Fast Toeplitz eigenvalue computations, joining interpolation-extrapolation matrix-less algorithms and simple-loop theory

Abstract

Under appropriate technical assumptions, the simple-loop theory allows to deduce various types of asymptotic expansions for the eigenvalues of Toeplitz matrices generated by a function $f$. Independently and under the milder hypothesis that $f$ is even and monotonic over $[0,π]$, matrix-less algorithms have been developed for the fast eigenvalue computation of large Toeplitz matrices, within a linear complexity in the matrix order: behind the high efficiency of such algorithms there are the expansions predicted by the simple-loop theory, combined with the extrapolation idea. Here we focus our attention on a change of variable, followed by the asymptotic expansion of the new variable, and we adapt the matrix-less algorithm to the considered new setting. Numerical experiments show a higher precision (till machine precision) and the same linear computation cost, when compared with the matrix-less procedures already presented in the relevant literature. Among the advantages, we concisely mention the following: a) when the coefficients of the simple-loop function are analytically known, the algorithm computes them perfectly; b) while the proposed algorithm is better or at worst comparable to the previous ones for computing the inner eigenvalues, it is extremely better for the computation of the extreme eigenvalues.