An introduction to iterative Toeplitz solvers by Raymond Hon-Fu Chan, Xiao-Qing Jin

By Raymond Hon-Fu Chan, Xiao-Qing Jin

Toeplitz platforms come up in quite a few purposes in arithmetic, medical computing, and engineering, together with numerical partial and usual differential equations, numerical suggestions of convolution-type essential equations, desk bound autoregressive time sequence in facts, minimum recognition difficulties up to the mark conception, method id difficulties in sign processing, and picture recovery difficulties in photo processing. This functional ebook introduces present advancements in utilizing iterative tools for fixing Toeplitz platforms in response to the preconditioned conjugate gradient approach. The authors concentrate on the $64000 elements of iterative Toeplitz solvers and provides distinct cognizance to the development of effective circulant preconditioners. purposes of iterative Toeplitz solvers to useful difficulties are addressed, permitting readers to exploit the publication s tools and algorithms to resolve their very own difficulties. An appendix containing the MATLAB® courses used to generate the numerical effects is incorporated. scholars and researchers in computational arithmetic and clinical computing will reap the benefits of this publication.

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1), Huckle’s preconditioner h(p) (Tn ) proposed in [53] is defined to be the circulant matrix with eigenvalues p−1 tj 1 − λk (h(p) (Tn )) = j=−p+1 |j| p e 2πijk n , k = 0, . . , n − 1. 9) 28 Chapter 2. Circulant preconditioners When p = n, it is simply T. Chan’s circulant preconditioner. If f > 0 is the generating function of Tn with Fourier coefficients tk that satisfy ∞ |k||tk |2 < ∞, k=0 then it was proved [53] that the spectra of (h(p) (Tn ))−1 Tn are clustered around 1 for large n. Thus, the convergence rate of the PCG method is superlinear.

12) is equivalent to lim max n→∞ 0≤j≤n−1 |λj (Cn (Fn ∗ f )) − λj (Cn (K ∗ f ))| = 0. 4. 11), we have max 0≤j≤n−1 |λj (Cn (Fn ∗ f )) − λj (Cn (K ∗ f ))| 2πj 2πj − (K ∗ f ) n n ≤ Fn ∗ f − K ∗ f ∞ ≤ Fn ∗ f − f ∞ + f − K ∗ f = max 0≤j≤n−1 (Fn ∗ f ) ∞. 13) follows. Next we show that if f is positive, then Cn (K ∗ f ) is positive definite and uniformly invertible for large n. 4. Let f ∈ C2π with the minimum value fmin > 0 and K be a kernel such that K ∗ f tends to f uniformly on [−π, π]. 11), then for all n sufficiently large, we have λj (Cn (K ∗ f )) ≥ 1 fmin > 0, 2 0 ≤ j ≤ n − 1.

Iv) cU is a linear projection operator from Cn×n into MU and has the operator norms cU 2 = sup cU (An ) 2 = 1 An 2 =1 and cU F = sup An cU (An ) F =1 F = 1. 4) 22 Chapter 2. Circulant preconditioners where Q is an n-by-n circulant matrix given by  0 1   Q≡ 0 .  ..  1    .    0 1 .. ··· 0 .. . .. 0 1 . 5) 0 Proof. We prove (i), (ii), (iii), and (iv). We refer readers to [82] for (v). (i) Since the Frobenius norm is unitary invariant, we have W n − An F = U ∗ Λ n U − An F = Λn − U An U ∗ F.

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