invchol_durbin(T)

Version 1.0.0.0 (2.59 KB) by Aravindh Krishnamoorthy
Inverse of the Cholesky factor of the p.d. Hermitian sym Toeplitz matrix T using Durbin recursions
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Updated 5 Sep 2015

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Finds the inverse of the Cholesky factor of the positive definite Hermitian symmetric Toeplitz matrix T (N>=2) using Durbin recursions [1].
Aravindh Krishnamoorthy, aravindh.krishnamoorthy@fau.de, 04-Sep-2015.
Released under the 2-clause BSD license.
[1] Gene H. Golub, Charles F. Van Loan, Matrix Computations, Third Edition, Algorithm 4.7.1 (Durbin).

Cite As

Aravindh Krishnamoorthy (2024). invchol_durbin(T) (https://www.mathworks.com/matlabcentral/fileexchange/52847-invchol_durbin-t), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
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Version Published Release Notes
1.0.0.0

A minor change to the initial value of 'a'.