAX( LWORK, MIN(M,N)+N-1+MLWGQR)
! If on entry LWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for both WORK and
! IWORK. See the descriptions of WORK and IWORK.
!.....
! IWORK (workspace/output) INTEGER LIWORK-by-1 array
! Workspace that is required only if WHTSVD equals
! 2 , 3 or 4. (See the description of WHTSVD).
! If on entry LWORK =-1 or LIWORK=-1, then the
! minimal length of IWORK is computed and returned in
! IWORK(1). See the description of LIWORK.
!.....
! LIWORK (input) INTEGER
! The minimal length of the workspace vector IWORK.
! If WHTSVD == 1, then only IWORK(1) is used; LIWORK >=1
! Let M1=MIN(M,N), N1=N-1. Then
! If WHTSVD == 2, then LIWORK >= MAX(1,8*MIN(M1,N1))
! If WHTSVD == 3, then LIWORK >= MAX(1,M1+N1-1)
! If WHTSVD == 4, then LIWORK >= MAX(3,M1+3*N1)
! If on entry LIWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for both WORK and
! IWORK. See the descriptions of WORK and IWORK.
!.....
! INFO (output) INTEGER
! -i < 0 :: On entry, the i-th argument had an
! illegal value
! = 0 :: Successful return.
! = 1 :: Void input. Quick exit (M=0 or N=0).
! = 2 :: The SVD computation of X did not converge.
! Suggestion: Check the input data and/or
! repeat with different WHTSVD.
! = 3 :: The computation of the eigenvalues did not
! converge.
! = 4 :: If data scaling was requested on input and
! the procedure found inconsistency in the data
! such that for some column index i,
! X(:,i) = 0 but Y(:,i) /= 0, then Y(:,i) is set
! to zero if JOBS=='C'. The computation proceeds
! with original or modified data and warning
! flag is set with INFO=4.
!.............................................................
!.............................................................
! Parameters
! ~~~~~~~~~~
REAL(KIND=WP), PARAMETER :: ONE = 1.0_WP
REAL(KIND=WP), PARAMETER :: ZERO = 0.0_WP
!
! Local scalars
! ~~~~~~~~~~~~~
INTEGER :: IMINWR, INFO1, MLWDMD, MLWGQR, &
MLWMQR, MLWORK, MLWQR, MINMN, &
OLWDMD, OLWGQR, OLWMQR, OLWORK, &
OLWQR
LOGICAL :: LQUERY, SCCOLX, SCCOLY, WANTQ, &
WNTTRF, WNTRES, WNTVEC, WNTVCF, &
WNTVCQ, WNTREF, WNTEX
CHARACTER(LEN=1) :: JOBVL
!
! Local array
! ~~~~~~~~~~~
REAL(KIND=WP) :: RDUMMY(2)
!
! External functions (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~
LOGICAL LSAME
EXTERNAL LSAME
!
! External subroutines (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL DGEMM
EXTERNAL DGEQRF, DLACPY, DLASET, DORGQR, &
DORMQR, XERBLA
! External subroutines
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL DGEDMD
! Intrinsic functions
! ~~~~~~~~~~~~~~~~~~~
INTRINSIC MAX, MIN, INT
!..........................................................
!
! Test the input arguments
WNTRES = LSAME(JOBR,'R')
SCCOLX = LSAME(JOBS,'S') .OR. LSAME( JOBS, 'C' )
SCCOLY = LSAME(JOBS,'Y')
WNTVEC = LSAME(JOBZ,'V')
WNTVCF = LSAME(JOBZ,'F')
WNTVCQ = LSAME(JOBZ,'Q')
WNTREF = LSAME(JOBF,'R')
WNTEX = LSAME(JOBF,'E')
WANTQ = LSAME(JOBQ,'Q')
WNTTRF = LSAME(JOBT,'R')
MINMN = MIN(M,N)
INFO = 0
LQUERY = ( ( LWORK == -1 ) .OR. ( LIWORK == -1 ) )
!
IF ( .NOT. (SCCOLX .OR. SCCOLY .OR. &
LSAME(JOBS,'N')) ) THEN
INFO = -1
ELSE IF ( .NOT. (WNTVEC .OR. WNTVCF .OR. WNTVCQ &
.OR. LSAME(JOBZ,'N')) ) THEN
INFO = -2
ELSE IF ( .NOT. (WNTRES .OR. LSAME(JOBR,'N')) .OR. &
( WNTRES .AND. LSAME(JOBZ,'N') ) ) THEN
INFO = -3
ELSE IF ( .NOT. (WANTQ .OR. LSAME(JOBQ,'N')) ) THEN
INFO = -4
ELSE IF ( .NOT. ( WNTTRF .OR. LSAME(JOBT,'N') ) ) THEN
INFO = -5
ELSE IF ( .NOT. (WNTREF .OR. WNTEX .OR. &
LSAME(JOBF,'N') ) ) THEN
INFO = -6
ELSE IF ( .NOT. ((WHTSVD == 1).OR.(WHTSVD == 2).OR. &
(WHTSVD == 3).OR.(WHTSVD == 4)) ) THEN
INFO = -7
ELSE IF ( M < 0 ) THEN
INFO = -8
ELSE IF ( ( N < 0 ) .OR. ( N > M+1 ) ) THEN
INFO = -9
ELSE IF ( LDF < M ) THEN
INFO = -11
ELSE IF ( LDX < MINMN ) THEN
INFO = -13
ELSE IF ( LDY < MINMN ) THEN
INFO = -15
ELSE IF ( .NOT. (( NRNK == -2).OR.(NRNK == -1).OR. &
((NRNK >= 1).AND.(NRNK <=N ))) ) THEN
INFO = -16
ELSE IF ( ( TOL < ZERO ) .OR. ( TOL >= ONE ) ) THEN
INFO = -17
ELSE IF ( LDZ < M ) THEN
INFO = -22
ELSE IF ( (WNTREF.OR.WNTEX ).AND.( LDB < MINMN ) ) THEN
INFO = -25
ELSE IF ( LDV < N-1 ) THEN
INFO = -27
ELSE IF ( LDS < N-1 ) THEN
INFO = -29
END IF
!
IF ( WNTVEC .OR. WNTVCF .OR. WNTVCQ ) THEN
JOBVL = 'V'
ELSE
JOBVL = 'N'
END IF
IF ( INFO == 0 ) THEN
! Compute the minimal and the optimal workspace
! requirements. Simulate running the code and
! determine minimal and optimal sizes of the
! workspace at any moment of the run.
IF ( ( N == 0 ) .OR. ( N == 1 ) ) THEN
! All output except K is void. INFO=1 signals
! the void input. In case of a workspace query,
! the minimal workspace lengths are returned.
IF ( LQUERY ) THEN
IWORK(1) = 1
WORK(1) = 2
WORK(2) = 2
ELSE
K = 0
END IF
INFO = 1
RETURN
END IF
MLWQR = MAX(1,N) ! Minimal workspace length for DGEQRF.
MLWORK = MINMN + MLWQR
IF ( LQUERY ) THEN
CALL DGEQRF( M, N, F, LDF, WORK, RDUMMY, -1, &
INFO1 )
OLWQR = INT(RDUMMY(1))
OLWORK = MIN(M,N) + OLWQR
END IF
CALL DGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN,&
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
REIG, IMEIG, Z, LDZ, RES, B, LDB, &
V, LDV, S, LDS, WORK, -1, IWORK, &
LIWORK, INFO1 )
MLWDMD = INT(WORK(1))
MLWORK = MAX(MLWORK, MINMN + MLWDMD)
IMINWR = IWORK(1)
IF ( LQUERY ) THEN
OLWDMD = INT(WORK(2))
OLWORK = MAX(OLWORK, MINMN+OLWDMD)
END IF
IF ( WNTVEC .OR. WNTVCF ) THEN
MLWMQR = MAX(1,N)
MLWORK = MAX(MLWORK,MINMN+N-1+MLWMQR)
IF ( LQUERY ) THEN
CALL DORMQR( 'L','N', M, N, MINMN, F, LDF, &
WORK, Z, LDZ, WORK, -1, INFO1 )
OLWMQR = INT(WORK(1))
OLWORK = MAX(OLWORK,MINMN+N-1+OLWMQR)
END IF
END IF
IF ( WANTQ ) THEN
MLWGQR = N
MLWORK = MAX(MLWORK,MINMN+N-1+MLWGQR)
IF ( LQUERY ) THEN
CALL DORGQR( M, MINMN, MINMN, F, LDF, WORK, &
WORK, -1, INFO1 )
OLWGQR = INT(WORK(1))
OLWORK = MAX(OLWORK,MINMN+N-1+OLWGQR)
END IF
END IF
IMINWR = MAX( 1, IMINWR )
MLWORK = MAX( 2, MLWORK )
IF ( LWORK < MLWORK .AND. (.NOT.LQUERY) ) INFO = -31
IF ( LIWORK < IMINWR .AND. (.NOT.LQUERY) ) INFO = -33
END IF
IF( INFO /= 0 ) THEN
CALL XERBLA( 'DGEDMDQ', -INFO )
RETURN
ELSE IF ( LQUERY ) THEN
! Return minimal and optimal workspace sizes
IWORK(1) = IMINWR
WORK(1) = MLWORK
WORK(2) = OLWORK
RETURN
END IF
!.....
! Initial QR factorization that is used to represent the
! snapshots as elements of lower dimensional subspace.
! For large scale computation with M >>N , at this place
! one can use an out of core QRF.
!
CALL DGEQRF( M, N, F, LDF, WORK, &
WORK(MINMN+1), LWORK-MINMN, INFO1 )
!
! Define X and Y as the snapshots representations in the
! orthogonal basis computed in the QR factorization.
! X corresponds to the leading N-1 and Y to the trailing
! N-1 snapshots.
CALL DLASET( 'L', MINMN, N-1, ZERO, ZERO, X, LDX )
CALL DLACPY( 'U', MINMN, N-1, F, LDF, X, LDX )
CALL DLACPY( 'A', MINMN, N-1, F(1,2), LDF, Y, LDY )
IF ( M >= 3 ) THEN
CALL DLASET( 'L', MINMN-2, N-2, ZERO, ZERO, &
Y(3,1), LDY )
END IF
!
! Compute the DMD of the projected snapshot pairs (X,Y)
CALL DGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN, &
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
REIG, IMEIG, Z, LDZ, RES, B, LDB, V, &
LDV, S, LDS, WORK(MINMN+1), LWORK-MINMN, &
IWORK, LIWORK, INFO1 )
IF ( INFO1 == 2 .OR. INFO1 == 3 ) THEN
! Return with error code. See DGEDMD for details.
INFO = INFO1
RETURN
ELSE
INFO = INFO1
END IF
!
! The Ritz vectors (Koopman modes) can be explicitly
! formed or returned in factored form.
IF ( WNTVEC ) THEN
! Compute the eigenvectors explicitly.
IF ( M > MINMN ) CALL DLASET( 'A', M-MINMN, K, ZERO, &
ZERO, Z(MINMN+1,1), LDZ )
CALL DORMQR( 'L','N', M, K, MINMN, F, LDF, WORK, Z, &
LDZ, WORK(MINMN+N), LWORK-(MINMN+N-1), INFO1 )
ELSE IF ( WNTVCF ) THEN
! Return the Ritz vectors (eigenvectors) in factored
! form Z*V, where Z contains orthonormal matrix (the
! product of Q from the initial QR factorization and
! the SVD/POD_basis returned by DGEDMD in X) and the
! second factor (the eigenvectors of the Rayleigh
! quotient) is in the array V, as returned by DGEDMD.
CALL DLACPY( 'A', N, K, X, LDX, Z, LDZ )
IF ( M > N ) CALL DLASET( 'A', M-N, K, ZERO, ZERO, &
Z(N+1,1), LDZ )
CALL DORMQR( 'L','N', M, K, MINMN, F, LDF, WORK, Z, &
LDZ, WORK(MINMN+N), LWORK-(MINMN+N-1), INFO1 )
END IF
!
! Some optional output variables:
!
! The upper triangular factor R in the initial QR
! factorization is optionally returned in the array Y.
! This is useful if this call to DGEDMDQ is to be
! followed by a streaming DMD that is implemented in a
! QR compressed form.
IF ( WNTTRF ) THEN ! Return the upper triangular R in Y
CALL DLASET( 'A', MINMN, N, ZERO, ZERO, Y, LDY )
CALL DLACPY( 'U', MINMN, N, F, LDF, Y, LDY )
END IF
!
! The orthonormal/orthogonal factor Q in the initial QR
! factorization is optionally returned in the array F.
! Same as with the triangular factor above, this is
! useful in a streaming DMD.
IF ( WANTQ ) THEN ! Q overwrites F
CALL DORGQR( M, MINMN, MINMN, F, LDF, WORK, &
WORK(MINMN+N), LWORK-(MINMN+N-1), INFO1 )
END IF
!
RETURN
!
END SUBROUTINE DGEDMDQ

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SUBROUTINE SGEDMDQ( JOBS, JOBZ, JOBR, JOBQ, JOBT, JOBF, &
WHTSVD, M, N, F, LDF, X, LDX, Y, &
LDY, NRNK, TOL, K, REIG, IMEIG, &
Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, WORK, LWORK, IWORK, LIWORK, INFO )
! March 2023
!.....
USE iso_fortran_env
IMPLICIT NONE
INTEGER, PARAMETER :: WP = real32
!.....
! Scalar arguments
CHARACTER, INTENT(IN) :: JOBS, JOBZ, JOBR, JOBQ, &
JOBT, JOBF
INTEGER, INTENT(IN) :: WHTSVD, M, N, LDF, LDX, &
LDY, NRNK, LDZ, LDB, LDV, &
LDS, LWORK, LIWORK
INTEGER, INTENT(OUT) :: INFO, K
REAL(KIND=WP), INTENT(IN) :: TOL
! Array arguments
REAL(KIND=WP), INTENT(INOUT) :: F(LDF,*)
REAL(KIND=WP), INTENT(OUT) :: X(LDX,*), Y(LDY,*), &
Z(LDZ,*), B(LDB,*), &
V(LDV,*), S(LDS,*)
REAL(KIND=WP), INTENT(OUT) :: REIG(*), IMEIG(*), &
RES(*)
REAL(KIND=WP), INTENT(OUT) :: WORK(*)
INTEGER, INTENT(OUT) :: IWORK(*)
!.....
! Purpose
! =======
! SGEDMDQ computes the Dynamic Mode Decomposition (DMD) for
! a pair of data snapshot matrices, using a QR factorization
! based compression of the data. For the input matrices
! X and Y such that Y = A*X with an unaccessible matrix
! A, SGEDMDQ computes a certain number of Ritz pairs of A using
! the standard Rayleigh-Ritz extraction from a subspace of
! range(X) that is determined using the leading left singular
! vectors of X. Optionally, SGEDMDQ returns the residuals
! of the computed Ritz pairs, the information needed for
! a refinement of the Ritz vectors, or the eigenvectors of
! the Exact DMD.
