Preconditioned Lanczos Methods for the Minimum Eigenvalue of a Symmetric Positive Definite Toeplitz Matrix

Abstract

In this paper, we apply the preconditioned Lanczos (PL) method to compute the minimum eigenvalue of a symmetric positive definite Toeplitz matrix. The sine transform-based preconditioner is used to speed up the convergence rate of the PL method. The resulting method involves only Toeplitz and sine transform matrix-vector multiplications and hence can be computed efficiently by fast transform algorithms. We show that if the symmetric Toeplitz matrix is generated by a positive $2 \pi$-periodic even continuous function, then the PL method will converge sufficiently fast. Numerical results including Toeplitz and non-Toeplitz matrices are reported to illustrate the effectiveness of the method.