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

The paper considers the inversion of full matrices whose inverses are L-banded. We derive a nested inversion algorithm for such matrices. Applied to a tridiagonal matrix, the algorithm provides its explicit inverse as an element-wise product (Hadamard product) of three matrices. When related to Gaus...

Full description

Bibliographic Details

Published in:	IEEE transactions on information theory Vol. 46; no. 4; pp. 1495 - 1509
Main Authors:	Kavcic, A., Moura, J.M.F.
Format:	Journal Article
Language:	English
Published:	New York IEEE 01.07.2000 The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Algorithms Approximation Factorization Inversions Mathematical analysis Matrices Matrix inversion Matrix methods Maximum entropy
ISSN:	0018-9448, 1557-9654
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!