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Mathematics of Computation

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Fast Gaussian elimination with partial pivoting for matrices with displacement structure

Authors: I. Gohberg, T. Kailath and V. Olshevsky
Journal: Math. Comp. 64 (1995), 1557-1576
MSC: Primary 15A06; Secondary 15A09, 15A23, 15A57, 65F05
MathSciNet review: 1312096
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Abstract: Fast $O({n^2})$ implementation of Gaussian elimination with partial pivoting is designed for matrices possessing Cauchy-like displacement structure. We show how Toeplitz-like, Toeplitz-plus-Hankel-like and Vandermonde-like matrices can be transformed into Cauchy-like matrices by using Discrete Fourier, Cosine or Sine Transform matrices. In particular this allows us to propose a new fast $O({n^2})$ Toeplitz solver GKO, which incorporates partial pivoting. A large set of numerical examples showed that GKO demonstrated stable numerical behavior and can be recommended for solving linear systems, especially with nonsymmetric, indefinite and ill-conditioned positive definite Toeplitz matrices. It is also useful for block Toeplitz and mosaic Toeplitz (Toeplitz-block) matrices. The algorithms proposed in this paper suggest an attractive alternative to look-ahead approaches, where one has to jump over ill-conditioned leading submatrices, which in the worst case requires $O({n^3})$ operations.

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Keywords: Gaussian elimination, partial pivoting, displacement structure, Toeplitz-like, Cauchy-like, Vandermonde-like, Toeplitz-plus-Hankel matrix, Schur algorithm, Levinson algorithm
Article copyright: © Copyright 1995 American Mathematical Society