Circulant preconditioners for Toeplitz-block matrices

We propose two block preconditioners for Toeplitz-block matrices (i.e. each block is Toeplitz), intended to be used in conjunction with conjugate gradient methods. These preconditioners employ and extend existing circulant preconditioners for point Toeplitz matrices. The two preconditioners differ in whether the point circulant approximation is used once or twice, and also in the cost per step. We discuss efficient implementation of these two preconditioners, as well as some basic theoretical properties (such as preservation of symmetry and positive definiteness). We report results of numerical experiments, including an example from active noise control, to compare their performance.Research supported by SRI International and by the Army Research Office under contract DAAL03-91-G-0150 and by the Office of Naval Research under contract N00014-90-J-1695.     

Circulant preconditioners for discrete ill-posed Toeplitz systems

Circulant preconditioners are commonly used to accelerate the rate of convergence of iterative methods when solving linear systems of equations with a Toeplitz matrix. Block extensions that can be applied when the system has a block Toeplitz matrix with Toeplitz blocks also have been developed. This paper is concerned with preconditioning of linear systems of equations with a symmetric block Toeplitz matrix with symmetric Toeplitz blocks that stem from the discretization of a linear ill-posed problem. The right-hand side of the linear systems represents available data and is assumed to be contaminated by error. These kinds of linear systems arise, e.g., in image deblurring problems. It is important that the preconditioner does not affect the invariant subspace associated with the smallest eigenvalues of the block Toeplitz matrix to avoid severe propagation of the error in the right-hand side. A perturbation result indicates how the dimension of the subspace associated with the smallest eigenvalues should be chosen and allows the determination of a suitable preconditioner when an estimate of the error in the right-hand side is available. This estimate also is used to decide how many iterations to carry out by a minimum residual iterative method. Applications to image restoration are presented.     

Approximate inverse-free preconditioners for Toeplitz matrices

In this paper, we propose approximate inverse-free preconditioners for solving Toeplitz systems. The preconditioners are constructed based on the famous Gohberg-Semencul formula. We show that if a Toeplitz matrix is generated by a positive bounded function and its entries enjoys the off-diagonal decay property, then the eigenvalues of the preconditioned matrix are clustered around one. Experimental results show that the proposed preconditioners are superior to other existing preconditioners in the literature.     

Circulant and skew-circulant preconditioners for skew-hermitian type Toeplitz systems

We study the solutions of Toeplitz systemsA _n x=b by the preconditioned conjugate gradient method. Then ×n matrixA _n is of the forma ₀ I+H _n wherea ₀ is a real number,I is the identity matrix andH _n is a skew-Hermitian Toeplitz matrix. Such matrices often appear in solving discretized hyperbolic differential equations. The preconditioners we considered here are the circulant matrixC _n and the skew-circulant matrixS _n whereA _n =1/2(C _n +S _n ). The convergence rate of the iterative method depends on the distribution of the singular values of the matricesC ^–1 _n A_n andS ^–1 _n A _n . For Toeplitz matricesA _n with entries which are Fourier coefficients of functions in the Wiener class, we show the invertibility ofC _n andS _n and prove that the singular values ofC ^–1 _n A _n andS ^–1 _n A _n are clustered around 1 for largen. Hence, if the conjugate gradient method is applied to solve the preconditioned systems, we expect fast convergence.     

Circulant preconditioners for pricing options

We use the normalized preconditioned conjugate gradient method with Strang’s circulant preconditioner to solve a nonsymmetric Toeplitz system A_nx=b, which arises from the discretization of a partial integro-differential equation in option pricing. By using the definition of family of generating functions introduced in [16], we prove that Strang’s circulant preconditioner leads to a superlinear convergence rate under certain conditions. Numerical results exemplify our theoretical analysis.     

Hartley preconditioners for Toeplitz systems generated by positive continuous functions

In this paper, we consider the solution ofn-by-n symmetric positive definite Toeplitz systemsT _n x=b by the preconditioned conjugate gradient (PCG) method. The preconditionerM _n is defined to be the minimizer of T _n –B _{n F} over allB _n H _n whereH _n is the Hartley algebra. We show that if the generating functionf ofT _n is a positive 2-periodic continuous even function, then the spectrum of the preconditioned systemM _n ^–1 T _n will be clustered around 1. Thus, if the PCG method is applied to solve the preconditioned system, the convergence rate will be superlinear.     

Spectral functions for real symmetric Toeplitz matrices

We derive separate spectral functions for the even and odd spectra of a real symmetric Toeplitz matrix, which are given by the roots of those functions. These are rational functions, also commonly referred to as secular functions. Two applications are considered: spectral evolution as a function of one parameter and the computation of eigenvalues.     

Circulant preconditioners for stochastic automata networks

Summary. Stochastic Automata Networks (SANs) are widely used in modeling communication systems, manufacturing systems and computer systems. The SAN approach gives a more compact and efficient representation of the network when compared to the stochastic Petri nets approach. To find the steady state distribution of SANs, it requires solutions of linear systems involving the generator matrices of the SANs. Very often, direct methods such as the LU decomposition are inefficient because of the huge size of the generator matrices. An efficient algorithm should make use of the structure of the matrices. Iterative methods such as the conjugate gradient methods are possible choices. However, their convergence rates are slow in general and preconditioning is required. We note that the MILU and MINV based preconditioners are not appropriate because of their expensive construction cost. In this paper, we consider preconditioners obtained by circulant approximations of SANs. They have low construction cost and can be inverted efficiently. We prove that if only one of the automata is large in size compared to the others, then the preconditioned system of the normal equations will converge very fast. Numerical results for three different SANs solved by CGS are given to illustrate the fast convergence of our method. Received March 17, 1998 / Revised version received August 16, 1999 / Published online July 12, 2000     

Band Toeplitz preconditioners for block Toeplitz systems

We consider the solutions of block Toeplitz systems with Toeplitz blocks by the preconditioned conjugate gradient (PCG) method. Here the block Toeplitz matrices are generated by nonnegative functions f(x,y). We use band Toeplitz matrices as preconditioners. The generating functions g(x,y) of the preconditioners are trigonometric polynomials of fixed degree and are determined by minimizing (f − g)/f∞. We prove that the condition number of the preconditioned system is O(1). An a priori bound on the number of iterations for convergence is obtained.     

