Toeplitz matrix

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In the mathematical discipline of 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:

$\begin{bmatrix} a & b & c & d & e \\ f & a & b & c & d \\ g & f & a & b & c \\ h & g & f & a & b \\ j & h & g & f & a \end{bmatrix}.$

Any m×n matrix A of the form

$A = \begin{bmatrix} a_{0} & a_{-1} & a_{-2} & \ldots & \ldots &a_{-n+1} \\ a_{1} & a_0 & a_{-1} & \ddots & & \vdots \\ a_{2} & a_{1} & \ddots & \ddots & \ddots& \vdots \\ \vdots & \ddots & \ddots & \ddots & a_{-1} & a_{-2}\\ \vdots & & \ddots & a_{1} & a_{0}& a_{-1} \\ a_{m-1} & \ldots & \ldots & a_{2} & a_{1} & a_{0} \end{bmatrix}$

is a Toeplitz matrix. If the i,j element of A is denoted A_i,j, then we have

A i, j = a i - j .

Properties

Generally, a matrix equation

A x = b

is the general problem of n linear simultaneous equations to solve. If A is a Toeplitz matrix, then the system is rather special (has only 2n − 1 degrees of freedom, rather than n²). One could therefore expect that solution of a Toeplitz system would therefore be easier.

This can be investigated by the transformation

A U n - U m A,

which has rank 2, where $U k$ is the down-shift operator. Specifically, one can by simple calculation show that

$AU_n-U_mA= \begin{bmatrix} a_{-1} & \cdots & a_{-n+1} & 0 \\ \vdots & & & -a_{-n+1} \\ \vdots & & & \vdots \\ 0 & \cdots & & -a_{n-n-1} \end{bmatrix}$

where empty places in the matrix are replaced by zeros.

Notes

These matrices have uses in computer science because it can be shown that the addition of two Toeplitz matrices can be done in O(n) time and the matrix multiplication of two Toeplitz matrices can be done in O(n log n) time. Toeplitz systems of form $A x = b$ can be solved by Levinson recursion.

They 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.

If a Toeplitz matrix has the additional property that $a i = a i + n$ , then it is a circulant matrix.