Fast positive definite linear system solvers
作者： A.H. Tewfik , M. Kim
DOI: 10.1109/78.277849
关键词: Linear system 、 System of linear equations 、 Covariance matrix 、 Combinatorics 、 Positive-definite matrix 、 Solver 、 Sparse matrix 、 Applied mathematics 、 Covariance 、 Cholesky decomposition 、 Mathematics
摘要: The authors show that the M-band wavelet transforms of a wide class covariance matrices consist subblocks are essentially banded. Furthermore, they prove Cholesky factors transformed also They combine these two observations to construct fast O(N/sup 2/) algorithm for solving N/spl times/N linear positive definite systems equations arise in statistical signal processing. Finally, provide an error analysis proposed system solver. >
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