Inverse product Toeplitz preconditioners for non-Hermitian Toeplitz systems

In this paper, we first propose product Toeplitz preconditioners (in an inverse form) for non-Hermitian Toeplitz matrices generated by functions with zeros. Our inverse product-type preconditioner is of the form T_F T_L^-1 T_U^-1T_F T_L^{-1} T_U^{-1} where T _F , T _L , and T _U are full, band lower triangular, and band upper triangular Toeplitz matrices, respectively. Our basic idea is to decompose the generating function properly such that all factors T _F , T _L , and T _U of the preconditioner are as well-conditioned as possible. We prove that under certain conditions, the preconditioned matrix has eigenvalues and singular values clustered around 1. Then we use a similar idea to modify the preconditioner proposed in Ku and Kuo (SIAM J Sci Stat Comput 13:1470–1487, 1992) to handle the zeros in rational generating functions. Numerical results, including applications to the computation of the stationary probability distribution of Markovian queuing models with batch arrival, are given to illustrate the good performance of the proposed preconditioners.     

Toeplitz operators and arguments of analytic functions

For a Toeplitz operator T _φ , we study the interrelationship between smoothness properties of the symbol φ and those of the functions annihilated by T _φ . For instance, it follows from our results that if φ is a unimodular function on the circle lying in some Lipschitz or Zygmund space Λ^α with 0 < α < ∞, and if f is an H ^p -function (p ≥ 1) with T _φ f = 0, then f ∈ Λ^α and

Circulant preconditioners for second order hyperbolic equations

Linear systems arising from implicit time discretizations and finite difference space discretizations of second-order hyperbolic equations in two dimensions are considered. We propose and analyze the use of circulant preconditioners for the solution of linear systems via preconditioned iterative methods such as the conjugate gradient method. Our motivation is to exploit the fast inversion of circulant systems with the Fast Fourier Transform (FFT). For second-order hyperbolic equations with initial and Dirichlet boundary conditions, we prove that the condition number of the preconditioned system is ofO() orO(m), where is the quotient between the time and space steps andm is the number of interior gridpoints in each direction. The results are extended to parabolic equations. Numerical experiments also indicate that the preconditioned systems exhibit favorable clustering of eigenvalues that leads to a fast convergence rate.     

Band-Toeplitz preconditioners for ill-conditioned Toeplitz systems

BIT Numerical Mathematics - Preconditioning for Toeplitz systems has been an active research area over the past few decades. Along this line of research, circulant preconditioners have been...     

Band-times-circulant preconditioners for non-symmetric Toeplitz systems

BIT Numerical Mathematics - In this paper we study $$ntimes n$$ non-symmetric, real Toeplitz systems of the form $$T_n(f)x = b$$ , where the generating function of the Toeplitz matrix f is known a...     

Circulant Preconditioners for Indefinite Toeplitz Systems

In recent papers circulant preconditioners were proposed for ill-conditioned Hermitian Toeplitz matrices generated by 2-periodic continuous functions with zeros of even order. It was show that the spectra of the preconditioned matrices are uniformly bounded except for a finite number of outliers and therefore the conjugate gradient method, when applied to solving these circulant preconditioned systems, converges very quickly. In this paper, we consider indefinite Toeplitz matrices generated by 2-periodic continuous functions with zeros of odd order. In particular, we show that the singular values of the preconditioned matrices are essentially bounded. Numerical results are presented to illustrate the fast convergence of CGNE, MINRES and QMR methods.This revised version was published online in October 2005 with corrections to the Cover Date.     

Toeplitz matrices and classical and q-Bessel functions

We use biinfinite Toeplitz matrix analogues of classical and q-binomial identities in a commutative Banach algebra setting to characterize classical and q-Bessel functions of integer order and to establish properties of these functions.     

Circulant integral operators as preconditioners for Wiener-Hopf equations

In this paper, we study the solutions of finite-section Wiener-Hopf equations by the preconditioned conjugate gradient method. Our main aim is to give an easy and general scheme of constructing good circulant integral operators as preconditioners for such equations. The circulant integral operators are constructed from sequences of conjugate symmetric functions {C }. Letk(t) denote the kernel function of the Wiener-Hopf equation and be its Fourier transform. We prove that for sufficiently large if {C } is uniformly bounded on the real lineR and the convolution product of the Fourier transform ofC with uniformly onR, then the circulant preconditioned Wiener-Hopf operator will have a clustered spectrum. It follows that the conjugate gradient method, when applied to solving the preconditioned operator equation, converges superlinearly. Several circulant integral operators possessing the clustering and fast convergence properties are constructed explicitly. Numerical examples are also given to demonstrate the performance of different circulant integral operators as preconditioners for Wiener-Hopf operators.Research supported in part by HKRGC grant no. 221600070.