I have to compute SVD on a non-square matrix. I am using LAPACK's dgesvd_ routine for that. I have no problems with a square matrix, for which I receive expected values, compared with MATLAB. But I cannot produce expected results for a 4x5 matrix. I know the solution should match that of MATLAB since the singular values returned are sorted in descending order. I can see though that some of singular values can be found in original A input array to SVD. That indicates I must call dgesvd_ wrong or I refer incorrectly to the results, this might have to do with leading array dimensions.
In each case I first issue a call with LWORK = -1, querying LAPACK for optimal values, which are next input to the following call to compute SVD. I am not sure about all the meaning of the returned values and if they are valid, if they should be changed, etc. I assume they are OK, so I use them in a following call to compute SVD.
So this code works as expected (3x3 matrix):
41 /* Reference data. */
42 double ref_array_A[3][3] = {
43 { 1, 2, 3},
44 { 2, 4, 5 },
45 { 3, 5, 6 }
46 };
47
48 double ref_array_U[3][3] = {
49 { -0.327985, -0.736976, -0.591009 },
50 { -0.591009, -0.327985, 0.736976 },
51 { -0.736976, 0.591009, -0.327985 }
52 };
53
54 double ref_array_Sigma[3][1] = {
55 { 11.344814 },
56 { 0.515729 },
57 { 0.170915 }
58 };
59
60 double ref_array_VT[3][3] = {
61 { -0.327985, -0.591009, -0.736976 },
62 { 0.736976, 0.327985, -0.591009 },
63 { -0.591009, 0.736976, -0.327985 }
64 };
66 /* MATLAB result
67 *
68 * >> A = [ 1, 2, 3; 2, 4, 5; 3, 5, 6]
69 *
70 * A =
71 * 1 2 3
72 * 2 4 5
73 * 3 5 6
74 *
75 * >> [U, S, V] = svd(A)
76 *
77 * U =
78 * -0.3280 -0.7370 -0.5910
79 * -0.5910 -0.3280 0.7370
80 * -0.7370 0.5910 -0.3280
81 *
82 * S =
83 * 11.3448 0 0
84 * 0 0.5157 0
85 * 0 0 0.1709
86 *
87 * V =
88 * -0.3280 0.7370 -0.5910
89 * -0.5910 0.3280 0.7370
90 * -0.7370 -0.5910 -0.3280
91 */
double WORK_QUERY = 0;
206
207
208 /* Call dgesvd_ with lwork = -1 to query optimal workspace size. */
209
210 JOBU = 'A';
211 JOBVT = 'A';
212 M = 3;
213 N = 3;
214 LDA = 3; /* (out) */
215 LDU = 3; /* (out) */
216 S = NULL; /* (don't care) */
217 U = NULL; /* (don't care) */
218 VT = NULL; /* (don't care) */
219 LDVT = 3; /* (out) */
220 WORK = NULL; /* (out) , because LWORK is 0 do not care */
221 LWORK = 4 * M * N * M *N + 6 * M * N + dd_max(M, N);
222
223 A = calloc(M * N, sizeof(double));
224 if (!A) {
225 goto ddt2_fail_sys;
226 }
227 for (i = 0; i < M; ++i) {
228 for (j = 0; j < N; ++j) {
229 A[i * N + j] = ref_array_A[i][j];
230 }
231 }
232
233 S = calloc(dd_min(M, N), sizeof(double));
234 if (!S) {
235 goto ddt2_fail_sys;
236 }
237
238 U = calloc(LDU * M, sizeof(double));
239 if (!U) {
240 goto ddt2_fail_sys;
241 }
242
243 VT = calloc(LDVT * N, sizeof(double));
244 if (!A) {
245 goto ddt2_fail_sys;
246 }
247
248 fprintf(stderr, "Reference array A:\n");
249 dd_walk_dbl_arr_rowwise(A, M, N, cb_dbl, cb_dbl_row_end);
250
251 fprintf(stderr, "Reference array U:\n");
252 dd_walk_dbl_arr_rowwise(&ref_array_U[0][0], M, M, cb_dbl, cb_dbl_row_end);
253
254 fprintf(stderr, "Reference array Sigma:\n");
255 dd_walk_dbl_arr_rowwise(&ref_array_Sigma[0][0], dd_min(M, N), 1, cb_dbl, cb_dbl_row_end);
256
