MAfTpSolve

Routine

int MAfTpSolve (const float R[], const float g[], float c[], int N)

Purpose

Solve a Toeplitz set of equations

Description

  R c = g

where R is an N by N symmetric Toeplitz matrix and c and g are N element column vectors. The Toeplitz matrix R has elements which are equal along the diagonals, i.e. R(i,j)=r(abs(i-j)).

This routine uses Levinson's method to calculate the solution. In the case that either numerical instability or an inappropriate set of matrix coefficients results in a matrix which is not positive definite or singular, an error code is returned.

This routine uses

    2N-1    divides, and
  2N^2-3N   multiplies and adds.

Reference:

E. A. Robinson, "Multichannel time series analysis with digital computer programs", Holden-Day, 1967, p. 44.

Parameters

<- int MAfTpSolve

Error flag, zero for no error. The return value is set to 1 if the matrix not positive definite.

-> const float R[]

Vector specifying the first column of the Toeplitz matrix

-> const float g[]

Righthand side vector

<- float c[]

Solution vector

-> int N

Number of equations

Author / revision

See Also