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Error Analysis of a Partial Pivoting Method for Structured Matrices

Sweet, Douglas R; Brent, Richard P


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...[Show more]

CollectionsANU Research Publications
Date published: 1995
Type: Working/Technical Paper


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