! For further details see the references listed
! below. For more details of the implementation see [3].
!
! References
! ==========
! [1] P. Schmid: Dynamic mode decomposition of numerical
! and experimental data,
! Journal of Fluid Mechanics 656, 5-28, 2010.
! [2] Z. Drmac, I. Mezic, R. Mohr: Data driven modal
! decompositions: analysis and enhancements,
! SIAM J. on Sci. Comp. 40 (4), A2253-A2285, 2018.
! [3] Z. Drmac: A LAPACK implementation of the Dynamic
! Mode Decomposition I. Technical report. AIMDyn Inc.
! and LAPACK Working Note 298.
! [4] J. Tu, C. W. Rowley, D. M. Luchtenburg, S. L.
! Brunton, N. Kutz: On Dynamic Mode Decomposition:
! Theory and Applications, Journal of Computational
! Dynamics 1(2), 391 -421, 2014.
!
! Developed and supported by:
! ===========================
! Developed and coded by Zlatko Drmac, Faculty of Science,
! University of Zagreb; drmac@math.hr
! In cooperation with
! AIMdyn Inc., Santa Barbara, CA.
! and supported by
! - DARPA SBIR project "Koopman Operator-Based Forecasting
! for Nonstationary Processes from Near-Term, Limited
! Observational Data" Contract No: W31P4Q-21-C-0007
! - DARPA PAI project "Physics-Informed Machine Learning
! Methodologies" Contract No: HR0011-18-9-0033
! - DARPA MoDyL project "A Data-Driven, Operator-Theoretic
! Framework for Space-Time Analysis of Process Dynamics"
! Contract No: HR0011-16-C-0116
! Any opinions, findings and conclusions or recommendations
! expressed in this material are those of the author and
! do not necessarily reflect the views of the DARPA SBIR
! Program Office.
!============================================================
! Distribution Statement A:
! Approved for Public Release, Distribution Unlimited.
! Cleared by DARPA on September 29, 2022
!============================================================
!......................................................................
! Arguments
! =========
! JOBS (input) CHARACTER*1
! Determines whether the initial data snapshots are scaled
! by a diagonal matrix. The data snapshots are the columns
! of F. The leading N-1 columns of F are denoted X and the
! trailing N-1 columns are denoted Y.
! 'S' :: The data snapshots matrices X and Y are multiplied
! with a diagonal matrix D so that X*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'C' :: The snapshots are scaled as with the 'S' option.
! If it is found that an i-th column of X is zero
! vector and the corresponding i-th column of Y is
! non-zero, then the i-th column of Y is set to
! zero and a warning flag is raised.
! 'Y' :: The data snapshots matrices X and Y are multiplied
! by a diagonal matrix D so that Y*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'N' :: No data scaling.
!.....
! JOBZ (input) CHARACTER*1
! Determines whether the eigenvectors (Koopman modes) will
! be computed.
! 'V' :: The eigenvectors (Koopman modes) will be computed
! and returned in the matrix Z.
! See the description of Z.
! 'F' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Z*V, where Z
! is orthonormal and V contains the eigenvectors
! of the corresponding Rayleigh quotient.
! See the descriptions of F, V, Z.
! 'Q' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Q*Z, where Z
! contains the eigenvectors of the compression of the
! underlying discretized operator onto the span of
! the data snapshots. See the descriptions of F, V, Z.
! Q is from the initial QR factorization.
! 'N' :: The eigenvectors are not computed.
!.....
! JOBR (input) CHARACTER*1
! Determines whether to compute the residuals.
! 'R' :: The residuals for the computed eigenpairs will
! be computed and stored in the array RES.
! See the description of RES.
! For this option to be legal, JOBZ must be 'V'.
! 'N' :: The residuals are not computed.
!.....
! JOBQ (input) CHARACTER*1
! Specifies whether to explicitly compute and return the
! orthogonal matrix from the QR factorization.
! 'Q' :: The matrix Q of the QR factorization of the data
! snapshot matrix is computed and stored in the
! array F. See the description of F.
! 'N' :: The matrix Q is not explicitly computed.
!.....
! JOBT (input) CHARACTER*1
! Specifies whether to return the upper triangular factor
! from the QR factorization.
! 'R' :: The matrix R of the QR factorization of the data
! snapshot matrix F is returned in the array Y.
! See the description of Y and Further details.
! 'N' :: The matrix R is not returned.
!.....
! JOBF (input) CHARACTER*1
! Specifies whether to store information needed for post-
! processing (e.g. computing refined Ritz vectors)
! 'R' :: The matrix needed for the refinement of the Ritz
! vectors is computed and stored in the array B.
! See the description of B.
! 'E' :: The unscaled eigenvectors of the Exact DMD are
! computed and returned in the array B. See the
! description of B.
! 'N' :: No eigenvector refinement data is computed.
! To be useful on exit, this option needs JOBQ='Q'.
!.....
! WHTSVD (input) INTEGER, WHSTVD in { 1, 2, 3, 4 }
! Allows for a selection of the SVD algorithm from the
! LAPACK library.
! 1 :: SGESVD (the QR SVD algorithm)
! 2 :: SGESDD (the Divide and Conquer algorithm; if enough
! workspace available, this is the fastest option)
! 3 :: SGESVDQ (the preconditioned QR SVD ; this and 4
! are the most accurate options)
! 4 :: SGEJSV (the preconditioned Jacobi SVD; this and 3
! are the most accurate options)
! For the four methods above, a significant difference in
! the accuracy of small singular values is possible if
! the snapshots vary in norm so that X is severely
! ill-conditioned. If small (smaller than EPS*||X||)
! singular values are of interest and JOBS=='N', then
! the options (3, 4) give the most accurate results, where
! the option 4 is slightly better and with stronger
! theoretical background.
! If JOBS=='S', i.e. the columns of X will be normalized,
! then all methods give nearly equally accurate results.
!.....
! M (input) INTEGER, M >= 0
! The state space dimension (the number of rows of F)
!.....
! N (input) INTEGER, 0 <= N <= M
! The number of data snapshots from a single trajectory,
! taken at equidistant discrete times. This is the
! number of columns of F.
!.....
! F (input/output) REAL(KIND=WP) M-by-N array
! > On entry,
! the columns of F are the sequence of data snapshots
! from a single trajectory, taken at equidistant discrete
! times. It is assumed that the column norms of F are
! in the range of the normalized floating point numbers.
! < On exit,
! If JOBQ == 'Q', the array F contains the orthogonal
! matrix/factor of the QR factorization of the initial
! data snapshots matrix F. See the description of JOBQ.
! If JOBQ == 'N', the entries in F strictly below the main
! diagonal contain, column-wise, the information on the
! Householder vectors, as returned by SGEQRF. The
! remaining information to restore the orthogonal matrix
! of the initial QR factorization is stored in WORK(1:N).
! See the description of WORK.
!.....
! LDF (input) INTEGER, LDF >= M
! The leading dimension of the array F.
!.....
! X (workspace/output) REAL(KIND=WP) MIN(M,N)-by-(N-1) array
! X is used as workspace to hold representations of the
! leading N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit, the leading K columns of X contain the leading
! K left singular vectors of the above described content
! of X. To lift them to the space of the left singular
! vectors U(:,1:K)of the input data, pre-multiply with the
! Q factor from the initial QR factorization.
! See the descriptions of F, K, V and Z.
!.....
! LDX (input) INTEGER, LDX >= N
! The leading dimension of the array X
!.....
! Y (workspace/output) REAL(KIND=WP) MIN(M,N)-by-(N-1) array
! Y is used as workspace to hold representations of the
! trailing N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit,
! If JOBT == 'R', Y contains the MIN(M,N)-by-N upper
! triangular factor from the QR factorization of the data
! snapshot matrix F.
!.....
! LDY (input) INTEGER , LDY >= N
! The leading dimension of the array Y
!.....
! NRNK (input) INTEGER
! Determines the mode how to compute the numerical rank,
! i.e. how to truncate small singular values of the input
! matrix X. On input, if
! NRNK = -1 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(1)
! This option is recommended.
! NRNK = -2 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(i-1)
! This option is included for R&D purposes.
! It requires highly accurate SVD, which
! may not be feasible.
! The numerical rank can be enforced by using positive
! value of NRNK as follows:
! 0 < NRNK <= N-1 :: at most NRNK largest singular values
! will be used. If the number of the computed nonzero
! singular values is less than NRNK, then only those
! nonzero values will be used and the actually used
! dimension is less than NRNK. The actual number of
! the nonzero singular values is returned in the variable
! K. See the description of K.
!.....
! TOL (input) REAL(KIND=WP), 0 <= TOL < 1
! The tolerance for truncating small singular values.
! See the description of NRNK.
!.....
! K (output) INTEGER, 0 <= K <= N
! The dimension of the SVD/POD basis for the leading N-1
! data snapshots (columns of F) and the number of the
! computed Ritz pairs. The value of K is determined
! according to the rule set by the parameters NRNK and
! TOL. See the descriptions of NRNK and TOL.
!.....
! REIG (output) REAL(KIND=WP) (N-1)-by-1 array
! The leading K (K<=N) entries of REIG contain
! the real parts of the computed eigenvalues
! REIG(1:K) + sqrt(-1)*IMEIG(1:K).
! See the descriptions of K, IMEIG, Z.
!.....
! IMEIG (output) REAL(KIND=WP) (N-1)-by-1 array
! The leading K (K<N) entries of REIG contain
! the imaginary parts of the computed eigenvalues
! REIG(1:K) + sqrt(-1)*IMEIG(1:K).
! The eigenvalues are determined as follows:
! If IMEIG(i) == 0, then the corresponding eigenvalue is
! real, LAMBDA(i) = REIG(i).
! If IMEIG(i)>0, then the corresponding complex
! conjugate pair of eigenvalues reads
! LAMBDA(i) = REIG(i) + sqrt(-1)*IMAG(i)
! LAMBDA(i+1) = REIG(i) - sqrt(-1)*IMAG(i)
! That is, complex conjugate pairs have consecutive
! indices (i,i+1), with the positive imaginary part
! listed first.
! See the descriptions of K, REIG, Z.
!.....
! Z (workspace/output) REAL(KIND=WP) M-by-(N-1) array
! If JOBZ =='V' then
! Z contains real Ritz vectors as follows:
! If IMEIG(i)=0, then Z(:,i) is an eigenvector of
! the i-th Ritz value.
! If IMEIG(i) > 0 (and IMEIG(i+1) < 0) then
! [Z(:,i) Z(:,i+1)] span an invariant subspace and
! the Ritz values extracted from this subspace are
! REIG(i) + sqrt(-1)*IMEIG(i) and
! REIG(i) - sqrt(-1)*IMEIG(i).
! The corresponding eigenvectors are
! Z(:,i) + sqrt(-1)*Z(:,i+1) and
! Z(:,i) - sqrt(-1)*Z(:,i+1), respectively.
! If JOBZ == 'F', then the above descriptions hold for
! the columns of Z*V, where the columns of V are the
! eigenvectors of the K-by-K Rayleigh quotient, and Z is
! orthonormal. The columns of V are similarly structured:
! If IMEIG(i) == 0 then Z*V(:,i) is an eigenvector, and if
! IMEIG(i) > 0 then Z*V(:,i)+sqrt(-1)*Z*V(:,i+1) and
! Z*V(:,i)-sqrt(-1)*Z*V(:,i+1)
! are the eigenvectors of LAMBDA(i), LAMBDA(i+1).
! See the descriptions of REIG, IMEIG, X and V.
!.....
! LDZ (input) INTEGER , LDZ >= M
! The leading dimension of the array Z.
!.....
! RES (output) REAL(KIND=WP) (N-1)-by-1 array
! RES(1:K) contains the residuals for the K computed
! Ritz pairs.
! If LAMBDA(i) is real, then
! RES(i) = || A * Z(:,i) - LAMBDA(i)*Z(:,i))||_2.
! If [LAMBDA(i), LAMBDA(i+1)] is a complex conjugate pair
! then
! RES(i)=RES(i+1) = || A * Z(:,i:i+1) - Z(:,i:i+1) *B||_F
! where B = [ real(LAMBDA(i)) imag(LAMBDA(i)) ]
! [-imag(LAMBDA(i)) real(LAMBDA(i)) ].
! It holds that
! RES(i) = || A*ZC(:,i) - LAMBDA(i) *ZC(:,i) ||_2
! RES(i+1) = || A*ZC(:,i+1) - LAMBDA(i+1)*ZC(:,i+1) ||_2
! where ZC(:,i) = Z(:,i) + sqrt(-1)*Z(:,i+1)
! ZC(:,i+1) = Z(:,i) - sqrt(-1)*Z(:,i+1)
! See the description of Z.
!.....
! B (output) REAL(KIND=WP) MIN(M,N)-by-(N-1) array.
! IF JOBF =='R', B(1:N,1:K) contains A*U(:,1:K), and can
! be used for computing the refined vectors; see further
! details in the provided references.
! If JOBF == 'E', B(1:N,1;K) contains
! A*U(:,1:K)*W(1:K,1:K), which are the vectors from the
! Exact DMD, up to scaling by the inverse eigenvalues.
! In both cases, the content of B can be lifted to the
! original dimension of the input data by pre-multiplying
! with the Q factor from the initial QR factorization.
! Here A denotes a compression of the underlying operator.
! See the descriptions of F and X.
! If JOBF =='N', then B is not referenced.
!.....
! LDB (input) INTEGER, LDB >= MIN(M,N)
! The leading dimension of the array B.
!.....
! V (workspace/output) REAL(KIND=WP) (N-1)-by-(N-1) array
! On exit, V(1:K,1:K) contains the K eigenvectors of
! the Rayleigh quotient. The eigenvectors of a complex
! conjugate pair of eigenvalues are returned in real form
! as explained in the description of Z. The Ritz vectors
! (returned in Z) are the product of X and V; see
! the descriptions of X and Z.
!.....
! LDV (input) INTEGER, LDV >= N-1
! The leading dimension of the array V.
!.....
! S (output) REAL(KIND=WP) (N-1)-by-(N-1) array
! The array S(1:K,1:K) is used for the matrix Rayleigh
! quotient. This content is overwritten during
! the eigenvalue decomposition by SGEEV.
! See the description of K.
!.....
! LDS (input) INTEGER, LDS >= N-1
! The leading dimension of the array S.
!.....
! WORK (workspace/output) REAL(KIND=WP) LWORK-by-1 array
! On exit,
! WORK(1:MIN(M,N)) contains the scalar factors of the
! elementary reflectors as returned by SGEQRF of the
! M-by-N input matrix F.
! WORK(MIN(M,N)+1:MIN(M,N)+N-1) contains the singular values of
! the input submatrix F(1:M,1:N-1).
! If the call to SGEDMDQ is only workspace query, then
! WORK(1) contains the minimal workspace length and
! WORK(2) is the optimal workspace length. Hence, the
! length of work is at least 2.
! See the description of LWORK.
!.....
! LWORK (input) INTEGER
! The minimal length of the workspace vector WORK.
