[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.
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