The Inverses of Block Hankel and Block Toeplitz Matrices

A set of new formulae for the inverse of a block Hankel (or block Toeplitz) matrix is given. The formulae are expressed in terms of certain matrix Pade forms, which approximate a matrix power series associated with the block Hankel matrix.By using Frobenius-type identities between certain matrix Pade forms, the inversion formulae are shown to generalize the formulae of Gohberg–Heinig and, in the scalar case, the formulae of Gohberg–Semencul and Gohberg–Krupnik.The new formulae have the significant advantage of requiring only that the block Hankel matrix itself be nonsingular. The other formulae require, in addition, that certain submatrices be nonsingular.Since effective algorithms for computing the required matrix Pade forms are available, the formulae are practical. Indeed, some of the algorithms allow for the efficient calculation of the inverse not only of the given block Hankel matrix, but also of any nonsingular block principal minor.

[1]  M. Morf,et al.  Ladder forms for identification and speech processing , 1977, 1977 IEEE Conference on Decision and Control including the 16th Symposium on Adaptive Processes and A Special Symposium on Fuzzy Set Theory and Applications.

[2]  James R. Bunch,et al.  Stability of Methods for Solving Toeplitz Systems of Equations , 1985 .

[3]  Shalhav Zohar,et al.  Toeplitz Matrix Inversion: The Algorithm of W. F. Trench , 1969, JACM.

[4]  Recursive relations for block Hankel and Toeplitz systems part II: Dual recursions , 1984 .

[5]  Bruce Ronald. Musicus,et al.  Levinson and fast Choleski algorithms for Toeplitz and almost Toeplitz matrices , 1988 .

[6]  Tamir Shalom,et al.  On inversion of Toeplitz and close to Toeplitz matrices , 1986 .

[7]  W. Gragg,et al.  The generalized Schur algorithm for the superfast solution of Toeplitz systems , 1987 .

[8]  James B. Shearer,et al.  A Property of Euclid’s Algorithm and an Application to Padé Approximation , 1978 .

[9]  H. Akaike Block Toeplitz Matrix Inversion , 1973 .

[10]  David Y. Y. Yun,et al.  Fast Solution of Toeplitz Systems of Equations and Computation of Padé Approximants , 1980, J. Algorithms.

[11]  Jorma Rissanen,et al.  Solution of linear equations with Hankel and Toeplitz matrices , 1974 .

[12]  E. Robinson,et al.  Recursive solution to the multichannel filtering problem , 1965 .

[13]  W. Gragg,et al.  The Padé Table and Its Relation to Certain Algorithms of Numerical Analysis , 1972 .

[14]  B. Anderson,et al.  Asymptotically fast solution of toeplitz and related systems of linear equations , 1980 .

[15]  James Durbin,et al.  The fitting of time series models , 1960 .

[16]  Stanley Cabay,et al.  Algebraic Computations of Scaled Padé Fractions , 1986, SIAM J. Comput..

[17]  George Labahn,et al.  Matrix Padé Fractions and Their Computation , 1989, SIAM J. Comput..

[18]  Yasuo Sugiyama,et al.  An algorithm for solving discrete-time Wiener-Hopf equations based upon Euclid's algorithm , 1986, IEEE Trans. Inf. Theory.

[19]  G. Alistair Watson,et al.  An Algorithm for the Inversion of Block Matrices of Toeplitz Form , 1973, JACM.

[20]  M. Morf,et al.  Displacement ranks of matrices and linear equations , 1979 .

[21]  S. Basu,et al.  Theory and recursive computation of 1-D matrix Pade approximants , 1980 .

[22]  J. Rissanen Algorithms for triangular decomposition of block Hankel and Toeplitz matrices with application to factoring positive matrix polynomials , 1973 .