! LWORK is calculated as follows:
! Let MLWQR = N (minimal workspace for SGEQRF[M,N])
! MLWDMD = minimal workspace for SGEDMD (see the
! description of LWORK in SGEDMD) for
! snapshots of dimensions MIN(M,N)-by-(N-1)
! MLWMQR = N (minimal workspace for
! SORMQR['L','N',M,N,N])
! MLWGQR = N (minimal workspace for SORGQR[M,N,N])
! Then
! LWORK = MAX(N+MLWQR, N+MLWDMD)
! is updated as follows:
! if JOBZ == 'V' or JOBZ == 'F' THEN
! LWORK = MAX( LWORK,MIN(M,N)+N-1 +MLWMQR )
! if JOBQ == 'Q' THEN
! LWORK = MAX( LWORK,MIN(M,N)+N-1+MLWGQR)
! If on entry LWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for both WORK and
! IWORK. See the descriptions of WORK and IWORK.
!.....
! IWORK (workspace/output) INTEGER LIWORK-by-1 array
! Workspace that is required only if WHTSVD equals
! 2 , 3 or 4. (See the description of WHTSVD).
! If on entry LWORK =-1 or LIWORK=-1, then the
! minimal length of IWORK is computed and returned in
! IWORK(1). See the description of LIWORK.
!.....
! LIWORK (input) INTEGER
! The minimal length of the workspace vector IWORK.
! If WHTSVD == 1, then only IWORK(1) is used; LIWORK >=1
! Let M1=MIN(M,N), N1=N-1. Then
! If WHTSVD == 2, then LIWORK >= MAX(1,8*MIN(M1,N1))
! If WHTSVD == 3, then LIWORK >= MAX(1,M1+N1-1)
! If WHTSVD == 4, then LIWORK >= MAX(3,M1+3*N1)
! If on entry LIWORK = -1, then a worskpace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for both WORK and
! IWORK. See the descriptions of WORK and IWORK.
!.....
! INFO (output) INTEGER
! -i < 0 :: On entry, the i-th argument had an
! illegal value
! = 0 :: Successful return.
! = 1 :: Void input. Quick exit (M=0 or N=0).
! = 2 :: The SVD computation of X did not converge.
! Suggestion: Check the input data and/or
! repeat with different WHTSVD.
! = 3 :: The computation of the eigenvalues did not
! converge.
! = 4 :: If data scaling was requested on input and
! the procedure found inconsistency in the data
! such that for some column index i,
! X(:,i) = 0 but Y(:,i) /= 0, then Y(:,i) is set
! to zero if JOBS=='C'. The computation proceeds
! with original or modified data and warning
! flag is set with INFO=4.
!.............................................................
!.............................................................
! Parameters
! ~~~~~~~~~~
REAL(KIND=WP), PARAMETER :: ONE = 1.0_WP
REAL(KIND=WP), PARAMETER :: ZERO = 0.0_WP
!
! Local scalars
! ~~~~~~~~~~~~~
INTEGER :: IMINWR, INFO1, MLWDMD, MLWGQR, &
MLWMQR, MLWORK, MLWQR, MINMN, &
OLWDMD, OLWGQR, OLWMQR, OLWORK, &
OLWQR
LOGICAL :: LQUERY, SCCOLX, SCCOLY, WANTQ, &
WNTTRF, WNTRES, WNTVEC, WNTVCF, &
WNTVCQ, WNTREF, WNTEX
CHARACTER(LEN=1) :: JOBVL
!
! Local array
! ~~~~~~~~~~~
REAL(KIND=WP) :: RDUMMY(2)
!
! External functions (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~
LOGICAL LSAME
EXTERNAL LSAME
!
! External subroutines (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL SGEMM
EXTERNAL SGEQRF, SLACPY, SLASET, SORGQR, &
SORMQR, XERBLA
! External subroutines
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL SGEDMD
! Intrinsic functions
! ~~~~~~~~~~~~~~~~~~~
INTRINSIC MAX, MIN, INT
!..........................................................
!
! Test the input arguments
WNTRES = LSAME(JOBR,'R')
SCCOLX = LSAME(JOBS,'S') .OR. LSAME( JOBS, 'C' )
SCCOLY = LSAME(JOBS,'Y')
WNTVEC = LSAME(JOBZ,'V')
WNTVCF = LSAME(JOBZ,'F')
WNTVCQ = LSAME(JOBZ,'Q')
WNTREF = LSAME(JOBF,'R')
WNTEX = LSAME(JOBF,'E')
WANTQ = LSAME(JOBQ,'Q')
WNTTRF = LSAME(JOBT,'R')
MINMN = MIN(M,N)
INFO = 0
LQUERY = ( ( LWORK == -1 ) .OR. ( LIWORK == -1 ) )
!
IF ( .NOT. (SCCOLX .OR. SCCOLY .OR. LSAME(JOBS,'N')) ) THEN
INFO = -1
ELSE IF ( .NOT. (WNTVEC .OR. WNTVCF .OR. WNTVCQ &
.OR. LSAME(JOBZ,'N')) ) THEN
INFO = -2
ELSE IF ( .NOT. (WNTRES .OR. LSAME(JOBR,'N')) .OR. &
( WNTRES .AND. LSAME(JOBZ,'N') ) ) THEN
INFO = -3
ELSE IF ( .NOT. (WANTQ .OR. LSAME(JOBQ,'N')) ) THEN
INFO = -4
ELSE IF ( .NOT. ( WNTTRF .OR. LSAME(JOBT,'N') ) ) THEN
INFO = -5
ELSE IF ( .NOT. (WNTREF .OR. WNTEX .OR. &
LSAME(JOBF,'N') ) ) THEN
INFO = -6
ELSE IF ( .NOT. ((WHTSVD == 1).OR.(WHTSVD == 2).OR. &
(WHTSVD == 3).OR.(WHTSVD == 4)) ) THEN
INFO = -7
ELSE IF ( M < 0 ) THEN
INFO = -8
ELSE IF ( ( N < 0 ) .OR. ( N > M+1 ) ) THEN
INFO = -9
ELSE IF ( LDF < M ) THEN
INFO = -11
ELSE IF ( LDX < MINMN ) THEN
INFO = -13
ELSE IF ( LDY < MINMN ) THEN
INFO = -15
ELSE IF ( .NOT. (( NRNK == -2).OR.(NRNK == -1).OR. &
((NRNK >= 1).AND.(NRNK <=N ))) ) THEN
INFO = -16
ELSE IF ( ( TOL < ZERO ) .OR. ( TOL >= ONE ) ) THEN
INFO = -17
ELSE IF ( LDZ < M ) THEN
INFO = -22
ELSE IF ( (WNTREF.OR.WNTEX ).AND.( LDB < MINMN ) ) THEN
INFO = -25
ELSE IF ( LDV < N-1 ) THEN
INFO = -27
ELSE IF ( LDS < N-1 ) THEN
INFO = -29
END IF
!
IF ( WNTVEC .OR. WNTVCF ) THEN
JOBVL = 'V'
ELSE
JOBVL = 'N'
END IF
IF ( INFO == 0 ) THEN
! Compute the minimal and the optimal workspace
! requirements. Simulate running the code and
! determine minimal and optimal sizes of the
! workspace at any moment of the run.
IF ( ( N == 0 ) .OR. ( N == 1 ) ) THEN
! All output except K is void. INFO=1 signals
! the void input. In case of a workspace query,
! the minimal workspace lengths are returned.
IF ( LQUERY ) THEN
IWORK(1) = 1
WORK(1) = 2
WORK(2) = 2
ELSE
K = 0
END IF
INFO = 1
RETURN
END IF
MLWQR = MAX(1,N) ! Minimal workspace length for SGEQRF.
MLWORK = MIN(M,N) + MLWQR
IF ( LQUERY ) THEN
CALL SGEQRF( M, N, F, LDF, WORK, RDUMMY, -1, &
INFO1 )
OLWQR = INT(RDUMMY(1))
OLWORK = MIN(M,N) + OLWQR
END IF
CALL SGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN,&
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
REIG, IMEIG, Z, LDZ, RES, B, LDB, &
V, LDV, S, LDS, WORK, -1, IWORK, &
LIWORK, INFO1 )
MLWDMD = INT(WORK(1))
MLWORK = MAX(MLWORK, MINMN + MLWDMD)
IMINWR = IWORK(1)
IF ( LQUERY ) THEN
OLWDMD = INT(WORK(2))
OLWORK = MAX(OLWORK, MINMN+OLWDMD)
END IF
IF ( WNTVEC .OR. WNTVCF ) THEN
MLWMQR = MAX(1,N)
MLWORK = MAX(MLWORK,MINMN+N-1+MLWMQR)
IF ( LQUERY ) THEN
CALL SORMQR( 'L','N', M, N, MINMN, F, LDF, &
WORK, Z, LDZ, WORK, -1, INFO1 )
OLWMQR = INT(WORK(1))
OLWORK = MAX(OLWORK,MINMN+N-1+OLWMQR)
END IF
END IF
IF ( WANTQ ) THEN
MLWGQR = N
MLWORK = MAX(MLWORK,MINMN+N-1+MLWGQR)
IF ( LQUERY ) THEN
CALL SORGQR( M, MINMN, MINMN, F, LDF, WORK, &
WORK, -1, INFO1 )
OLWGQR = INT(WORK(1))
OLWORK = MAX(OLWORK,MINMN+N-1+OLWGQR)
END IF
END IF
IMINWR = MAX( 1, IMINWR )
MLWORK = MAX( 2, MLWORK )
IF ( LWORK < MLWORK .AND. (.NOT.LQUERY) ) INFO = -31
IF ( LIWORK < IMINWR .AND. (.NOT.LQUERY) ) INFO = -33
END IF
IF( INFO /= 0 ) THEN
CALL XERBLA( 'SGEDMDQ', -INFO )
RETURN
ELSE IF ( LQUERY ) THEN
! Return minimal and optimal workspace sizes
IWORK(1) = IMINWR
WORK(1) = MLWORK
WORK(2) = OLWORK
RETURN
END IF
!.....
! Initial QR factorization that is used to represent the
! snapshots as elements of lower dimensional subspace.
! For large scale computation with M >>N , at this place
! one can use an out of core QRF.
!
CALL SGEQRF( M, N, F, LDF, WORK, &
WORK(MINMN+1), LWORK-MINMN, INFO1 )
!
! Define X and Y as the snapshots representations in the
! orthogonal basis computed in the QR factorization.
! X corresponds to the leading N-1 and Y to the trailing
! N-1 snapshots.
CALL SLASET( 'L', MINMN, N-1, ZERO, ZERO, X, LDX )
CALL SLACPY( 'U', MINMN, N-1, F, LDF, X, LDX )
CALL SLACPY( 'A', MINMN, N-1, F(1,2), LDF, Y, LDY )
IF ( M >= 3 ) THEN
CALL SLASET( 'L', MINMN-2, N-2, ZERO, ZERO, &
Y(3,1), LDY )
END IF
!
! Compute the DMD of the projected snapshot pairs (X,Y)
CALL SGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN, &
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
REIG, IMEIG, Z, LDZ, RES, B, LDB, V, &
LDV, S, LDS, WORK(MINMN+1), LWORK-MINMN, IWORK, &
LIWORK, INFO1 )
IF ( INFO1 == 2 .OR. INFO1 == 3 ) THEN
! Return with error code.
INFO = INFO1
RETURN
ELSE
INFO = INFO1
END IF
!
! The Ritz vectors (Koopman modes) can be explicitly
! formed or returned in factored form.
IF ( WNTVEC ) THEN
! Compute the eigenvectors explicitly.
IF ( M > MINMN ) CALL SLASET( 'A', M-MINMN, K, ZERO, &
ZERO, Z(MINMN+1,1), LDZ )
CALL SORMQR( 'L','N', M, K, MINMN, F, LDF, WORK, Z, &
LDZ, WORK(MINMN+N), LWORK-(MINMN+N-1), INFO1 )
ELSE IF ( WNTVCF ) THEN
! Return the Ritz vectors (eigenvectors) in factored
! form Z*V, where Z contains orthonormal matrix (the
! product of Q from the initial QR factorization and
! the SVD/POD_basis returned by SGEDMD in X) and the
! second factor (the eigenvectors of the Rayleigh
! quotient) is in the array V, as returned by SGEDMD.
CALL SLACPY( 'A', N, K, X, LDX, Z, LDZ )
IF ( M > N ) CALL SLASET( 'A', M-N, K, ZERO, ZERO, &
Z(N+1,1), LDZ )
CALL SORMQR( 'L','N', M, K, MINMN, F, LDF, WORK, Z, &
LDZ, WORK(MINMN+N), LWORK-(MINMN+N-1), INFO1 )
END IF
!
! Some optional output variables:
!
! The upper triangular factor in the initial QR
! factorization is optionally returned in the array Y.
! This is useful if this call to SGEDMDQ is to be
! followed by a streaming DMD that is implemented in a
! QR compressed form.
IF ( WNTTRF ) THEN ! Return the upper triangular R in Y
CALL SLASET( 'A', MINMN, N, ZERO, ZERO, Y, LDY )
CALL SLACPY( 'U', MINMN, N, F, LDF, Y, LDY )
END IF
!
! The orthonormal/orthogonal factor in the initial QR
! factorization is optionally returned in the array F.
! Same as with the triangular factor above, this is
! useful in a streaming DMD.
IF ( WANTQ ) THEN ! Q overwrites F
CALL SORGQR( M, MINMN, MINMN, F, LDF, WORK, &
WORK(MINMN+N), LWORK-(MINMN+N-1), INFO1 )
END IF
!
RETURN
!
END SUBROUTINE SGEDMDQ

+ 996
- 0
lapack-netlib/SRC/zgedmd.f90 View File

@@ -0,0 +1,996 @@
SUBROUTINE ZGEDMD( JOBS, JOBZ, JOBR, JOBF, WHTSVD, &
M, N, X, LDX, Y, LDY, NRNK, TOL, &
K, EIGS, Z, LDZ, RES, B, LDB, &
W, LDW, S, LDS, ZWORK, LZWORK, &
RWORK, LRWORK, IWORK, LIWORK, INFO )
! March 2023
!.....
USE iso_fortran_env
IMPLICIT NONE
INTEGER, PARAMETER :: WP = real64
!.....
! Scalar arguments
CHARACTER, INTENT(IN) :: JOBS, JOBZ, JOBR, JOBF
INTEGER, INTENT(IN) :: WHTSVD, M, N, LDX, LDY, &
NRNK, LDZ, LDB, LDW, LDS, &
LIWORK, LRWORK, LZWORK
INTEGER, INTENT(OUT) :: K, INFO
REAL(KIND=WP), INTENT(IN) :: TOL
! Array arguments
COMPLEX(KIND=WP), INTENT(INOUT) :: X(LDX,*), Y(LDY,*)
COMPLEX(KIND=WP), INTENT(OUT) :: Z(LDZ,*), B(LDB,*), &
W(LDW,*), S(LDS,*)
COMPLEX(KIND=WP), INTENT(OUT) :: EIGS(*)
COMPLEX(KIND=WP), INTENT(OUT) :: ZWORK(*)
REAL(KIND=WP), INTENT(OUT) :: RES(*)
REAL(KIND=WP), INTENT(OUT) :: RWORK(*)
INTEGER, INTENT(OUT) :: IWORK(*)
!............................................................
