[R] exponential of a matrix

Peter Dalgaard 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
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.


-- 
    O__  ---- Peter Dalgaard             Øster Farimagsgade 5, Entr.B
   c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
  (*) \(*) -- University of Copenhagen   Denmark      Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)              FAX: (+45) 35327907



More information about the R-help mailing list