Matrices with banded inverses: inversion algorithms and factorization of Gauss-Markov processes

DOI10.1109/18.954748MaRDI QIDQ4501738zbMATH OpenOpenAlexFDO

Authors Aleksandar Kavčić, José M. F. Moura

Publication date 7 September 2000

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.954748

zbMATH Keywords

Kullback-Leibler distancecovariance matrixCholesky decompositiontridiagonal matrixGauss-Markov processesHadamard productmatrix inversionpotential matrixbanded matrixmaximum-entropy method\(L\)-band complementinhomogeneous autoregressive processesnested inversion algorithm

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Analysis of variance and covariance (ANOVA) (62J10) Direct numerical methods for linear systems and matrix inversion (65F05) Computational methods for sparse matrices (65F50) Discrete-time Markov processes on general state spaces (60J05)

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Cited in

(13)

• An MSSS-preconditioned matrix equation approach for the time-harmonic elastic wave equation at multiple frequencies
• An inversion algorithm for a banded matrix
• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• Characterizations and accurate computations for tridiagonal Toeplitz matrices
• Approximating the inverse of banded matrices by banded matrices with applications to probability and statistics
• Graph signal processing on dynamic graphs based on temporal-attention product
• Inverse-partitioned-matrix method for the general Gauss-Markov model with linear restrictions
• Direct approach to the band completion problem
• An \(L\)-banded approximation to the inverse of symmetric Toeplitz matrices
• Matrices whose inverses are tridiagonal, band or block-tridiagonal and their relationship with the covariance matrices of a random Markov process
• A novel algorithm for inverting a general \(k\)-tridiagonal matrix
• Tridiagonal M-matrices whose inverse is tridiagonal and related pentadiagonal matrices
• Limited memory BFGS method for least squares semidefinite programming with banded structure

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