! Purpose
! =======
! ZGEDMD computes the Dynamic Mode Decomposition (DMD) for
! a pair of data snapshot matrices. For the input matrices
! X and Y such that Y = A*X with an unaccessible matrix
! A, ZGEDMD computes a certain number of Ritz pairs of A using
! the standard Rayleigh-Ritz extraction from a subspace of
! range(X) that is determined using the leading left singular
! vectors of X. Optionally, ZGEDMD returns the residuals
! of the computed Ritz pairs, the information needed for
! a refinement of the Ritz vectors, or the eigenvectors of
! the Exact DMD.
! For further details see the references listed
! below. For more details of the implementation see [3].
!
! References
! ==========
! [1] P. Schmid: Dynamic mode decomposition of numerical
! and experimental data,
! Journal of Fluid Mechanics 656, 5-28, 2010.
! [2] Z. Drmac, I. Mezic, R. Mohr: Data driven modal
! decompositions: analysis and enhancements,
! SIAM J. on Sci. Comp. 40 (4), A2253-A2285, 2018.
! [3] Z. Drmac: A LAPACK implementation of the Dynamic
! Mode Decomposition I. Technical report. AIMDyn Inc.
! and LAPACK Working Note 298.
! [4] J. Tu, C. W. Rowley, D. M. Luchtenburg, S. L.
! Brunton, N. Kutz: On Dynamic Mode Decomposition:
! Theory and Applications, Journal of Computational
! Dynamics 1(2), 391 -421, 2014.
!
!......................................................................
! Developed and supported by:
! ===========================
! Developed and coded by Zlatko Drmac, Faculty of Science,
! University of Zagreb; drmac@math.hr
! In cooperation with
! AIMdyn Inc., Santa Barbara, CA.
! and supported by
! - DARPA SBIR project "Koopman Operator-Based Forecasting
! for Nonstationary Processes from Near-Term, Limited
! Observational Data" Contract No: W31P4Q-21-C-0007
! - DARPA PAI project "Physics-Informed Machine Learning
! Methodologies" Contract No: HR0011-18-9-0033
! - DARPA MoDyL project "A Data-Driven, Operator-Theoretic
! Framework for Space-Time Analysis of Process Dynamics"
! Contract No: HR0011-16-C-0116
! Any opinions, findings and conclusions or recommendations
! expressed in this material are those of the author and
! do not necessarily reflect the views of the DARPA SBIR
! Program Office
!============================================================
! Distribution Statement A:
! Approved for Public Release, Distribution Unlimited.
! Cleared by DARPA on September 29, 2022
!============================================================
!............................................................
! Arguments
! =========
! JOBS (input) CHARACTER*1
! Determines whether the initial data snapshots are scaled
! by a diagonal matrix.
! 'S' :: The data snapshots matrices X and Y are multiplied
! with a diagonal matrix D so that X*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'C' :: The snapshots are scaled as with the 'S' option.
! If it is found that an i-th column of X is zero
! vector and the corresponding i-th column of Y is
! non-zero, then the i-th column of Y is set to
! zero and a warning flag is raised.
! 'Y' :: The data snapshots matrices X and Y are multiplied
! by a diagonal matrix D so that Y*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'N' :: No data scaling.
!.....
! JOBZ (input) CHARACTER*1
! Determines whether the eigenvectors (Koopman modes) will
! be computed.
! 'V' :: The eigenvectors (Koopman modes) will be computed
! and returned in the matrix Z.
! See the description of Z.
! 'F' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product X(:,1:K)*W, where X
! contains a POD basis (leading left singular vectors
! of the data matrix X) and W contains the eigenvectors
! of the corresponding Rayleigh quotient.
! See the descriptions of K, X, W, Z.
! 'N' :: The eigenvectors are not computed.
!.....
! JOBR (input) CHARACTER*1
! Determines whether to compute the residuals.
! 'R' :: The residuals for the computed eigenpairs will be
! computed and stored in the array RES.
! See the description of RES.
! For this option to be legal, JOBZ must be 'V'.
! 'N' :: The residuals are not computed.
!.....
! JOBF (input) CHARACTER*1
! Specifies whether to store information needed for post-
! processing (e.g. computing refined Ritz vectors)
! 'R' :: The matrix needed for the refinement of the Ritz
! vectors is computed and stored in the array B.
! See the description of B.
! 'E' :: The unscaled eigenvectors of the Exact DMD are
! computed and returned in the array B. See the
! description of B.
! 'N' :: No eigenvector refinement data is computed.
!.....
! WHTSVD (input) INTEGER, WHSTVD in { 1, 2, 3, 4 }
! Allows for a selection of the SVD algorithm from the
! LAPACK library.
! 1 :: ZGESVD (the QR SVD algorithm)
! 2 :: ZGESDD (the Divide and Conquer algorithm; if enough
! workspace available, this is the fastest option)
! 3 :: ZGESVDQ (the preconditioned QR SVD ; this and 4
! are the most accurate options)
! 4 :: ZGEJSV (the preconditioned Jacobi SVD; this and 3
! are the most accurate options)
! For the four methods above, a significant difference in
! the accuracy of small singular values is possible if
! the snapshots vary in norm so that X is severely
! ill-conditioned. If small (smaller than EPS*||X||)
! singular values are of interest and JOBS=='N', then
! the options (3, 4) give the most accurate results, where
! the option 4 is slightly better and with stronger
! theoretical background.
! If JOBS=='S', i.e. the columns of X will be normalized,
! then all methods give nearly equally accurate results.
!.....
! M (input) INTEGER, M>= 0
! The state space dimension (the row dimension of X, Y).
!.....
! N (input) INTEGER, 0 <= N <= M
! The number of data snapshot pairs
! (the number of columns of X and Y).
!.....
! X (input/output) COMPLEX(KIND=WP) M-by-N array
! > On entry, X contains the data snapshot matrix X. It is
! assumed that the column norms of X are in the range of
! the normalized floating point numbers.
! < On exit, the leading K columns of X contain a POD basis,
! i.e. the leading K left singular vectors of the input
! data matrix X, U(:,1:K). All N columns of X contain all
! left singular vectors of the input matrix X.
! See the descriptions of K, Z and W.
!.....
! LDX (input) INTEGER, LDX >= M
! The leading dimension of the array X.
!.....
! Y (input/workspace/output) COMPLEX(KIND=WP) M-by-N array
! > On entry, Y contains the data snapshot matrix Y
! < On exit,
! If JOBR == 'R', the leading K columns of Y contain
! the residual vectors for the computed Ritz pairs.
! See the description of RES.
! If JOBR == 'N', Y contains the original input data,
! scaled according to the value of JOBS.
!.....
! LDY (input) INTEGER , LDY >= M
! The leading dimension of the array Y.
!.....
! NRNK (input) INTEGER
! Determines the mode how to compute the numerical rank,
! i.e. how to truncate small singular values of the input
! matrix X. On input, if
! NRNK = -1 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(1)
! This option is recommended.
! NRNK = -2 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(i-1)
! This option is included for R&D purposes.
! It requires highly accurate SVD, which
! may not be feasible.
! The numerical rank can be enforced by using positive
! value of NRNK as follows:
! 0 < NRNK <= N :: at most NRNK largest singular values
! will be used. If the number of the computed nonzero
! singular values is less than NRNK, then only those
! nonzero values will be used and the actually used
! dimension is less than NRNK. The actual number of
! the nonzero singular values is returned in the variable
! K. See the descriptions of TOL and K.
!.....
! TOL (input) REAL(KIND=WP), 0 <= TOL < 1
! The tolerance for truncating small singular values.
! See the description of NRNK.
!.....
! K (output) INTEGER, 0 <= K <= N
! The dimension of the POD basis for the data snapshot
! matrix X and the number of the computed Ritz pairs.
! The value of K is determined according to the rule set
! by the parameters NRNK and TOL.
! See the descriptions of NRNK and TOL.
!.....
! EIGS (output) COMPLEX(KIND=WP) N-by-1 array
! The leading K (K<=N) entries of EIGS contain
! the computed eigenvalues (Ritz values).
! See the descriptions of K, and Z.
!.....
! Z (workspace/output) COMPLEX(KIND=WP) M-by-N array
! If JOBZ =='V' then Z contains the Ritz vectors. Z(:,i)
! is an eigenvector of the i-th Ritz value; ||Z(:,i)||_2=1.
! If JOBZ == 'F', then the Z(:,i)'s are given implicitly as
! the columns of X(:,1:K)*W(1:K,1:K), i.e. X(:,1:K)*W(:,i)
! is an eigenvector corresponding to EIGS(i). The columns
! of W(1:k,1:K) are the computed eigenvectors of the
! K-by-K Rayleigh quotient.
! See the descriptions of EIGS, X and W.
!.....
! LDZ (input) INTEGER , LDZ >= M
! The leading dimension of the array Z.
!.....
! RES (output) REAL(KIND=WP) N-by-1 array
! RES(1:K) contains the residuals for the K computed
! Ritz pairs,
! RES(i) = || A * Z(:,i) - EIGS(i)*Z(:,i))||_2.
! See the description of EIGS and Z.
!.....
! B (output) COMPLEX(KIND=WP) M-by-N array.
! IF JOBF =='R', B(1:M,1:K) contains A*U(:,1:K), and can
! be used for computing the refined vectors; see further
! details in the provided references.
! If JOBF == 'E', B(1:M,1:K) contains
! A*U(:,1:K)*W(1:K,1:K), which are the vectors from the
! Exact DMD, up to scaling by the inverse eigenvalues.
! If JOBF =='N', then B is not referenced.
! See the descriptions of X, W, K.
!.....
! LDB (input) INTEGER, LDB >= M
! The leading dimension of the array B.
!.....
! W (workspace/output) COMPLEX(KIND=WP) N-by-N array
! On exit, W(1:K,1:K) contains the K computed
! eigenvectors of the matrix Rayleigh quotient.
! The Ritz vectors (returned in Z) are the
! product of X (containing a POD basis for the input
! matrix X) and W. See the descriptions of K, S, X and Z.
! W is also used as a workspace to temporarily store the
! right singular vectors of X.
!.....
! LDW (input) INTEGER, LDW >= N
! The leading dimension of the array W.
!.....
! S (workspace/output) COMPLEX(KIND=WP) N-by-N array
! The array S(1:K,1:K) is used for the matrix Rayleigh
! quotient. This content is overwritten during
! the eigenvalue decomposition by ZGEEV.
! See the description of K.
!.....
! LDS (input) INTEGER, LDS >= N
! The leading dimension of the array S.
!.....
! ZWORK (workspace/output) COMPLEX(KIND=WP) LZWORK-by-1 array
! ZWORK is used as complex workspace in the complex SVD, as
! specified by WHTSVD (1,2, 3 or 4) and for ZGEEV for computing
! the eigenvalues of a Rayleigh quotient.
! If the call to ZGEDMD is only workspace query, then
! ZWORK(1) contains the minimal complex workspace length and
! ZWORK(2) is the optimal complex workspace length.
! Hence, the length of work is at least 2.
! See the description of LZWORK.
!.....
! LZWORK (input) INTEGER
! The minimal length of the workspace vector ZWORK.
! LZWORK is calculated as MAX(LZWORK_SVD, LZWORK_ZGEEV),
! where LZWORK_ZGEEV = MAX( 1, 2*N ) and the minimal
! LZWORK_SVD is calculated as follows
! If WHTSVD == 1 :: ZGESVD ::
! LZWORK_SVD = MAX(1,2*MIN(M,N)+MAX(M,N))
! If WHTSVD == 2 :: ZGESDD ::
! LZWORK_SVD = 2*MIN(M,N)*MIN(M,N)+2*MIN(M,N)+MAX(M,N)
! If WHTSVD == 3 :: ZGESVDQ ::
! LZWORK_SVD = obtainable by a query
! If WHTSVD == 4 :: ZGEJSV ::
! LZWORK_SVD = obtainable by a query
! If on entry LZWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths and returns them in
! LZWORK(1) and LZWORK(2), respectively.
!.....
! RWORK (workspace/output) REAL(KIND=WP) LRWORK-by-1 array
! On exit, RWORK(1:N) contains the singular values of
! X (for JOBS=='N') or column scaled X (JOBS=='S', 'C').
! If WHTSVD==4, then RWORK(N+1) and RWORK(N+2) contain
! scaling factor RWORK(N+2)/RWORK(N+1) used to scale X
! and Y to avoid overflow in the SVD of X.
! This may be of interest if the scaling option is off
! and as many as possible smallest eigenvalues are
! desired to the highest feasible accuracy.
! If the call to ZGEDMD is only workspace query, then
! RWORK(1) contains the minimal workspace length.
! See the description of LRWORK.
!.....
! LRWORK (input) INTEGER
! The minimal length of the workspace vector RWORK.
! LRWORK is calculated as follows:
! LRWORK = MAX(1, N+LRWORK_SVD,N+LRWORK_ZGEEV), where
! LRWORK_ZGEEV = MAX(1,2*N) and RWORK_SVD is the real workspace
! for the SVD subroutine determined by the input parameter
! WHTSVD.
! If WHTSVD == 1 :: ZGESVD ::
! LRWORK_SVD = 5*MIN(M,N)
! If WHTSVD == 2 :: ZGESDD ::
! LRWORK_SVD = MAX(5*MIN(M,N)*MIN(M,N)+7*MIN(M,N),
! 2*MAX(M,N)*MIN(M,N)+2*MIN(M,N)*MIN(M,N)+MIN(M,N) ) )
! If WHTSVD == 3 :: ZGESVDQ ::
! LRWORK_SVD = obtainable by a query
! If WHTSVD == 4 :: ZGEJSV ::
! LRWORK_SVD = obtainable by a query
! If on entry LRWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! real workspace length and returns it in RWORK(1).
!.....
! IWORK (workspace/output) INTEGER LIWORK-by-1 array
! Workspace that is required only if WHTSVD equals
! 2 , 3 or 4. (See the description of WHTSVD).
! If on entry LWORK =-1 or LIWORK=-1, then the
! minimal length of IWORK is computed and returned in
! IWORK(1). See the description of LIWORK.
!.....
! LIWORK (input) INTEGER
! The minimal length of the workspace vector IWORK.
! If WHTSVD == 1, then only IWORK(1) is used; LIWORK >=1
! If WHTSVD == 2, then LIWORK >= MAX(1,8*MIN(M,N))
! If WHTSVD == 3, then LIWORK >= MAX(1,M+N-1)
! If WHTSVD == 4, then LIWORK >= MAX(3,M+3*N)
! If on entry LIWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for ZWORK, RWORK and
! IWORK. See the descriptions of ZWORK, RWORK and IWORK.
!.....
