[R] exponential of a matrix
p.dalgaard at biostat.ku.dk
Tue Nov 11 23:46:49 CET 2008
Terry Therneau wrote:
> Is the matrix exponential available in some package?
Multiple. At least Matrix and msm. One of Jim Lindsey's too, but I think
that's one of the more dubious ones.
> The cannonical reference is "Nineteen dubious ways to take the exponential of a matrix". (Love that title)
Yes, it's a classic. As I recall it, the paper misses one point, though:
You often want a fast way of computing exp(tQ) (or exp(tQ)%*%v or
u%*%exp(tQ)) for multiple values of t, and it is mainly about finding
exp(Q) as accurately as possible.
> Terry T.
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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