A fast algorithm for computing the smallest eigenvalue of a symmetric positive-definite Toeplitz matrix

摘要

Recent progress in signal processing and estimation has generated considerable interest in the problem of computing the smallest eigenvalue of a symmetric positive-definite (SPD) Toeplitz matrix. An algorithm for computing upper and lower bounds to the smallest eigenvalue of a SPD Toeplitz matrix has been recently derived (Linear Algebra Appl. 2007; DOI: 10.1016/j.laa.2007.05.008). The algorithm relies on the computation of the R factor of the QR factorization of the Toeplitz matrix and the inverse of R. The simultaneous computation of R and R-1 is efficiently accomplished by the generalized Schur algorithm. In this paper, exploiting the properties of the latter algorithm, a numerical method to compute the smallest eigenvalue and the corresponding eigenvector of SPD Toeplitz matrices in an accurate way is proposed. Copyright (C) 2008 John Wiley & Sons, Ltd.