I am looking for a _stable_ algorithm that performs better in terms of speed
than the levinson-durbin recursive algorithm.
Reply by Rune Allnor●September 9, 20052005-09-09
Lars Hansen wrote:
> I am looking for a _stable_ algorithm that performs better in terms of speed
> than the levinson-durbin recursive algorithm.
> Any suggestions?
The Levinson recursion solves an NxN system of equetaion in O(N^2)
operations. There is a parallel version, named after Schur, that
solves the same system in O(N) operations, but this requires N CPUs
to be available and work in parallel.
So basically you are left with the choise of using 1 CPU and use
the Levinson recursion, or use N CPUs in parallel with the Schur