A Lanczos bidiagonalization algorithm for Hankel matrices

作者：Browne Kevin; Qiao Sanzheng^*; Wei Yimin

来源：Linear Algebra and Its Applications, 2009, 430(5-6): 1531-1543.

DOI：10.1016/j.laa.2008.01.012

• Fast Hankel SVD
• Hankel matrix
• Lanczos bidiagonalization

This paper presents a fast algorithm for bidiagonalizing a Hankel matrix. An mxn Hankel matrix is reduced to a real bidiagonal matrix in (sic) ((m n)n log(m n)) floating-point operations (flops) using the Lanczos method with modified partial orthogonalization and reset schemes to improve its stability. Performance improvement is achieved by exploiting the Hankel structure, as fast Hankel matrix-vector multiplication is used. The accuracy and efficiency of the algorithm are demonstrated by our numerical experiments.

• 出版日期2009-3-1
• 单位复旦大学