257 fprintf(stderr, "Reference array VT:\n");
258 dd_walk_dbl_arr_rowwise(&ref_array_VT[0][0], N, N, cb_dbl, cb_dbl_row_end);
LWORK = -1;
261 dgesvd_("A", "A", &M, &N, A, &LDA, S, U, &LDU, VT, &LDVT, &WORK_QUERY, &LWORK, &INFO);
262 if (INFO != 0) {
263 if (INFO < 0) {
264 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"the %d-th argument had illegal value\"\n", INFO);
265 } else {
266 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"DBDSDC didn't converge, updating process failed\"\n");
267 }
268 return -1;
269 }
270
271 LWORK = (int) WORK_QUERY;
272 WORK = calloc(LWORK, sizeof(double));
273 if (!WORK) {
274 goto ddt2_fail_sys;
275 }
276
277 fprintf(stderr, "LAPACK's dgesvd_ query optimal results: LDA %d, LDU %d, LDVT %d, LWORK %d, WORK_QUERY %f\n", LDA, LDU, LDVT, LWORK, WORK_QUERY);
278 fprintf(stderr, "Rest of params: M %d, N %d\n", M, N);
279
280 /* Compute SVD. */
281 dgesvd_(&JOBU, &JOBVT, &M, &N, A, &LDA, S, U, &LDU, VT, &LDVT, WORK, &LWORK, &INFO);
282 if (INFO != 0) {
283 if (INFO < 0) {
284 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"the %d-th argument had illegal value\"\n", INFO);
285 } else {
286 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"DBDSDC didn't converge, updating process failed\"\n");
287 }
288 return -1;
289 }
290
291 fprintf(stderr, "LAPACK's dgesvd_ SVD completed\n");
292
293 fprintf(stderr, "Result A:\n");
294 dd_walk_dbl_arr_rowwise(A, M, N, cb_dbl, cb_dbl_row_end);
295
296 fprintf(stderr, "Result U**T:\n");
297 dd_walk_dbl_arr_rowwise(U, LDU, M, cb_dbl, cb_dbl_row_end);
298 fprintf(stderr, "Result U:\n");
299 dd_walk_dbl_arr_colwise(U, LDU, M, cb_dbl, cb_dbl_row_end);
300
301
302 fprintf(stderr, "Result S:\n");
303 dd_walk_dbl_arr_rowwise(S, dd_min(M, N), 1, cb_dbl, cb_dbl_row_end);
304
305 fprintf(stderr, "Result VT:\n");
306 dd_walk_dbl_arr_rowwise(VT, LDVT, N, cb_dbl, cb_dbl_row_end);
307
308 free(WORK);
309 free(A);
310 free(S);
311 free(U);
312 free(VT);
313
314 return 0;
Proper result:
peter@xx:~$ ./test4
Reference array A:
1.000000 2.000000 3.000000
2.000000 4.000000 5.000000
3.000000 5.000000 6.000000
Reference array U:
-0.327985 -0.736976 -0.591009
-0.591009 -0.327985 0.736976
-0.736976 0.591009 -0.327985
Reference array Sigma:
11.344814
0.515729
0.170915
Reference array VT:
-0.327985 -0.591009 -0.736976
0.736976 0.327985 -0.591009
-0.591009 0.736976 -0.327985
LAPACK's dgesvd_ query optimal results: LDA 3, LDU 3, LDVT 3, LWORK 201, WORK_QUERY 201.000000
Rest of params: M 3, N 3
LAPACK's dgesvd_ SVD completed
Result A:
-3.741657 0.421793 0.632690
10.643576 1.261481 -0.720622
0.478213 -0.279401 -0.211863
Result U**T:
-0.327985 -0.591009 -0.736976
-0.736976 -0.327985 0.591009
-0.591009 0.736976 -0.327985
Result U:
-0.327985 -0.736976 -0.591009
-0.591009 -0.327985 0.736976
-0.736976 0.591009 -0.327985
Result S:
11.344814
0.515729
0.170915
Result VT:
-0.327985 0.736976 -0.591009
-0.591009 0.327985 0.736976
-0.736976 -0.591009 -0.327985
But not this (4x5 matrix):
39 /* Reference data. */
40 double ref_array_A[4][5] = {
41 { 1, 0, 0, 0, 2 },
42 { 0, 0, 3, 0, 0 },
43 { 0, 0, 0, 0, 0 },
44 { 0, 2, 0, 0, 0 }
45 };
46
47 double ref_array_U[4][4] = {
48 { 0, 0, 1, 0 },
49 { 0, 1, 0, 0 },
50 { 0, 0, 0, -1 },
