A LOOK-AHEAD LEVINSON ALGORITHM FOR INDEFINITE TOEPLITZ-SYSTEMS

被引：28

作者：

CHAN, TF ^{[1
]}

HANSEN, PC ^{[1
]}

机构：

[1] TECH UNIV DENMARK,DANISH COMP CTR RES & EDUC,DK-2800 LYNGBY,DENMARK

来源：

SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS | 1992年 / 13卷 / 02期

关键词：

SYMMETRICAL INDEFINITE TOEPLITZ MATRICES; LEVINSON ALGORITHM; DURBIN ALGORITHM; NUMERICAL STABILITY; CONDITION ESTIMATION;

D O I：

10.1137/0613032

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An extension of Levinson's algorithm for solving linear systems with symmetric indefinite Toeplitz matrices is presented. This new algorithm is able to "look ahead" and, if necessary, use block Gaussian elimination to skip all ill-conditioned leading principal submatrices encountered during the recursive processing. This makes the new algorithm numerically stable for a broader class of symmetric Toeplitz matrices than the standard Levinson algorithm. In addition, a reliable condition number estimate is produced. The overhead is typically small.

引用

页码：490 / 506

页数：17

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