! INFO (output) INTEGER
! -i < 0 :: On entry, the i-th argument had an
! illegal value
! = 0 :: Successful return.
! = 1 :: Void input. Quick exit (M=0 or N=0).
! = 2 :: The SVD computation of X did not converge.
! Suggestion: Check the input data and/or
! repeat with different WHTSVD.
! = 3 :: The computation of the eigenvalues did not
! converge.
! = 4 :: If data scaling was requested on input and
! the procedure found inconsistency in the data
! such that for some column index i,
! X(:,i) = 0 but Y(:,i) /= 0, then Y(:,i) is set
! to zero if JOBS=='C'. The computation proceeds
! with original or modified data and warning
! flag is set with INFO=4.
!.............................................................
!.............................................................
! Parameters
! ~~~~~~~~~~
REAL(KIND=WP), PARAMETER :: ONE = 1.0_WP
REAL(KIND=WP), PARAMETER :: ZERO = 0.0_WP
COMPLEX(KIND=WP), PARAMETER :: ZONE = ( 1.0_WP, 0.0_WP )
COMPLEX(KIND=WP), PARAMETER :: ZZERO = ( 0.0_WP, 0.0_WP )
! Local scalars
! ~~~~~~~~~~~~~
REAL(KIND=WP) :: OFL, ROOTSC, SCALE, SMALL, &
SSUM, XSCL1, XSCL2
INTEGER :: i, j, IMINWR, INFO1, INFO2, &
LWRKEV, LWRSDD, LWRSVD, LWRSVJ, &
LWRSVQ, MLWORK, MWRKEV, MWRSDD, &
MWRSVD, MWRSVJ, MWRSVQ, NUMRNK, &
OLWORK, MLRWRK
LOGICAL :: BADXY, LQUERY, SCCOLX, SCCOLY, &
WNTEX, WNTREF, WNTRES, WNTVEC
CHARACTER :: JOBZL, T_OR_N
CHARACTER :: JSVOPT
!
! Local arrays
! ~~~~~~~~~~~~
REAL(KIND=WP) :: RDUMMY(2)
! External functions (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~
REAL(KIND=WP) ZLANGE, DLAMCH, DZNRM2
EXTERNAL ZLANGE, DLAMCH, DZNRM2, IZAMAX
INTEGER IZAMAX
LOGICAL DISNAN, LSAME
EXTERNAL DISNAN, LSAME
! External subroutines (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL ZAXPY, ZGEMM, ZDSCAL
EXTERNAL ZGEEV, ZGEJSV, ZGESDD, ZGESVD, ZGESVDQ, &
ZLACPY, ZLASCL, ZLASSQ, XERBLA
! Intrinsic functions
! ~~~~~~~~~~~~~~~~~~~
INTRINSIC DBLE, INT, MAX, SQRT
!............................................................
!
! Test the input arguments
!
WNTRES = LSAME(JOBR,'R')
SCCOLX = LSAME(JOBS,'S') .OR. LSAME(JOBS,'C')
SCCOLY = LSAME(JOBS,'Y')
WNTVEC = LSAME(JOBZ,'V')
WNTREF = LSAME(JOBF,'R')
WNTEX = LSAME(JOBF,'E')
INFO = 0
LQUERY = ( ( LZWORK == -1 ) .OR. ( LIWORK == -1 ) &
.OR. ( LRWORK == -1 ) )
!
IF ( .NOT. (SCCOLX .OR. SCCOLY .OR. &
LSAME(JOBS,'N')) ) THEN
INFO = -1
ELSE IF ( .NOT. (WNTVEC .OR. LSAME(JOBZ,'N') &
.OR. LSAME(JOBZ,'F')) ) THEN
INFO = -2
ELSE IF ( .NOT. (WNTRES .OR. LSAME(JOBR,'N')) .OR. &
( WNTRES .AND. (.NOT.WNTVEC) ) ) THEN
INFO = -3
ELSE IF ( .NOT. (WNTREF .OR. WNTEX .OR. &
LSAME(JOBF,'N') ) ) THEN
INFO = -4
ELSE IF ( .NOT.((WHTSVD == 1) .OR. (WHTSVD == 2) .OR. &
(WHTSVD == 3) .OR. (WHTSVD == 4) )) THEN
INFO = -5
ELSE IF ( M < 0 ) THEN
INFO = -6
ELSE IF ( ( N < 0 ) .OR. ( N > M ) ) THEN
INFO = -7
ELSE IF ( LDX < M ) THEN
INFO = -9
ELSE IF ( LDY < M ) THEN
INFO = -11
ELSE IF ( .NOT. (( NRNK == -2).OR.(NRNK == -1).OR. &
((NRNK >= 1).AND.(NRNK <=N ))) ) THEN
INFO = -12
ELSE IF ( ( TOL < ZERO ) .OR. ( TOL >= ONE ) ) THEN
INFO = -13
ELSE IF ( LDZ < M ) THEN
INFO = -17
ELSE IF ( (WNTREF .OR. WNTEX ) .AND. ( LDB < M ) ) THEN
INFO = -20
ELSE IF ( LDW < N ) THEN
INFO = -22
ELSE IF ( LDS < N ) THEN
INFO = -24
END IF
!
IF ( INFO == 0 ) THEN
! Compute the minimal and the optimal workspace
! requirements. Simulate running the code and
! determine minimal and optimal sizes of the
! workspace at any moment of the run.
IF ( N == 0 ) THEN
! Quick return. All output except K is void.
! INFO=1 signals the void input.
! In case of a workspace query, the default
! minimal workspace lengths are returned.
IF ( LQUERY ) THEN
IWORK(1) = 1
RWORK(1) = 1
ZWORK(1) = 2
ZWORK(2) = 2
ELSE
K = 0
END IF
INFO = 1
RETURN
END IF
IMINWR = 1
MLRWRK = MAX(1,N)
MLWORK = 2
OLWORK = 2
SELECT CASE ( WHTSVD )
CASE (1)
! The following is specified as the minimal
! length of WORK in the definition of ZGESVD:
! MWRSVD = MAX(1,2*MIN(M,N)+MAX(M,N))
MWRSVD = MAX(1,2*MIN(M,N)+MAX(M,N))
MLWORK = MAX(MLWORK,MWRSVD)
MLRWRK = MAX(MLRWRK,N + 5*MIN(M,N))
IF ( LQUERY ) THEN
CALL ZGESVD( 'O', 'S', M, N, X, LDX, RWORK, &
B, LDB, W, LDW, ZWORK, -1, RDUMMY, INFO1 )
LWRSVD = INT( ZWORK(1) )
OLWORK = MAX(OLWORK,LWRSVD)
END IF
CASE (2)
! The following is specified as the minimal
! length of WORK in the definition of ZGESDD:
! MWRSDD = 2*min(M,N)*min(M,N)+2*min(M,N)+max(M,N).
! RWORK length: 5*MIN(M,N)*MIN(M,N)+7*MIN(M,N)
! In LAPACK 3.10.1 RWORK is defined differently.
! Below we take max over the two versions.
! IMINWR = 8*MIN(M,N)
MWRSDD = 2*MIN(M,N)*MIN(M,N)+2*MIN(M,N)+MAX(M,N)
MLWORK = MAX(MLWORK,MWRSDD)
IMINWR = 8*MIN(M,N)
MLRWRK = MAX( MLRWRK, N + &
MAX( 5*MIN(M,N)*MIN(M,N)+7*MIN(M,N), &
5*MIN(M,N)*MIN(M,N)+5*MIN(M,N), &
2*MAX(M,N)*MIN(M,N)+ &
2*MIN(M,N)*MIN(M,N)+MIN(M,N) ) )
IF ( LQUERY ) THEN
CALL ZGESDD( 'O', M, N, X, LDX, RWORK, B,LDB,&
W, LDW, ZWORK, -1, RDUMMY, IWORK, INFO1 )
LWRSDD = MAX( MWRSDD,INT( ZWORK(1) ))
! Possible bug in ZGESDD optimal workspace size.
OLWORK = MAX(OLWORK,LWRSDD)
END IF
CASE (3)
CALL ZGESVDQ( 'H', 'P', 'N', 'R', 'R', M, N, &
X, LDX, RWORK, Z, LDZ, W, LDW, NUMRNK, &
IWORK, -1, ZWORK, -1, RDUMMY, -1, INFO1 )
IMINWR = IWORK(1)
MWRSVQ = INT(ZWORK(2))
MLWORK = MAX(MLWORK,MWRSVQ)
MLRWRK = MAX(MLRWRK,N + INT(RDUMMY(1)))
IF ( LQUERY ) THEN
LWRSVQ = INT(ZWORK(1))
OLWORK = MAX(OLWORK,LWRSVQ)
END IF
CASE (4)
JSVOPT = 'J'
CALL ZGEJSV( 'F', 'U', JSVOPT, 'R', 'N', 'P', M, &
N, X, LDX, RWORK, Z, LDZ, W, LDW, &
ZWORK, -1, RDUMMY, -1, IWORK, INFO1 )
IMINWR = IWORK(1)
MWRSVJ = INT(ZWORK(2))
MLWORK = MAX(MLWORK,MWRSVJ)
MLRWRK = MAX(MLRWRK,N + MAX(7,INT(RDUMMY(1))))
IF ( LQUERY ) THEN
LWRSVJ = INT(ZWORK(1))
OLWORK = MAX(OLWORK,LWRSVJ)
END IF
END SELECT
IF ( WNTVEC .OR. WNTEX .OR. LSAME(JOBZ,'F') ) THEN
JOBZL = 'V'
ELSE
JOBZL = 'N'
END IF
! Workspace calculation to the ZGEEV call
MWRKEV = MAX( 1, 2*N )
MLWORK = MAX(MLWORK,MWRKEV)
MLRWRK = MAX(MLRWRK,N+2*N)
IF ( LQUERY ) THEN
CALL ZGEEV( 'N', JOBZL, N, S, LDS, EIGS, &
W, LDW, W, LDW, ZWORK, -1, RWORK, INFO1 )
LWRKEV = INT(ZWORK(1))
OLWORK = MAX( OLWORK, LWRKEV )
END IF
!
IF ( LIWORK < IMINWR .AND. (.NOT.LQUERY) ) INFO = -30
IF ( LRWORK < MLRWRK .AND. (.NOT.LQUERY) ) INFO = -28
IF ( LZWORK < MLWORK .AND. (.NOT.LQUERY) ) INFO = -26
END IF
!
IF( INFO /= 0 ) THEN
CALL XERBLA( 'ZGEDMD', -INFO )
RETURN
ELSE IF ( LQUERY ) THEN
! Return minimal and optimal workspace sizes
IWORK(1) = IMINWR
RWORK(1) = MLRWRK
ZWORK(1) = MLWORK
ZWORK(2) = OLWORK
RETURN
END IF
!............................................................
!
OFL = DLAMCH('O')
SMALL = DLAMCH('S')
BADXY = .FALSE.
!
! <1> Optional scaling of the snapshots (columns of X, Y)
! ==========================================================
IF ( SCCOLX ) THEN
! The columns of X will be normalized.
! To prevent overflows, the column norms of X are
! carefully computed using ZLASSQ.
K = 0
DO i = 1, N
!WORK(i) = DZNRM2( M, X(1,i), 1 )
SCALE = ZERO
CALL ZLASSQ( M, X(1,i), 1, SCALE, SSUM )
IF ( DISNAN(SCALE) .OR. DISNAN(SSUM) ) THEN
K = 0
INFO = -8
CALL XERBLA('ZGEDMD',-INFO)
END IF
IF ( (SCALE /= ZERO) .AND. (SSUM /= ZERO) ) THEN
ROOTSC = SQRT(SSUM)
IF ( SCALE .GE. (OFL / ROOTSC) ) THEN
! Norm of X(:,i) overflows. First, X(:,i)
! is scaled by
! ( ONE / ROOTSC ) / SCALE = 1/||X(:,i)||_2.
! Next, the norm of X(:,i) is stored without
! overflow as RWORK(i) = - SCALE * (ROOTSC/M),
! the minus sign indicating the 1/M factor.
! Scaling is performed without overflow, and
! underflow may occur in the smallest entries
! of X(:,i). The relative backward and forward
! errors are small in the ell_2 norm.
CALL ZLASCL( 'G', 0, 0, SCALE, ONE/ROOTSC, &
M, 1, X(1,i), LDX, INFO2 )
RWORK(i) = - SCALE * ( ROOTSC / DBLE(M) )
ELSE
! X(:,i) will be scaled to unit 2-norm
RWORK(i) = SCALE * ROOTSC
CALL ZLASCL( 'G',0, 0, RWORK(i), ONE, M, 1, &
X(1,i), LDX, INFO2 ) ! LAPACK CALL
! X(1:M,i) = (ONE/RWORK(i)) * X(1:M,i) ! INTRINSIC
END IF
ELSE
RWORK(i) = ZERO
K = K + 1
END IF
END DO
IF ( K == N ) THEN
! All columns of X are zero. Return error code -8.
! (the 8th input variable had an illegal value)
K = 0
INFO = -8
CALL XERBLA('ZGEDMD',-INFO)
RETURN
END IF
DO i = 1, N
! Now, apply the same scaling to the columns of Y.
IF ( RWORK(i) > ZERO ) THEN
CALL ZDSCAL( M, ONE/RWORK(i), Y(1,i), 1 ) ! BLAS CALL
! Y(1:M,i) = (ONE/RWORK(i)) * Y(1:M,i) ! INTRINSIC
ELSE IF ( RWORK(i) < ZERO ) THEN
CALL ZLASCL( 'G', 0, 0, -RWORK(i), &
ONE/DBLE(M), M, 1, Y(1,i), LDY, INFO2 ) ! LAPACK CALL
ELSE IF ( ABS(Y(IZAMAX(M, Y(1,i),1),i )) &
/= ZERO ) THEN
! X(:,i) is zero vector. For consistency,
! Y(:,i) should also be zero. If Y(:,i) is not
! zero, then the data might be inconsistent or
! corrupted. If JOBS == 'C', Y(:,i) is set to
! zero and a warning flag is raised.
! The computation continues but the
! situation will be reported in the output.
BADXY = .TRUE.
IF ( LSAME(JOBS,'C')) &
CALL ZDSCAL( M, ZERO, Y(1,i), 1 ) ! BLAS CALL
END IF
END DO
END IF
!
IF ( SCCOLY ) THEN
! The columns of Y will be normalized.
! To prevent overflows, the column norms of Y are
! carefully computed using ZLASSQ.
DO i = 1, N
!RWORK(i) = DZNRM2( M, Y(1,i), 1 )
SCALE = ZERO
CALL ZLASSQ( M, Y(1,i), 1, SCALE, SSUM )
IF ( DISNAN(SCALE) .OR. DISNAN(SSUM) ) THEN
K = 0
INFO = -10
CALL XERBLA('ZGEDMD',-INFO)
END IF
IF ( SCALE /= ZERO .AND. (SSUM /= ZERO) ) THEN
ROOTSC = SQRT(SSUM)
IF ( SCALE .GE. (OFL / ROOTSC) ) THEN
! Norm of Y(:,i) overflows. First, Y(:,i)
! is scaled by
! ( ONE / ROOTSC ) / SCALE = 1/||Y(:,i)||_2.
