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krylov.m corrected file

From: A Scott Hodel
Subject: krylov.m corrected file
Date: Thu, 19 Nov 1998 15:25:55 -0600

The file below is a corrected version of the Octave m-file krylov, 
contained in the scripts/linear-algebra subdirectory of the Octave source
distribution.  The file corrects the following bug:

For pairs (A,v) in which rows of [A v] are zero, the use of Householder 
reflections can corrupt rows of the orthogonal matrix U that should be 
zero with nonzero entries.  For problems of sufficiently large dimension 
this results in falsely expanded dimensions of the Krylov subspace (which 
is used to compute controllability, observability subspaces).  This 
effect has been observed with sparse systems of dimension 73.

The repaired subroutine adds an optional 5th input parameter that can be 
used when only the orthogonal basis is desired (as in the case of the 
controllability, observability computations).  When this parameter is 
nonzero, the zero rows of [A b] are permuted to the "bottom" so that 
they are not used for Householder reflection pivots.  The resulting 
matrix U is then permuted back into the correct order for return to the 
calling routine.  In this case the returned parameter H is not correct 
(does not satisfy A*U = U*H).

# Copyright (C) 1996,1998 A. Scottedward Hodel 
# This file is part of Octave. 
# Octave is free software; you can redistribute it and/or modify it 
# under the terms of the GNU General Public License as published by the 
# Free Software Foundation; either version 2, or (at your option) any 
# later version. 
# Octave is distributed in the hope that it will be useful, but WITHOUT 
# ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or 
# FITNESS FOR A PARTICULAR PURPOSE.  See the GNU General Public License 
# for more details.
# You should have received a copy of the GNU General Public License 
# along with Octave; see the file COPYING.  If not, write to the Free 
# Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA. 
function [U,H,k1] = krylov(A,v,k,eps1,pflg);
  # function [U,H,k1] = krylov(A,v,k{,eps1});
  # construct orthogonal basis U of Krylov subspace;
  #     span([v Av A^2*v ... A^(k+1)*v]);
  # via householder reflections; reflections are multiplied to obtain U
  # inputs:
  #   A: square matrix
  #   v: column vector
  #   k: desired krylov subspace dimension (as above)
  #   eps1: threshhold for 0 relative to norm of current column (default: 1e-12)
  #   pflg: permutation flag (default 0): avoid using zero rows of
  #      [A,v] as householder pivots; this avoids spurious non-zero entries
  #      in returned orthogonal matrix U, but destroys the Householder matrix
  #      structure of H.
  # outputs:
  #   U: (n x k+1) orthogonal basis of Krylov subspace. A*U(:,1:k) = U*H
  #   H: (pflg=0): Hessenberg matrix satisfying A*U(:,1:k) = U*H
  #      (pflg=1): Workspace; does not satisfy above equation.
  # k1: dimension of span of krylov subspace (based on eps1)
  # if k > m-1, krylov returns the Hessenberg decompostion of A.

  # Written by A. S. Hodel 1992
  # $Revision: 1.2 $
  # $Log$

  if    (nargin > 5)   usage("[U,H,k1] = krylov(A,v,k{,eps1,pflg})");
  elseif(nargin < 5)   pflg = 0;
  elseif(nargin < 4)   eps1 = 1e-12; endif
  na = is_square(A);
  if(!na) error("krylov: A(%dx%d) must be square",na,na); endif
  [m,n] = size(v);
  if(!is_vector(v)) error("krylov: v(%dx%d) must be a vector",m,n);
  elseif(length(v) != na)
    error("krylov: A(%dx%d), v(%dx1); mismatch",na,na,length(v));
  v = vec(v);    # make sure it's a column vector
    error("krylov: k(%dx%d) must be a scalar",rows(k), columns(k));
  elseif( k > m)
    warning("krylov: k is too large; reducing to %d",m-1);
    k = m-1;

  # check for zero input vector
  if(norm(v) == 0) U = []; H = []; k1 = 0; return endif

  # indices of legal pivot points (identifies trivial null space).
  abm = max(abs([A,v]')); nzidx = find(abm != 0); zidx = find(abm == 0);

  # check permutation flag
    # permute zero rows of [A,v] to trailing rows
    permvec = [vec(nzidx); vec(zidx)];
    pmat = eye(na); pmat = pmat(permvec,:);
    ipermvec = pmat'*vec(1:na);
    A = A(permvec,permvec);
    v = v(permvec);

  k1 = k+1;             # Assume subspace basis has full rank
  [m,n] = size(A);
  [hv,alpha(1),z] = housh(v,1,0);

  # initial orthogonal vector
  q = zeros(n,1);
  q(1) = 1;
  q = q - alpha*hv*hv'*q;
  normq = norm(q);
  normres = normq;

  U(:,1) = hv;
  j = 1;
  while(j <= k & normres > eps1*normq)
    # multiply to get new vector;
    q = A*q;
    normq = norm(q);

    # multiply by householder reflections to obtain projected vector and the
    # next column of H
    for i=1:j
     hv = U(i:n,i);
     av = alpha(i);
     q(i:n,1) = q(i:n,1)-av*hv*(hv'*q(i:n,1));

    i = j+1;
    # compute and apply next householder vector;
    if(i <= n)
      [hv,av,z] = housh(q(i:n,1),1,0);
      alpha(i) = av;
      q(i:n,1) = q(i:n,1)-av*hv*(hv'*q(i:n,1));
      U(i:n,i) = hv;
      H(1:i,j) = q(1:i);
      av = 0;
      H(:,j) = q;       # complete Hessenberg decomposition

    # see if done yet
    normres = norm(q(i:n));
    if(normres > eps1*normq)
      j = j+1;
      k1 = min(k1,j);   # time to quit; norm of residual is small
    # back out new q vector for next pass;
    j1 = columns(U);
    q = zeros(n,1);
    q(j1) = 1;
    for i=j1:-1:1;
      hv = U(i:n,i);
      av = alpha(i);
      q(i:n,1) = q(i:n,1)-av*hv*(hv'*q(i:n,1));

  # back out U matrix ;
  j1 = columns(U);
  for i=j1:-1:1;
   hv = U(i:n,i);
   av = alpha(i);
   U(:,i) = zeros(n,1);
   U(i,i) = 1;
   U(i:n,i:j1) = U(i:n,i:j1)-av*hv*(hv'*U(i:n,i:j1));

  # check permutation flag
    # permute rows of U back to original coordinates
    U = U(ipermvec,:);

  # check for spurious nonzero entries
  if( max(max( abs(U(zidx,:)) )) > eps1 )
    warning("krylov: trivial null space corrupted; set pflg=1 or eps1>%e",eps1);


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