Mathematics – Numerical Analysis
Scientific paper
2010-05-05
Error analysis of a fast partial pivoting method for structured matrices, Proceedings SPIE, Volume 2363, Advanced Signal Proce
Mathematics
Numerical Analysis
18 pages. An old Technical Report, submitted for archival purposes. For further details see http://wwwmaths.anu.edu.au/~brent/
Scientific paper
Many matrices that arise in the solution of signal processing problems have a special displacement structure. For example, adaptive filtering and direction-of-arrival estimation yield matrices of Toeplitz type. A recent method of Gohberg, Kailath and Olshevsky (GKO) allows fast Gaussian elimination with partial pivoting for such structured matrices. In this paper, a rounding error analysis is performed on the Cauchy and Toeplitz variants of the GKO method. It is shown the error growth depends on the growth in certain auxiliary vectors, the generators, which are computed by the GKO algorithms. It is also shown that in certain circumstances, the growth in the generators can be large, and so the error growth is much larger than would be encountered with normal Gaussian elimination with partial pivoting. A modification of the algorithm to perform a type of row-column pivoting is proposed; it may ameliorate this problem.
Brent Richard P.
Sweet Douglas R.
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