topic solve linear NxM system mkl ifort in Intel® oneAPI Math Kernel Library

solve linear NxM system mkl ifort

diedro — Tue, 14 Feb 2012 20:54:58 GMT

hi everyone,

I would like to solve a general nxm system in fortran ifort intel using mkl libraries or lapack.

Is this possible?

what subroutine should I use?

The system is not quadratic (nxn) but a general system.

thank you very much

solve linear NxM system mkl ifort

mecej4 — Wed, 15 Feb 2012 00:25:40 GMT

First of all, you need to specify what you mean by "solve" when you have an overdetermined (more equations than unknowns) or underdetermined (too few equations to determine the unknowns) problem.

In the former case, usually the norm of the residual is to be minimized; see the section Linear Least Squares (LLS) Problems in the MKL Reference Manual.

In the latter case, if the variables have been suitably scaled, you may look for the solution of minimal norm, or you may look for the analytic center.

solve linear NxM system mkl ifort

diedro — Wed, 15 Feb 2012 09:49:41 GMT

hi,

I am trying to apply a "moving last square" to get the gradient and second derivaive af a known distribution of value.

This means that my sytem isoverdetermined. I would like simple inverte the matrix to solve the problem. I red on MKL manual that this is more stable and precise.

What do you suggest? Are there any subs that do this?

tahnk you

solve linear NxM system mkl ifort

mecej4 — Wed, 15 Feb 2012 12:44:28 GMT

> This means that my sytem isoverdetermined.

May be so, depending on how you define "moving least square".

> I would like simple inverte the matrix to solve the problem.

If the system is overdetermined, the matrix is not square and therefore has no inverse in the usual sense.

> I red on MKL manual that this is more stable and precise

Overdetermined equations are usually solved in the least-square-residual sense using the A = Q R decomposition, where Q is orthogonal and R is upper-triangular. MKL provides routines (?gels?) to do this.

solve linear NxM system mkl ifort

diedro — Wed, 15 Feb 2012 14:15:26 GMT

hi,

now it works

this is the porblem

[bash]PROGRAM solve_mn[/bash][bash]USE LAPACK95 IMPLICIT NONE ! ! | .000000000 2.000000000 | ! | 2.000000000 -1.000000000 | ! A = | 2.000000000 -1.000000000 | ! | .000000000 1.500000000 | ! | 2.000000000 -1.000000000 | ! | 2.000000000 -1.000000000 | ! ! ! B = | 1.000000000 | ! | 1.000000000 | ! | . | ! | . | ! | . | ! | . | ! INTEGER M INTEGER N INTEGER NB INTEGER info CHARACTER*1 trans !type solver REAL, ALLOCATABLE ,DIMENSION(:,:) ::AA !SYSTEM REAL, ALLOCATABLE ,DIMENSION(:) ::XX !UNKNOWN REAL, ALLOCATABLE ,DIMENSION(:) ::BB !KNOWN M = 6 !ROWS N = 2 !COLUMNS ALLOCATE (AA (M,N )) ALLOCATE (BB (M)) AA(:,:) = 0.d0 BB(:) = 0.d0 XX(:) = 0.d0 !---------------------------------------------------------------------------------- AA(1,1) = 0.d0 AA(1,2) = 2.d0 AA(2,1) = 2.d0 AA(2,2) = -1.d0 AA(3,1) = 2.d0 AA(3,2) = -1.d0 AA(4,1) = 0.d0 AA(4,2) = -1.5d0 AA(5,1) = 2.d0 AA(5,2) = -1.d0 AA(6,1) = 2.d0 AA(6,2) = -1.d0 BB(1) = 1.d0 BB(2) = 1.d0 BB(3) = 0.d0 BB(4) = 0.d0 BB(5) = 0.d0 BB(6) = 0.d0 !---------------------------------------------------------------------------------- CALL GELS(AA,BB,'N',info) ENDPROGRAM[/bash]

THANKS