! Next, the norm of Y(:,i) is stored without
! overflow as RWORK(i) = - SCALE * (ROOTSC/M),
! the minus sign indicating the 1/M factor.
! Scaling is performed without overflow, and
! underflow may occur in the smallest entries
! of Y(:,i). The relative backward and forward
! errors are small in the ell_2 norm.
CALL ZLASCL( 'G', 0, 0, SCALE, ONE/ROOTSC, &
M, 1, Y(1,i), LDY, INFO2 )
RWORK(i) = - SCALE * ( ROOTSC / DBLE(M) )
ELSE
! Y(:,i) will be scaled to unit 2-norm
RWORK(i) = SCALE * ROOTSC
CALL ZLASCL( 'G',0, 0, RWORK(i), ONE, M, 1, &
Y(1,i), LDY, INFO2 ) ! LAPACK CALL
! Y(1:M,i) = (ONE/RWORK(i)) * Y(1:M,i) ! INTRINSIC
END IF
ELSE
RWORK(i) = ZERO
END IF
END DO
DO i = 1, N
! Now, apply the same scaling to the columns of X.
IF ( RWORK(i) > ZERO ) THEN
CALL ZDSCAL( M, ONE/RWORK(i), X(1,i), 1 ) ! BLAS CALL
! X(1:M,i) = (ONE/RWORK(i)) * X(1:M,i) ! INTRINSIC
ELSE IF ( RWORK(i) < ZERO ) THEN
CALL ZLASCL( 'G', 0, 0, -RWORK(i), &
ONE/DBLE(M), M, 1, X(1,i), LDX, INFO2 ) ! LAPACK CALL
ELSE IF ( ABS(X(IZAMAX(M, X(1,i),1),i )) &
/= ZERO ) THEN
! Y(:,i) is zero vector. If X(:,i) is not
! zero, then a warning flag is raised.
! The computation continues but the
! situation will be reported in the output.
BADXY = .TRUE.
END IF
END DO
END IF
!
! <2> SVD of the data snapshot matrix X.
! =====================================
! The left singular vectors are stored in the array X.
! The right singular vectors are in the array W.
! The array W will later on contain the eigenvectors
! of a Rayleigh quotient.
NUMRNK = N
SELECT CASE ( WHTSVD )
CASE (1)
CALL ZGESVD( 'O', 'S', M, N, X, LDX, RWORK, B, &
LDB, W, LDW, ZWORK, LZWORK, RWORK(N+1), INFO1 ) ! LAPACK CALL
T_OR_N = 'C'
CASE (2)
CALL ZGESDD( 'O', M, N, X, LDX, RWORK, B, LDB, W, &
LDW, ZWORK, LZWORK, RWORK(N+1), IWORK, INFO1 ) ! LAPACK CALL
T_OR_N = 'C'
CASE (3)
CALL ZGESVDQ( 'H', 'P', 'N', 'R', 'R', M, N, &
X, LDX, RWORK, Z, LDZ, W, LDW, &
NUMRNK, IWORK, LIWORK, ZWORK, &
LZWORK, RWORK(N+1), LRWORK-N, INFO1) ! LAPACK CALL
CALL ZLACPY( 'A', M, NUMRNK, Z, LDZ, X, LDX ) ! LAPACK CALL
T_OR_N = 'C'
CASE (4)
CALL ZGEJSV( 'F', 'U', JSVOPT, 'R', 'N', 'P', M, &
N, X, LDX, RWORK, Z, LDZ, W, LDW, &
ZWORK, LZWORK, RWORK(N+1), LRWORK-N, IWORK, INFO1 ) ! LAPACK CALL
CALL ZLACPY( 'A', M, N, Z, LDZ, X, LDX ) ! LAPACK CALL
T_OR_N = 'N'
XSCL1 = RWORK(N+1)
XSCL2 = RWORK(N+2)
IF ( XSCL1 /= XSCL2 ) THEN
! This is an exceptional situation. If the
! data matrices are not scaled and the
! largest singular value of X overflows.
! In that case ZGEJSV can return the SVD
! in scaled form. The scaling factor can be used
! to rescale the data (X and Y).
CALL ZLASCL( 'G', 0, 0, XSCL1, XSCL2, M, N, Y, LDY, INFO2 )
END IF
END SELECT
!
IF ( INFO1 > 0 ) THEN
! The SVD selected subroutine did not converge.
! Return with an error code.
INFO = 2
RETURN
END IF
!
IF ( RWORK(1) == ZERO ) THEN
! The largest computed singular value of (scaled)
! X is zero. Return error code -8
! (the 8th input variable had an illegal value).
K = 0
INFO = -8
CALL XERBLA('ZGEDMD',-INFO)
RETURN
END IF
!
!<3> Determine the numerical rank of the data
! snapshots matrix X. This depends on the
! parameters NRNK and TOL.
SELECT CASE ( NRNK )
CASE ( -1 )
K = 1
DO i = 2, NUMRNK
IF ( ( RWORK(i) <= RWORK(1)*TOL ) .OR. &
( RWORK(i) <= SMALL ) ) EXIT
K = K + 1
END DO
CASE ( -2 )
K = 1
DO i = 1, NUMRNK-1
IF ( ( RWORK(i+1) <= RWORK(i)*TOL ) .OR. &
( RWORK(i) <= SMALL ) ) EXIT
K = K + 1
END DO
CASE DEFAULT
K = 1
DO i = 2, NRNK
IF ( RWORK(i) <= SMALL ) EXIT
K = K + 1
END DO
END SELECT
! Now, U = X(1:M,1:K) is the SVD/POD basis for the
! snapshot data in the input matrix X.
!<4> Compute the Rayleigh quotient S = U^H * A * U.
! Depending on the requested outputs, the computation
! is organized to compute additional auxiliary
! matrices (for the residuals and refinements).
!
! In all formulas below, we need V_k*Sigma_k^(-1)
! where either V_k is in W(1:N,1:K), or V_k^H is in
! W(1:K,1:N). Here Sigma_k=diag(WORK(1:K)).
IF ( LSAME(T_OR_N, 'N') ) THEN
DO i = 1, K
CALL ZDSCAL( N, ONE/RWORK(i), W(1,i), 1 ) ! BLAS CALL
! W(1:N,i) = (ONE/RWORK(i)) * W(1:N,i) ! INTRINSIC
END DO
ELSE
! This non-unit stride access is due to the fact
! that ZGESVD, ZGESVDQ and ZGESDD return the
! adjoint matrix of the right singular vectors.
!DO i = 1, K
! CALL ZDSCAL( N, ONE/RWORK(i), W(i,1), LDW ) ! BLAS CALL
! ! W(i,1:N) = (ONE/RWORK(i)) * W(i,1:N) ! INTRINSIC
!END DO
DO i = 1, K
RWORK(N+i) = ONE/RWORK(i)
END DO
DO j = 1, N
DO i = 1, K
W(i,j) = CMPLX(RWORK(N+i),ZERO,KIND=WP)*W(i,j)
END DO
END DO
END IF
!
IF ( WNTREF ) THEN
!
! Need A*U(:,1:K)=Y*V_k*inv(diag(WORK(1:K)))
! for computing the refined Ritz vectors
! (optionally, outside ZGEDMD).
CALL ZGEMM( 'N', T_OR_N, M, K, N, ZONE, Y, LDY, W, &
LDW, ZZERO, Z, LDZ ) ! BLAS CALL
! Z(1:M,1:K)=MATMUL(Y(1:M,1:N),TRANSPOSE(CONJG(W(1:K,1:N)))) ! INTRINSIC, for T_OR_N=='C'
! Z(1:M,1:K)=MATMUL(Y(1:M,1:N),W(1:N,1:K)) ! INTRINSIC, for T_OR_N=='N'
!
! At this point Z contains
! A * U(:,1:K) = Y * V_k * Sigma_k^(-1), and
! this is needed for computing the residuals.
! This matrix is returned in the array B and
! it can be used to compute refined Ritz vectors.
CALL ZLACPY( 'A', M, K, Z, LDZ, B, LDB ) ! BLAS CALL
! B(1:M,1:K) = Z(1:M,1:K) ! INTRINSIC
CALL ZGEMM( 'C', 'N', K, K, M, ZONE, X, LDX, Z, &
LDZ, ZZERO, S, LDS ) ! BLAS CALL
! S(1:K,1:K) = MATMUL(TRANSPOSE(CONJG(X(1:M,1:K))),Z(1:M,1:K)) ! INTRINSIC
! At this point S = U^H * A * U is the Rayleigh quotient.
ELSE
! A * U(:,1:K) is not explicitly needed and the
! computation is organized differently. The Rayleigh
! quotient is computed more efficiently.
CALL ZGEMM( 'C', 'N', K, N, M, ZONE, X, LDX, Y, LDY, &
ZZERO, Z, LDZ ) ! BLAS CALL
! Z(1:K,1:N) = MATMUL( TRANSPOSE(CONJG(X(1:M,1:K))), Y(1:M,1:N) ) ! INTRINSIC
!
CALL ZGEMM( 'N', T_OR_N, K, K, N, ZONE, Z, LDZ, W, &
LDW, ZZERO, S, LDS ) ! BLAS CALL
! S(1:K,1:K) = MATMUL(Z(1:K,1:N),TRANSPOSE(CONJG(W(1:K,1:N)))) ! INTRINSIC, for T_OR_N=='T'
! S(1:K,1:K) = MATMUL(Z(1:K,1:N),(W(1:N,1:K))) ! INTRINSIC, for T_OR_N=='N'
! At this point S = U^H * A * U is the Rayleigh quotient.
! If the residuals are requested, save scaled V_k into Z.
! Recall that V_k or V_k^H is stored in W.
IF ( WNTRES .OR. WNTEX ) THEN
IF ( LSAME(T_OR_N, 'N') ) THEN
CALL ZLACPY( 'A', N, K, W, LDW, Z, LDZ )
ELSE
CALL ZLACPY( 'A', K, N, W, LDW, Z, LDZ )
END IF
END IF
END IF
!
!<5> Compute the Ritz values and (if requested) the
! right eigenvectors of the Rayleigh quotient.
!
CALL ZGEEV( 'N', JOBZL, K, S, LDS, EIGS, W, LDW, &
W, LDW, ZWORK, LZWORK, RWORK(N+1), INFO1 ) ! LAPACK CALL
!
! W(1:K,1:K) contains the eigenvectors of the Rayleigh
! quotient. See the description of Z.
! Also, see the description of ZGEEV.
IF ( INFO1 > 0 ) THEN
! ZGEEV failed to compute the eigenvalues and
! eigenvectors of the Rayleigh quotient.
INFO = 3
RETURN
END IF
!
! <6> Compute the eigenvectors (if requested) and,
! the residuals (if requested).
!
IF ( WNTVEC .OR. WNTEX ) THEN
IF ( WNTRES ) THEN
IF ( WNTREF ) THEN
! Here, if the refinement is requested, we have
! A*U(:,1:K) already computed and stored in Z.
! For the residuals, need Y = A * U(:,1;K) * W.
CALL ZGEMM( 'N', 'N', M, K, K, ZONE, Z, LDZ, W, &
LDW, ZZERO, Y, LDY ) ! BLAS CALL
! Y(1:M,1:K) = Z(1:M,1:K) * W(1:K,1:K) ! INTRINSIC
! This frees Z; Y contains A * U(:,1:K) * W.
ELSE
! Compute S = V_k * Sigma_k^(-1) * W, where
! V_k * Sigma_k^(-1) (or its adjoint) is stored in Z
CALL ZGEMM( T_OR_N, 'N', N, K, K, ZONE, Z, LDZ, &
W, LDW, ZZERO, S, LDS )
! Then, compute Z = Y * S =
! = Y * V_k * Sigma_k^(-1) * W(1:K,1:K) =
! = A * U(:,1:K) * W(1:K,1:K)
CALL ZGEMM( 'N', 'N', M, K, N, ZONE, Y, LDY, S, &
LDS, ZZERO, Z, LDZ )
! Save a copy of Z into Y and free Z for holding
! the Ritz vectors.
CALL ZLACPY( 'A', M, K, Z, LDZ, Y, LDY )
IF ( WNTEX ) CALL ZLACPY( 'A', M, K, Z, LDZ, B, LDB )
END IF
ELSE IF ( WNTEX ) THEN
! Compute S = V_k * Sigma_k^(-1) * W, where
! V_k * Sigma_k^(-1) is stored in Z
CALL ZGEMM( T_OR_N, 'N', N, K, K, ZONE, Z, LDZ, &
W, LDW, ZZERO, S, LDS )
! Then, compute Z = Y * S =
! = Y * V_k * Sigma_k^(-1) * W(1:K,1:K) =
! = A * U(:,1:K) * W(1:K,1:K)
CALL ZGEMM( 'N', 'N', M, K, N, ZONE, Y, LDY, S, &
LDS, ZZERO, B, LDB )
! The above call replaces the following two calls
! that were used in the developing-testing phase.
! CALL ZGEMM( 'N', 'N', M, K, N, ZONE, Y, LDY, S, &
! LDS, ZZERO, Z, LDZ)
! Save a copy of Z into B and free Z for holding
! the Ritz vectors.
! CALL ZLACPY( 'A', M, K, Z, LDZ, B, LDB )
END IF
!
! Compute the Ritz vectors
IF ( WNTVEC ) CALL ZGEMM( 'N', 'N', M, K, K, ZONE, X, LDX, W, LDW, &
ZZERO, Z, LDZ ) ! BLAS CALL
! Z(1:M,1:K) = MATMUL(X(1:M,1:K), W(1:K,1:K)) ! INTRINSIC
!
IF ( WNTRES ) THEN
DO i = 1, K
CALL ZAXPY( M, -EIGS(i), Z(1,i), 1, Y(1,i), 1 ) ! BLAS CALL
! Y(1:M,i) = Y(1:M,i) - EIGS(i) * Z(1:M,i) ! INTRINSIC
RES(i) = DZNRM2( M, Y(1,i), 1 ) ! BLAS CALL
END DO
END IF
END IF
!
IF ( WHTSVD == 4 ) THEN
RWORK(N+1) = XSCL1
RWORK(N+2) = XSCL2
END IF
!
! Successful exit.
IF ( .NOT. BADXY ) THEN
INFO = 0
ELSE
! A warning on possible data inconsistency.
! This should be a rare event.
INFO = 4
END IF
!............................................................
RETURN
! ......
END SUBROUTINE ZGEDMD

+ 689
- 0
lapack-netlib/SRC/zgedmdq.f90 View File

@@ -0,0 +1,689 @@
SUBROUTINE ZGEDMDQ( JOBS, JOBZ, JOBR, JOBQ, JOBT, JOBF, &
WHTSVD, M, N, F, LDF, X, LDX, Y, &
LDY, NRNK, TOL, K, EIGS, &
Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, ZWORK, LZWORK, WORK, LWORK, &
IWORK, LIWORK, INFO )
! March 2023
!.....
