In linear algebra, a Toeplitz matrix or diagonal-constant matrix, named after Otto Toeplitz, is a matrix in which each descending diagonal from left to right is constant. For instance, the following matrix is a Toeplitz matrix:
Contents
Any n×n matrix A of the form
is a Toeplitz matrix. If the i,j element of A is denoted Ai,j, then we have
A Toeplitz matrix is not necessarily square.
Solving a Toeplitz system
A matrix equation of the form
is called a Toeplitz system if A is a Toeplitz matrix. If A is an
Toeplitz systems can be solved by the Levinson algorithm in Θ(n2) time. Variants of this algorithm have been shown to be weakly stable (i.e. they exhibit numerical stability for well-conditioned linear systems). The algorithm can also be used to find the determinant of a Toeplitz matrix in O(n2) time.
A Toeplitz matrix can also be decomposed (i.e. factored) in O(n2) time. The Bareiss algorithm for an LU decomposition is stable. An LU decomposition gives a quick method for solving a Toeplitz system, and also for computing the determinant.
Algorithms that are asymptotically faster than those of Bareiss and Levinson have been described in the literature, but their accuracy cannot be relied upon.
General properties
A Toeplitz matrix may be defined as a matrix A where Ai,j = ci−j, for constants c1−n … cn−1. The set of n×n Toeplitz matrices is a subspace of the vector space of n×n matrices under matrix addition and scalar multiplication.
Two Toeplitz matrices may be added in O(n) time and multiplied in O(n2) time.
Toeplitz matrices are persymmetric. Symmetric Toeplitz matrices are both centrosymmetric and bisymmetric.
Toeplitz matrices are also closely connected with Fourier series, because the multiplication operator by a trigonometric polynomial, compressed to a finite-dimensional space, can be represented by such a matrix. Similarly, one can represent linear convolution as multiplication by a Toeplitz matrix.
Toeplitz matrices commute asymptotically. This means they diagonalize in the same basis when the row and column dimension tends to infinity.
Discrete convolution
The convolution operation can be constructed as a matrix multiplication, where one of the inputs is converted into a Toeplitz matrix. For example, the convolution of
This approach can be extended to compute autocorrelation, cross-correlation, moving average etc.
Infinite Toeplitz Matrix
A bi-infinite Toeplitz matrix (i.e. entries indexed by
The induced operator is bounded if and only if the coefficients of the Toeplitz matrix
In such cases,