Conjugate gradient methods for Toeplitz systems

Abstract

In this expository paper, we survey some of the latest developments in using preconditioned conjugate gradient methods for solving Toeplitz systems. One of the main results is that the complexity of solving a large class of n-by-n Toeplitz systems is reduced to O(n log n) operations as compared to O(n log2 n) operations required by fast direct Toeplitz solvers. Different preconditioners proposed for Toeplitz systems are reviewed. Applications to Toeplitz-related systems arising from partial differential equations, queueing networks, signal and image processing, integral equations, and time series analysis are given.