[R] Computing generalized eigenvalues

[Prof Brian Ripley]

On Thu, 16 Jun 2005, Joshua Gilbert wrote:

> I need to compute generalized eigenvalues. The eigen function in base
> doesn't do it and I can't find a package that does.

They are very rarely used in statistics, so this is not surprising.

I presume you mean solving Ax = lambda B x: if B is non-singular this 
reduces to a conventional eigenproblem for B^{-1}A.

> As I understand it, Lapack __can__ computer them
> (http://www.netlib.org/lapack/lawn41/node111.html) and R can use
> Lapack. If there is no function already, can I access Lapack from R
> and use those routines directly?

Yes, you can: for real matrices the requisite routines are already 
compiled into R.  See DGGES or DGGEV.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595