int MAfTpSolve (const float R, const float g, float c, int N)
Solve a Toeplitz set of equations
This routine solves the set of matrix equations
R c = g
where R is an N by N symmetric Toeplitz matrix and c and g are N element
column vectors. The Toeplitz matrix R has elements which are equal along the
diagonals, i.e. R(i,j)=r(abs(i-j)).
This routine uses Levinson's method to calculate the solution. In the
case that either numerical instability or an inappropriate set of matrix
coefficients results in a matrix which is not positive definite or singular,
an error code is returned.
This routine uses
2N-1 divides, and
2N^2-3N multiplies and adds.
E. A. Robinson, "Multichannel time series analysis with digital computer
programs", Holden-Day, 1967, p. 44.
<- int MAfTpSolve
Error flag, zero for no error. The return value is set to 1 if the
matrix not positive definite.
-> const float R
Vector specifying the first column of the Toeplitz matrix
-> const float g
Righthand side vector
<- float c
-> int N
Number of equations
Author / revision
/ Revision 1.6 2003/05/09
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