51 { 1, 0, 0, 0 }
52 };
53
54 double ref_array_Sigma[4][5] = {
55 { 2, 0, 0, 0, 0 },
56 { 0, 3, 0, 0, 0 },
57 { 0, 0, 2.236068, 0, 0 },
58 { 0, 0, 0, 0, 0 }
59 };
60
61 double ref_array_VT[5][5] = {
62 { 0, 1, 0, 0, 0 },
63 { 0, 0, 1, 0, 0 },
64 { 0.447214, 0, 0, 0, 0.894427 },
65 { 0, 0, 0, 1, 0 },
66 { -0.894427, 0, 0, 0, -0.447214 }
67 };
68
69 /* MATLAB result
70 *
71 * >> A = [ 1 0 0 0 2; 0 0 3 0 0 ; 0 0 0 0 0 ;0 2 0 0 0 ];
72 * >> [U, S, V] = svd(A)
73 *
74 * U =
75 * 0 1 0 0
76 * 1 0 0 0
77 * 0 0 0 -1
78 * 0 0 1 0
79 *
80 * S =
81 * 3.0000 0 0 0 0
82 * 0 2.2361 0 0 0
83 * 0 0 2.0000 0 0
84 * 0 0 0 0 0
85 *
86 * V =
87 * 0 0.4472 0 0 -0.8944
88 * 0 0 1.0000 0 0
89 * 1.0000 0 0 0 0
90 * 0 0 0 1.0000 0
91 * 0 0.8944 0 0 0.4472
92 */
double WORK_QUERY = 0;
206
207
208 /* Call dgesvd_ with lwork = -1 to query optimal workspace size. */
209
210 JOBU = 'A';
211 JOBVT = 'A';
212 M = 4;
213 N = 5;
214 LDA = 4; /* (out) */
215 LDU = 4; /* (out) */
216 S = NULL; /* (don't care) */
217 U = NULL; /* (don't care) */
218 VT = NULL; /* (don't care) */
219 LDVT = 5; /* (out) */
220 WORK = NULL; /* (out) , because LWORK is 0 do not care */
221 LWORK = 4 * M * N * M *N + 6 * M * N + dd_max(M, N);
222
223 A = calloc(M * N, sizeof(double));
224 if (!A) {
225 goto ddt2_fail_sys;
226 }
227 for (i = 0; i < M; ++i) {
228 for (j = 0; j < N; ++j) {
229 A[i * N + j] = ref_array_A[i][j];
230 }
231 }
232
233 S = calloc(M * N, sizeof(double));
234 if (!S) {
235 goto ddt2_fail_sys;
236 }
237
238 U = calloc(LDU * M, sizeof(double));
239 if (!U) {
240 goto ddt2_fail_sys;
241 }
242
243 VT = calloc(LDVT * N, sizeof(double));
244 if (!A) {
245 goto ddt2_fail_sys;
246 }
247
248 fprintf(stderr, "Reference array A:\n");
249 dd_walk_dbl_arr_rowwise(A, M, N, cb_dbl, cb_dbl_row_end);
250
251 fprintf(stderr, "Reference array U:\n");
252 dd_walk_dbl_arr_rowwise(&ref_array_U[0][0], M, M, cb_dbl, cb_dbl_row_end);
253
254 fprintf(stderr, "Reference array Sigma:\n");
255 dd_walk_dbl_arr_rowwise(&ref_array_Sigma[0][0], M, N, cb_dbl, cb_dbl_row_end);
256
257 fprintf(stderr, "Reference array VT:\n");
258 dd_walk_dbl_arr_rowwise(&ref_array_VT[0][0], N, N, cb_dbl, cb_dbl_row_end);
259
260 LWORK = -1;
261 dgesvd_("A", "A", &M, &N, A, &LDA, S, U, &LDU, VT, &LDVT, &WORK_QUERY, &LWORK, &INFO);
if (INFO != 0) {
263 if (INFO < 0) {
264 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"the %d-th argument had illegal value\"\n", INFO);
265 } else {
266 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"DBDSDC didn't converge, updating process failed\"\n");
267 }
268 return -1;
269 }
270
271 LWORK = (int) WORK_QUERY;
272 WORK = calloc(LWORK, sizeof(double));
273 if (!WORK) {
274 goto ddt2_fail_sys;
275 }
276
277 fprintf(stderr, "LAPACK's dgesvd_ query optimal results: LDA %d, LDU %d, LDVT %d, LWORK %d, WORK_QUERY %f\n", LDA, LDU, LDVT, LWORK, WORK_QUERY);
278 fprintf(stderr, "Rest of params: M %d, N %d\n", M, N);
279
280 /* Compute SVD. */
281 dgesvd_(&JOBU, &JOBVT, &M, &N, A, &LDA, S, U, &LDU, VT, &LDVT, WORK, &LWORK, &INFO);
282 if (INFO != 0) {
283 if (INFO < 0) {
284 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"the %d-th argument had illegal value\"\n", INFO);
285 } else {
