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matrix. The algorithm runs in (n2) time, which is a strong improvement over Gauss-Jordan elimination, which runs in (n3). Newer algorithms, called asymptotically fast or sometimes superfast Toeplitz algorithms, can solve in (n logpn) for various p (e.g. p = 2, p = 3). Levinson recursion remains popular for several reasons; for one, it is relatively easy to understand in comparison; for another, it can be faster than a superfast algorithm for small n (usually n < 256 [1]). The Levinson-Durbin algorithm was proposed first by Norman Levinson in 1947, improved by J. Durbin in 1960, and subsequently improved to 4n2 and then 3n2 multiplications by W. F. Trench and S. Zohar, respectively. Other methods to process data include Schur decomposition and Cholesky decomposition. In comparison to these, Levinson recursion (particularly Split Levinson recursion) tends to be faster computationally, but more sensitive to computational inaccuracies like round-off errors.

Contents

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1 Derivation o 1.1 Background o 1.2 Introductory steps o 1.3 Obtaining the backward vectors o 1.4 Using the backward vectors 2 Block Levinson algorithm 3 References 4 See also

Derivation

Background

Matrix equations follow the form: The Levinson-Durbin algorithm may be used for any such equation, so long as M is a known Toeplitz matrix with a nonzero main diagonal. Here is a known vector, and is an unknown vector of numbers xi yet to be determined. For the sake of this article, êi is a vector made up entirely of zeroes, except for its i'th place, which holds the value one. Its length will be implicitly determined by the surrounding context. The term N refers to the width of the matrix above -- M is an N×N matrix. Finally, in this article, superscripts refer to an inductive index, whereas subscripts denote indices. For example (and definition), in this article, the matrix Tn is an n×n matrix which copies the upper left n×n block from M -- that is, Tnij = Mij. Tn is also a Toeplitz matrix; meaning that it can be written as:

Introductory steps

The algorithm proceeds in two steps. In the first step, two sets of vectors, called the forward and backward vectors, are established. The forward vectors are used to help get the set of

it is the vector of length n which satisfies: An important simplification can occur when M is a symmetric matrix. then the two vectors are related by bni = fnn+1-i -. Obtaining the backward vectors Even if the matrix is not symmetric. denoted length n which satisfies: The nth "backward vector" . r .that is. then they can be immediately discarded. then the nth forward and backward vector may be found from the vectors of length n-1 as follows. they are row-reversals of each other. the extra row added to the matrix has perturbed the solution. Here we have another unwanted error b with value: These two error terms can be used to eliminate each other. the extra column added to the matrix does not perturb this new backwards vector. This can save some extra computation in that special case. the forward vector may be extended with a zero to obtain: In going from Tn-1 to Tn. First. Using the linearity of mat ices. the extra column added to the matrix does not perturb the solution when a zero is used to extend the forward vector. and it has created an unwanted error term f which occurs in the last place.backward vectors. where they are used to build the solution desired. However. but first. For the backwards vector. as the vector of is defined similarly. but the extra row does. Levinson-Durbin recursion defines the nth "forward vector". Like before. The above equation gives it the value of: This error will be returned to shortly and eliminated from the new forward vector. The backwards vectors are necessary for the second step. the backwards vector must be extended in a similar (albeit reversed) fashion.

only the following equation is left: With these solved for (by using the Cramer 2x2 matrix inverse formula). the new forward and backward vectors are: Performing these vector summations. a more arbitrary equation is: . . and then some quick sums and multiplications give the remaining ones. are such that : and respectively . With those alpha and beta chosen. then the quantity in the 1 th parentheses will fulfill the definition of the n forward or backward vector. are such that : By multiplying both previous equations by one gets the following equation: Now. To find these coefficients. the vector sum in the parent eses is simple and yields the h desired result. gives the nth forward and backward vectors from the prior ones.If and are chosen so that the right hand side yields ê or ên. All that remains is to find the first of these vectors. respectively. then. From there. all the zeroes in the middle of the two vectors above being disregarded and collapsed. The first forward and backward vectors are simply: Using the backward vectors The above steps give the N backward vectors for M.

. but they form a coherent unit and deserve to be treated as their own step. and defining an error constant where necessary: We can then use the nth backward vector to eliminate the error term and replace it with the desired formula as follows: Extending this method until n = N yields the solution .The solution can be built in the same recursive way that the backwards vectors were built. Block Toeplitz matrices arise naturally in signal processing algorithms when dealing with multiple signal streams (e. Block Levinson algorithm If M is not strictly Toeplitz. must be generalized to a sequence . from which . but block Toeplitz. . In practice. in MIMO systems) or cyclostationary signals. Accordingly. extending with a zero again. the Levinson recursion can be derived in much the same way by regarding the block Toeplitz matrix as a Toeplitz matrix with matrix elements (Musicus 1988).g. The solution is then built recursively by noticing that if: Then. these steps are often done concurrently with the rest of the procedure.

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