[SciPy-Dev] Efficient Toeplitz Matrix-Vector Multiplication

[Aditya Ravuri]

Hello,

I've submit a draft PR for this on GitHub:
https://github.com/scipy/scipy/pull/11346

An issue has been raised there that adding more functions increases the
number of public functions, which is undesirable. If this mailing list can
confirm that SciPy will never support matrix methods for special matrices
over and above what's already implemented, I will move these lines to the
documentation for scipy.linalg.toeplitz as suggested.

Regards,

Aditya



On Fri, Jan 10, 2020 at 12:40 AM Aditya Ravuri <aditya.ravuri at gmail.com>
wrote:

> Hello,
>
> I'd like to add a function that performs efficient matrix-vector
> multiplication of Toeplitz matrices with vectors using the circulant matrix
> embedding trick. A simple example is attached.
>
> May I proceed with coding up an implementation for SciPy based on this
> script? Is it something that could be added?
>
> An example application of this is in statistics, where stationary
> processes have a Toeplitz covariance matrix. The efficient matrix vector
> product can be used to compute log probabilities quickly and perhaps even
> make use of conjugate gradient solvers in multivariate normals conditional
> distributions.
>
> Regards,
>
> Aditya
>


-- 
AdityaR
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://mail.python.org/pipermail/scipy-dev/attachments/20200113/f29b879f/attachment.html>