USE iso_fortran_env
IMPLICIT NONE
INTEGER, PARAMETER :: WP = real64
!.....
! Scalar arguments
CHARACTER, INTENT(IN) :: JOBS, JOBZ, JOBR, JOBQ, &
JOBT, JOBF
INTEGER, INTENT(IN) :: WHTSVD, M, N, LDF, LDX, &
LDY, NRNK, LDZ, LDB, LDV, &
LDS, LZWORK, LWORK, LIWORK
INTEGER, INTENT(OUT) :: INFO, K
REAL(KIND=WP), INTENT(IN) :: TOL
! Array arguments
COMPLEX(KIND=WP), INTENT(INOUT) :: F(LDF,*)
COMPLEX(KIND=WP), INTENT(OUT) :: X(LDX,*), Y(LDY,*), &
Z(LDZ,*), B(LDB,*), &
V(LDV,*), S(LDS,*)
COMPLEX(KIND=WP), INTENT(OUT) :: EIGS(*)
COMPLEX(KIND=WP), INTENT(OUT) :: ZWORK(*)
REAL(KIND=WP), INTENT(OUT) :: RES(*)
REAL(KIND=WP), INTENT(OUT) :: WORK(*)
INTEGER, INTENT(OUT) :: IWORK(*)
!.....
! Purpose
! =======
! ZGEDMDQ computes the Dynamic Mode Decomposition (DMD) for
! a pair of data snapshot matrices, using a QR factorization
! based compression of the data. For the input matrices
! X and Y such that Y = A*X with an unaccessible matrix
! A, ZGEDMDQ computes a certain number of Ritz pairs of A using
! the standard Rayleigh-Ritz extraction from a subspace of
! range(X) that is determined using the leading left singular
! vectors of X. Optionally, ZGEDMDQ returns the residuals
! of the computed Ritz pairs, the information needed for
! a refinement of the Ritz vectors, or the eigenvectors of
! the Exact DMD.
! For further details see the references listed
! below. For more details of the implementation see [3].
!
! References
! ==========
! [1] P. Schmid: Dynamic mode decomposition of numerical
! and experimental data,
! Journal of Fluid Mechanics 656, 5-28, 2010.
! [2] Z. Drmac, I. Mezic, R. Mohr: Data driven modal
! decompositions: analysis and enhancements,
! SIAM J. on Sci. Comp. 40 (4), A2253-A2285, 2018.
! [3] Z. Drmac: A LAPACK implementation of the Dynamic
! Mode Decomposition I. Technical report. AIMDyn Inc.
! and LAPACK Working Note 298.
! [4] J. Tu, C. W. Rowley, D. M. Luchtenburg, S. L.
! Brunton, N. Kutz: On Dynamic Mode Decomposition:
! Theory and Applications, Journal of Computational
! Dynamics 1(2), 391 -421, 2014.
!
! Developed and supported by:
! ===========================
! Developed and coded by Zlatko Drmac, Faculty of Science,
! University of Zagreb; drmac@math.hr
! In cooperation with
! AIMdyn Inc., Santa Barbara, CA.
! and supported by
! - DARPA SBIR project "Koopman Operator-Based Forecasting
! for Nonstationary Processes from Near-Term, Limited
! Observational Data" Contract No: W31P4Q-21-C-0007
! - DARPA PAI project "Physics-Informed Machine Learning
! Methodologies" Contract No: HR0011-18-9-0033
! - DARPA MoDyL project "A Data-Driven, Operator-Theoretic
! Framework for Space-Time Analysis of Process Dynamics"
! Contract No: HR0011-16-C-0116
! Any opinions, findings and conclusions or recommendations
! expressed in this material are those of the author and
! do not necessarily reflect the views of the DARPA SBIR
! Program Office.
!============================================================
! Distribution Statement A:
! Approved for Public Release, Distribution Unlimited.
! Cleared by DARPA on September 29, 2022
!============================================================
!......................................................................
! Arguments
! =========
! JOBS (input) CHARACTER*1
! Determines whether the initial data snapshots are scaled
! by a diagonal matrix. The data snapshots are the columns
! of F. The leading N-1 columns of F are denoted X and the
! trailing N-1 columns are denoted Y.
! 'S' :: The data snapshots matrices X and Y are multiplied
! with a diagonal matrix D so that X*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'C' :: The snapshots are scaled as with the 'S' option.
! If it is found that an i-th column of X is zero
! vector and the corresponding i-th column of Y is
! non-zero, then the i-th column of Y is set to
! zero and a warning flag is raised.
! 'Y' :: The data snapshots matrices X and Y are multiplied
! by a diagonal matrix D so that Y*D has unit
! nonzero columns (in the Euclidean 2-norm)
! 'N' :: No data scaling.
!.....
! JOBZ (input) CHARACTER*1
! Determines whether the eigenvectors (Koopman modes) will
! be computed.
! 'V' :: The eigenvectors (Koopman modes) will be computed
! and returned in the matrix Z.
! See the description of Z.
! 'F' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Z*V, where Z
! is orthonormal and V contains the eigenvectors
! of the corresponding Rayleigh quotient.
! See the descriptions of F, V, Z.
! 'Q' :: The eigenvectors (Koopman modes) will be returned
! in factored form as the product Q*Z, where Z
! contains the eigenvectors of the compression of the
! underlying discretized operator onto the span of
! the data snapshots. See the descriptions of F, V, Z.
! Q is from the initial QR factorization.
! 'N' :: The eigenvectors are not computed.
!.....
! JOBR (input) CHARACTER*1
! Determines whether to compute the residuals.
! 'R' :: The residuals for the computed eigenpairs will
! be computed and stored in the array RES.
! See the description of RES.
! For this option to be legal, JOBZ must be 'V'.
! 'N' :: The residuals are not computed.
!.....
! JOBQ (input) CHARACTER*1
! Specifies whether to explicitly compute and return the
! unitary matrix from the QR factorization.
! 'Q' :: The matrix Q of the QR factorization of the data
! snapshot matrix is computed and stored in the
! array F. See the description of F.
! 'N' :: The matrix Q is not explicitly computed.
!.....
! JOBT (input) CHARACTER*1
! Specifies whether to return the upper triangular factor
! from the QR factorization.
! 'R' :: The matrix R of the QR factorization of the data
! snapshot matrix F is returned in the array Y.
! See the description of Y and Further details.
! 'N' :: The matrix R is not returned.
!.....
! JOBF (input) CHARACTER*1
! Specifies whether to store information needed for post-
! processing (e.g. computing refined Ritz vectors)
! 'R' :: The matrix needed for the refinement of the Ritz
! vectors is computed and stored in the array B.
! See the description of B.
! 'E' :: The unscaled eigenvectors of the Exact DMD are
! computed and returned in the array B. See the
! description of B.
! 'N' :: No eigenvector refinement data is computed.
! To be useful on exit, this option needs JOBQ='Q'.
!.....
! WHTSVD (input) INTEGER, WHSTVD in { 1, 2, 3, 4 }
! Allows for a selection of the SVD algorithm from the
! LAPACK library.
! 1 :: ZGESVD (the QR SVD algorithm)
! 2 :: ZGESDD (the Divide and Conquer algorithm; if enough
! workspace available, this is the fastest option)
! 3 :: ZGESVDQ (the preconditioned QR SVD ; this and 4
! are the most accurate options)
! 4 :: ZGEJSV (the preconditioned Jacobi SVD; this and 3
! are the most accurate options)
! For the four methods above, a significant difference in
! the accuracy of small singular values is possible if
! the snapshots vary in norm so that X is severely
! ill-conditioned. If small (smaller than EPS*||X||)
! singular values are of interest and JOBS=='N', then
! the options (3, 4) give the most accurate results, where
! the option 4 is slightly better and with stronger
! theoretical background.
! If JOBS=='S', i.e. the columns of X will be normalized,
! then all methods give nearly equally accurate results.
!.....
! M (input) INTEGER, M >= 0
! The state space dimension (the number of rows of F).
!.....
! N (input) INTEGER, 0 <= N <= M
! The number of data snapshots from a single trajectory,
! taken at equidistant discrete times. This is the
! number of columns of F.
!.....
! F (input/output) COMPLEX(KIND=WP) M-by-N array
! > On entry,
! the columns of F are the sequence of data snapshots
! from a single trajectory, taken at equidistant discrete
! times. It is assumed that the column norms of F are
! in the range of the normalized floating point numbers.
! < On exit,
! If JOBQ == 'Q', the array F contains the orthogonal
! matrix/factor of the QR factorization of the initial
! data snapshots matrix F. See the description of JOBQ.
! If JOBQ == 'N', the entries in F strictly below the main
! diagonal contain, column-wise, the information on the
! Householder vectors, as returned by ZGEQRF. The
! remaining information to restore the orthogonal matrix
! of the initial QR factorization is stored in ZWORK(1:MIN(M,N)).
! See the description of ZWORK.
!.....
! LDF (input) INTEGER, LDF >= M
! The leading dimension of the array F.
!.....
! X (workspace/output) COMPLEX(KIND=WP) MIN(M,N)-by-(N-1) array
! X is used as workspace to hold representations of the
! leading N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit, the leading K columns of X contain the leading
! K left singular vectors of the above described content
! of X. To lift them to the space of the left singular
! vectors U(:,1:K) of the input data, pre-multiply with the
! Q factor from the initial QR factorization.
! See the descriptions of F, K, V and Z.
!.....
! LDX (input) INTEGER, LDX >= N
! The leading dimension of the array X.
!.....
! Y (workspace/output) COMPLEX(KIND=WP) MIN(M,N)-by-(N) array
! Y is used as workspace to hold representations of the
! trailing N-1 snapshots in the orthonormal basis computed
! in the QR factorization of F.
! On exit,
! If JOBT == 'R', Y contains the MIN(M,N)-by-N upper
! triangular factor from the QR factorization of the data
! snapshot matrix F.
!.....
! LDY (input) INTEGER , LDY >= N
! The leading dimension of the array Y.
!.....
! NRNK (input) INTEGER
! Determines the mode how to compute the numerical rank,
! i.e. how to truncate small singular values of the input
! matrix X. On input, if
! NRNK = -1 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(1)
! This option is recommended.
! NRNK = -2 :: i-th singular value sigma(i) is truncated
! if sigma(i) <= TOL*sigma(i-1)
! This option is included for R&D purposes.
! It requires highly accurate SVD, which
! may not be feasible.
! The numerical rank can be enforced by using positive
! value of NRNK as follows:
! 0 < NRNK <= N-1 :: at most NRNK largest singular values
! will be used. If the number of the computed nonzero
! singular values is less than NRNK, then only those
! nonzero values will be used and the actually used
! dimension is less than NRNK. The actual number of
! the nonzero singular values is returned in the variable
! K. See the description of K.
!.....
! TOL (input) REAL(KIND=WP), 0 <= TOL < 1
! The tolerance for truncating small singular values.
! See the description of NRNK.
!.....
! K (output) INTEGER, 0 <= K <= N
! The dimension of the SVD/POD basis for the leading N-1
! data snapshots (columns of F) and the number of the
! computed Ritz pairs. The value of K is determined
! according to the rule set by the parameters NRNK and
! TOL. See the descriptions of NRNK and TOL.
!.....
! EIGS (output) COMPLEX(KIND=WP) (N-1)-by-1 array
! The leading K (K<=N-1) entries of EIGS contain
! the computed eigenvalues (Ritz values).
! See the descriptions of K, and Z.
!.....
! Z (workspace/output) COMPLEX(KIND=WP) M-by-(N-1) array
! If JOBZ =='V' then Z contains the Ritz vectors. Z(:,i)
! is an eigenvector of the i-th Ritz value; ||Z(:,i)||_2=1.
! If JOBZ == 'F', then the Z(:,i)'s are given implicitly as
! Z*V, where Z contains orthonormal matrix (the product of
! Q from the initial QR factorization and the SVD/POD_basis
! returned by ZGEDMD in X) and the second factor (the
! eigenvectors of the Rayleigh quotient) is in the array V,
! as returned by ZGEDMD. That is, X(:,1:K)*V(:,i)
! is an eigenvector corresponding to EIGS(i). The columns
! of V(1:K,1:K) are the computed eigenvectors of the
! K-by-K Rayleigh quotient.
! See the descriptions of EIGS, X and V.
!.....
! LDZ (input) INTEGER , LDZ >= M
! The leading dimension of the array Z.
!.....
! RES (output) REAL(KIND=WP) (N-1)-by-1 array
! RES(1:K) contains the residuals for the K computed
! Ritz pairs,
! RES(i) = || A * Z(:,i) - EIGS(i)*Z(:,i))||_2.
! See the description of EIGS and Z.
!.....
! B (output) COMPLEX(KIND=WP) MIN(M,N)-by-(N-1) array.
! IF JOBF =='R', B(1:N,1:K) contains A*U(:,1:K), and can
! be used for computing the refined vectors; see further
! details in the provided references.
! If JOBF == 'E', B(1:N,1;K) contains
! A*U(:,1:K)*W(1:K,1:K), which are the vectors from the
! Exact DMD, up to scaling by the inverse eigenvalues.
! In both cases, the content of B can be lifted to the
! original dimension of the input data by pre-multiplying
! with the Q factor from the initial QR factorization.
! Here A denotes a compression of the underlying operator.
! See the descriptions of F and X.
! If JOBF =='N', then B is not referenced.
!.....
! LDB (input) INTEGER, LDB >= MIN(M,N)
! The leading dimension of the array B.
!.....
! V (workspace/output) COMPLEX(KIND=WP) (N-1)-by-(N-1) array
! On exit, V(1:K,1:K) V contains the K eigenvectors of
! the Rayleigh quotient. The Ritz vectors
! (returned in Z) are the product of Q from the initial QR
! factorization (see the description of F) X (see the
! description of X) and V.
!.....
! LDV (input) INTEGER, LDV >= N-1
! The leading dimension of the array V.
!.....
! S (output) COMPLEX(KIND=WP) (N-1)-by-(N-1) array
! The array S(1:K,1:K) is used for the matrix Rayleigh
! quotient. This content is overwritten during
! the eigenvalue decomposition by ZGEEV.
! See the description of K.
!.....
! LDS (input) INTEGER, LDS >= N-1
! The leading dimension of the array S.
!.....
! ZWORK (workspace/output) COMPLEX(KIND=WP) LWORK-by-1 array
! On exit,
! ZWORK(1:MIN(M,N)) contains the scalar factors of the
! elementary reflectors as returned by ZGEQRF of the
! M-by-N input matrix F.
! If the call to ZGEDMDQ is only workspace query, then
! ZWORK(1) contains the minimal complex workspace length and
! ZWORK(2) is the optimal complex workspace length.
! Hence, the length of work is at least 2.
! See the description of LZWORK.
!.....
! LZWORK (input) INTEGER
! The minimal length of the workspace vector ZWORK.
