A fast method to diagonalize a Hankel matrix

Daniel L. Boley, Franklin T. Luk, David Vandevoorde

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

Abstract

We consider a Vandermonde factorization of a Hankel matrix, and propose a new approach to compute the full decomposition in O(n2) operations. The method is based on the use of a variant of the Lanczos method to compute a tridiagonal matrix whose eigenvalues are the modes generating the entries in the Hankel matrix. By adapting existing methods to solve for these eigenvalues and then for the coefficients, one arrives at a method to compute the entire decomposition in O(n2) operations. The method is illustrated with a simple numerical example.

Original languageEnglish (US)
Pages (from-to)41-52
Number of pages12
JournalLinear Algebra and Its Applications
Volume284
Issue number1-3
DOIs
StatePublished - Nov 15 1998

Bibliographical note

Funding Information:
author. E-mail: boley@cs.unm.edu. was partially supported by NSF Grants CCR-9405380 and CCR-9628786.

Keywords

  • Hankel matrix
  • Lanczos algorithm
  • Prony's method
  • Vandermonde decomposition

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