286 fprintf(stderr, "Error on LAPACK's dgesvd_ query: \"DBDSDC didn't converge, updating process failed\"\n");
287 }
288 return -1;
289 }
290
291 fprintf(stderr, "LAPACK's dgesvd_ SVD completed\n");
292
293 fprintf(stderr, "Result A:\n");
294 dd_walk_dbl_arr_rowwise(A, M, N, cb_dbl, cb_dbl_row_end);
295
296 fprintf(stderr, "Result U:\n");
297 dd_walk_dbl_arr_rowwise(U, LDU, M, cb_dbl, cb_dbl_row_end);
298
299 fprintf(stderr, "Result S:\n");
300 dd_walk_dbl_arr_rowwise(S, M, N, cb_dbl, cb_dbl_row_end);
301
302 fprintf(stderr, "Result VT:\n");
303 dd_walk_dbl_arr_rowwise(VT, LDVT, N, cb_dbl, cb_dbl_row_end);
304
305 free(WORK);
306 free(A);
307 free(S);
308 free(U);
309 free(VT);
310
311 return 0;
Bad result:
peter@xx:~/$ ./test2
Reference array A:
1.000000 0.000000 0.000000 0.000000 2.000000
0.000000 0.000000 3.000000 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000 0.000000
0.000000 2.000000 0.000000 0.000000 0.000000
Reference array U:
0.000000 0.000000 1.000000 0.000000
0.000000 1.000000 0.000000 0.000000
0.000000 0.000000 0.000000 -1.000000
1.000000 0.000000 0.000000 0.000000
Reference array Sigma:
2.000000 0.000000 0.000000 0.000000 0.000000
0.000000 3.000000 0.000000 0.000000 0.000000
0.000000 0.000000 2.236068 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000 0.000000
Reference array VT:
0.000000 1.000000 0.000000 0.000000 0.000000
0.000000 0.000000 1.000000 0.000000 0.000000
0.447214 0.000000 0.000000 0.000000 0.894427
0.000000 0.000000 0.000000 1.000000 0.000000
-0.894427 0.000000 0.000000 0.000000 -0.447214
LAPACK's dgesvd_ query optimal results: LDA 4, LDU 4, LDVT 5, LWORK 300, WORK_QUERY 300.000000
Rest of params: M 4, N 5
LAPACK's dgesvd_ SVD completed
Result A:
-3.000000 -2.000000 0.000000 -1.000000 0.500000
-2.236068 0.000000 0.000000 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000 0.000000
0.000000 0.500000 -0.236068 0.000000 0.000000
Result U:
0.707107 0.000000 0.000000 0.707107
-0.707107 0.000000 -0.000000 0.707107
0.000000 0.000000 1.000000 0.000000
0.000000 1.000000 0.000000 0.000000
Result S:
3.872983 1.732051 0.000000 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000 0.000000
Result VT:
0.182574 -0.408248 0.000000 0.000000 -0.894427
0.912871 0.408248 0.000000 0.000000 0.000000
-0.000000 -0.000000 1.000000 0.000000 0.000000
-0.000000 -0.000000 0.000000 1.000000 0.000000
0.365148 -0.816497 0.000000 0.000000 0.447214
What do I do wrong in general matrix case?
The function dgesvd_ expects the matrices in column-major order, while your code supplies the data in row-major style:
227 for (i = 0; i < M; ++i) {
228 for (j = 0; j < N; ++j) {
229 A[i * N + j] = ref_array_A[i][j];
230 }
231 }
Effectively, your code is thus calculating SVD of
[ 1 2 0 0 2 ] [ 1 0 0 0 ] ^ T
[ 0 0 0 0 0 ] = [ 2 0 0 3 ]
[ 0 0 0 0 0 ] [ 0 0 0 0 ]
[ 0 3 0 0 0 ] [ 2 0 0 0 ]
which indeed yields approximately 3.87, 1.73.
This error does not occur in the first example since the matrix is square (M=N) and symmetric.
Also, the parameter S is supposed to be just one-dimensional array (as in your first example). Since you print it then in row-major format with dd_walk_dbl_arr_rowwise(S, M, N, cb_dbl, cb_dbl_row_end);, these values appear consecutively in the first row...