! LZWORK is calculated as follows:
! Let MLWQR = N (minimal workspace for ZGEQRF[M,N])
! MLWDMD = minimal workspace for ZGEDMD (see the
! description of LWORK in ZGEDMD)
! MLWMQR = N (minimal workspace for
! ZUNMQR['L','N',M,N,N])
! MLWGQR = N (minimal workspace for ZUNGQR[M,N,N])
! MINMN = MIN(M,N)
! Then
! LZWORK = MAX(2, MIN(M,N)+MLWQR, MINMN+MLWDMD)
! is further updated as follows:
! if JOBZ == 'V' or JOBZ == 'F' THEN
! LZWORK = MAX(LZWORK, MINMN+MLWMQR)
! if JOBQ == 'Q' THEN
! LZWORK = MAX(ZLWORK, MINMN+MLWGQR)
!
!.....
! WORK (workspace/output) REAL(KIND=WP) LWORK-by-1 array
! On exit,
! WORK(1:N-1) contains the singular values of
! the input submatrix F(1:M,1:N-1).
! If the call to ZGEDMDQ is only workspace query, then
! WORK(1) contains the minimal workspace length and
! WORK(2) is the optimal workspace length. hence, the
! length of work is at least 2.
! See the description of LWORK.
!.....
! LWORK (input) INTEGER
! The minimal length of the workspace vector WORK.
! LWORK is the same as in ZGEDMD, because in ZGEDMDQ
! only ZGEDMD requires real workspace for snapshots
! of dimensions MIN(M,N)-by-(N-1).
! If on entry LWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace length for WORK.
!.....
! IWORK (workspace/output) INTEGER LIWORK-by-1 array
! Workspace that is required only if WHTSVD equals
! 2 , 3 or 4. (See the description of WHTSVD).
! If on entry LWORK =-1 or LIWORK=-1, then the
! minimal length of IWORK is computed and returned in
! IWORK(1). See the description of LIWORK.
!.....
! LIWORK (input) INTEGER
! The minimal length of the workspace vector IWORK.
! If WHTSVD == 1, then only IWORK(1) is used; LIWORK >=1
! Let M1=MIN(M,N), N1=N-1. Then
! If WHTSVD == 2, then LIWORK >= MAX(1,8*MIN(M1,N1))
! If WHTSVD == 3, then LIWORK >= MAX(1,M1+N1-1)
! If WHTSVD == 4, then LIWORK >= MAX(3,M1+3*N1)
! If on entry LIWORK = -1, then a workspace query is
! assumed and the procedure only computes the minimal
! and the optimal workspace lengths for both WORK and
! IWORK. See the descriptions of WORK and IWORK.
!.....
! INFO (output) INTEGER
! -i < 0 :: On entry, the i-th argument had an
! illegal value
! = 0 :: Successful return.
! = 1 :: Void input. Quick exit (M=0 or N=0).
! = 2 :: The SVD computation of X did not converge.
! Suggestion: Check the input data and/or
! repeat with different WHTSVD.
! = 3 :: The computation of the eigenvalues did not
! converge.
! = 4 :: If data scaling was requested on input and
! the procedure found inconsistency in the data
! such that for some column index i,
! X(:,i) = 0 but Y(:,i) /= 0, then Y(:,i) is set
! to zero if JOBS=='C'. The computation proceeds
! with original or modified data and warning
! flag is set with INFO=4.
!.............................................................
!.............................................................
! Parameters
! ~~~~~~~~~~
REAL(KIND=WP), PARAMETER :: ONE = 1.0_WP
REAL(KIND=WP), PARAMETER :: ZERO = 0.0_WP
! COMPLEX(KIND=WP), PARAMETER :: ZONE = ( 1.0_WP, 0.0_WP )
COMPLEX(KIND=WP), PARAMETER :: ZZERO = ( 0.0_WP, 0.0_WP )
!
! Local scalars
! ~~~~~~~~~~~~~
INTEGER :: IMINWR, INFO1, MINMN, MLRWRK, &
MLWDMD, MLWGQR, MLWMQR, MLWORK, &
MLWQR, OLWDMD, OLWGQR, OLWMQR, &
OLWORK, OLWQR
LOGICAL :: LQUERY, SCCOLX, SCCOLY, WANTQ, &
WNTTRF, WNTRES, WNTVEC, WNTVCF, &
WNTVCQ, WNTREF, WNTEX
CHARACTER(LEN=1) :: JOBVL
!
! External functions (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~
LOGICAL LSAME
EXTERNAL LSAME
!
! External subroutines (BLAS and LAPACK)
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL ZGEQRF, ZLACPY, ZLASET, ZUNGQR, &
ZUNMQR, XERBLA
! External subroutines
! ~~~~~~~~~~~~~~~~~~~~
EXTERNAL ZGEDMD
! Intrinsic functions
! ~~~~~~~~~~~~~~~~~~~
INTRINSIC MAX, MIN, INT
!..........................................................
!
! Test the input arguments
WNTRES = LSAME(JOBR,'R')
SCCOLX = LSAME(JOBS,'S') .OR. LSAME( JOBS, 'C' )
SCCOLY = LSAME(JOBS,'Y')
WNTVEC = LSAME(JOBZ,'V')
WNTVCF = LSAME(JOBZ,'F')
WNTVCQ = LSAME(JOBZ,'Q')
WNTREF = LSAME(JOBF,'R')
WNTEX = LSAME(JOBF,'E')
WANTQ = LSAME(JOBQ,'Q')
WNTTRF = LSAME(JOBT,'R')
MINMN = MIN(M,N)
INFO = 0
LQUERY = ( (LZWORK == -1) .OR. (LWORK == -1) .OR. (LIWORK == -1) )
!
IF ( .NOT. (SCCOLX .OR. SCCOLY .OR. &
LSAME(JOBS,'N')) ) THEN
INFO = -1
ELSE IF ( .NOT. (WNTVEC .OR. WNTVCF .OR. WNTVCQ &
.OR. LSAME(JOBZ,'N')) ) THEN
INFO = -2
ELSE IF ( .NOT. (WNTRES .OR. LSAME(JOBR,'N')) .OR. &
( WNTRES .AND. LSAME(JOBZ,'N') ) ) THEN
INFO = -3
ELSE IF ( .NOT. (WANTQ .OR. LSAME(JOBQ,'N')) ) THEN
INFO = -4
ELSE IF ( .NOT. ( WNTTRF .OR. LSAME(JOBT,'N') ) ) THEN
INFO = -5
ELSE IF ( .NOT. (WNTREF .OR. WNTEX .OR. &
LSAME(JOBF,'N') ) ) THEN
INFO = -6
ELSE IF ( .NOT. ((WHTSVD == 1).OR.(WHTSVD == 2).OR. &
(WHTSVD == 3).OR.(WHTSVD == 4)) ) THEN
INFO = -7
ELSE IF ( M < 0 ) THEN
INFO = -8
ELSE IF ( ( N < 0 ) .OR. ( N > M+1 ) ) THEN
INFO = -9
ELSE IF ( LDF < M ) THEN
INFO = -11
ELSE IF ( LDX < MINMN ) THEN
INFO = -13
ELSE IF ( LDY < MINMN ) THEN
INFO = -15
ELSE IF ( .NOT. (( NRNK == -2).OR.(NRNK == -1).OR. &
((NRNK >= 1).AND.(NRNK <=N ))) ) THEN
INFO = -16
ELSE IF ( ( TOL < ZERO ) .OR. ( TOL >= ONE ) ) THEN
INFO = -17
ELSE IF ( LDZ < M ) THEN
INFO = -21
ELSE IF ( (WNTREF.OR.WNTEX ).AND.( LDB < MINMN ) ) THEN
INFO = -24
ELSE IF ( LDV < N-1 ) THEN
INFO = -26
ELSE IF ( LDS < N-1 ) THEN
INFO = -28
END IF
!
IF ( WNTVEC .OR. WNTVCF .OR. WNTVCQ ) THEN
JOBVL = 'V'
ELSE
JOBVL = 'N'
END IF
IF ( INFO == 0 ) THEN
! Compute the minimal and the optimal workspace
! requirements. Simulate running the code and
! determine minimal and optimal sizes of the
! workspace at any moment of the run.
IF ( ( N == 0 ) .OR. ( N == 1 ) ) THEN
! All output except K is void. INFO=1 signals
! the void input. In case of a workspace query,
! the minimal workspace lengths are returned.
IF ( LQUERY ) THEN
IWORK(1) = 1
ZWORK(1) = 2
ZWORK(2) = 2
WORK(1) = 2
WORK(2) = 2
ELSE
K = 0
END IF
INFO = 1
RETURN
END IF
MLRWRK = 2
MLWORK = 2
OLWORK = 2
IMINWR = 1
MLWQR = MAX(1,N) ! Minimal workspace length for ZGEQRF.
MLWORK = MAX(MLWORK,MINMN + MLWQR)
IF ( LQUERY ) THEN
CALL ZGEQRF( M, N, F, LDF, ZWORK, ZWORK, -1, &
INFO1 )
OLWQR = INT(ZWORK(1))
OLWORK = MAX(OLWORK,MINMN + OLWQR)
END IF
CALL ZGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN,&
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
EIGS, Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, ZWORK, -1, WORK, -1, IWORK,&
-1, INFO1 )
MLWDMD = INT(ZWORK(1))
MLWORK = MAX(MLWORK, MINMN + MLWDMD)
MLRWRK = MAX(MLRWRK, INT(WORK(1)))
IMINWR = MAX(IMINWR, IWORK(1))
IF ( LQUERY ) THEN
OLWDMD = INT(ZWORK(2))
OLWORK = MAX(OLWORK, MINMN+OLWDMD)
END IF
IF ( WNTVEC .OR. WNTVCF ) THEN
MLWMQR = MAX(1,N)
MLWORK = MAX(MLWORK,MINMN+MLWMQR)
IF ( LQUERY ) THEN
CALL ZUNMQR( 'L','N', M, N, MINMN, F, LDF, &
ZWORK, Z, LDZ, ZWORK, -1, INFO1 )
OLWMQR = INT(ZWORK(1))
OLWORK = MAX(OLWORK,MINMN+OLWMQR)
END IF
END IF
IF ( WANTQ ) THEN
MLWGQR = MAX(1,N)
MLWORK = MAX(MLWORK,MINMN+MLWGQR)
IF ( LQUERY ) THEN
CALL ZUNGQR( M, MINMN, MINMN, F, LDF, ZWORK, &
ZWORK, -1, INFO1 )
OLWGQR = INT(ZWORK(1))
OLWORK = MAX(OLWORK,MINMN+OLWGQR)
END IF
END IF
IF ( LIWORK < IMINWR .AND. (.NOT.LQUERY) ) INFO = -34
IF ( LWORK < MLRWRK .AND. (.NOT.LQUERY) ) INFO = -32
IF ( LZWORK < MLWORK .AND. (.NOT.LQUERY) ) INFO = -30
END IF
IF( INFO /= 0 ) THEN
CALL XERBLA( 'ZGEDMDQ', -INFO )
RETURN
ELSE IF ( LQUERY ) THEN
! Return minimal and optimal workspace sizes
IWORK(1) = IMINWR
ZWORK(1) = MLWORK
ZWORK(2) = OLWORK
WORK(1) = MLRWRK
WORK(2) = MLRWRK
RETURN
END IF
!.....
! Initial QR factorization that is used to represent the
! snapshots as elements of lower dimensional subspace.
! For large scale computation with M >> N, at this place
! one can use an out of core QRF.
!
CALL ZGEQRF( M, N, F, LDF, ZWORK, &
ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
!
! Define X and Y as the snapshots representations in the
! orthogonal basis computed in the QR factorization.
! X corresponds to the leading N-1 and Y to the trailing
! N-1 snapshots.
CALL ZLASET( 'L', MINMN, N-1, ZZERO, ZZERO, X, LDX )
CALL ZLACPY( 'U', MINMN, N-1, F, LDF, X, LDX )
CALL ZLACPY( 'A', MINMN, N-1, F(1,2), LDF, Y, LDY )
IF ( M >= 3 ) THEN
CALL ZLASET( 'L', MINMN-2, N-2, ZZERO, ZZERO, &
Y(3,1), LDY )
END IF
!
! Compute the DMD of the projected snapshot pairs (X,Y)
CALL ZGEDMD( JOBS, JOBVL, JOBR, JOBF, WHTSVD, MINMN, &
N-1, X, LDX, Y, LDY, NRNK, TOL, K, &
EIGS, Z, LDZ, RES, B, LDB, V, LDV, &
S, LDS, ZWORK(MINMN+1), LZWORK-MINMN, &
WORK, LWORK, IWORK, LIWORK, INFO1 )
IF ( INFO1 == 2 .OR. INFO1 == 3 ) THEN
! Return with error code. See ZGEDMD for details.
INFO = INFO1
RETURN
ELSE
INFO = INFO1
END IF
!
! The Ritz vectors (Koopman modes) can be explicitly
! formed or returned in factored form.
IF ( WNTVEC ) THEN
! Compute the eigenvectors explicitly.
IF ( M > MINMN ) CALL ZLASET( 'A', M-MINMN, K, ZZERO, &
ZZERO, Z(MINMN+1,1), LDZ )
CALL ZUNMQR( 'L','N', M, K, MINMN, F, LDF, ZWORK, Z, &
LDZ, ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
ELSE IF ( WNTVCF ) THEN
! Return the Ritz vectors (eigenvectors) in factored
! form Z*V, where Z contains orthonormal matrix (the
! product of Q from the initial QR factorization and
! the SVD/POD_basis returned by ZGEDMD in X) and the
! second factor (the eigenvectors of the Rayleigh
! quotient) is in the array V, as returned by ZGEDMD.
CALL ZLACPY( 'A', N, K, X, LDX, Z, LDZ )
IF ( M > N ) CALL ZLASET( 'A', M-N, K, ZZERO, ZZERO, &
Z(N+1,1), LDZ )
CALL ZUNMQR( 'L','N', M, K, MINMN, F, LDF, ZWORK, Z, &
LDZ, ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
END IF
!
! Some optional output variables:
!
! The upper triangular factor R in the initial QR
! factorization is optionally returned in the array Y.
! This is useful if this call to ZGEDMDQ is to be
! followed by a streaming DMD that is implemented in a
! QR compressed form.
IF ( WNTTRF ) THEN ! Return the upper triangular R in Y
CALL ZLASET( 'A', MINMN, N, ZZERO, ZZERO, Y, LDY )
CALL ZLACPY( 'U', MINMN, N, F, LDF, Y, LDY )
END IF
!
! The orthonormal/unitary factor Q in the initial QR
! factorization is optionally returned in the array F.
! Same as with the triangular factor above, this is
! useful in a streaming DMD.
IF ( WANTQ ) THEN ! Q overwrites F
CALL ZUNGQR( M, MINMN, MINMN, F, LDF, ZWORK, &
ZWORK(MINMN+1), LZWORK-MINMN, INFO1 )
END IF
!
RETURN
!
END SUBROUTINE ZGEDMDQ

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