[R] Computing generalized eigenvalues

[Joshua Gilbert]

On 6/17/05, Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
> 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.
> 

Exactly.

> > 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.
> 

help.search('dggev') doesn't return anything. How do I access these routines?

> --
> 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
>