[R] exponential of a matrix
maechler at stat.math.ethz.ch
Fri Nov 14 18:03:47 CET 2008
>>>>> "PD" == Peter Dalgaard <p.dalgaard at biostat.ku.dk>
>>>>> on Tue, 11 Nov 2008 23:46:49 +0100 writes:
PD> Terry Therneau wrote:
>> Is the matrix exponential available in some package?
PD> Multiple. At least Matrix and msm. One of Jim Lindsey's
PD> too, but I think that's one of the more dubious ones.
Note also that there has been the 'expm' package on R-forge
for a while now.
One reason why we haven't released it to CRAN yet,
is the slightly open issue on the default algorithm to be used.
>> The cannonical reference is "Nineteen dubious ways to
>> take the exponential of a matrix". (Love that title)
PD> Yes, it's a classic. As I recall it, the paper misses
PD> one point, though: You often want a fast way of
PD> computing exp(tQ) (or exp(tQ)%*%v or u%*%exp(tQ)) for
PD> multiple values of t, and it is mainly about finding
PD> exp(Q) as accurately as possible.
I think the paper mentions the problem "en passant";
also that (problem) is anotther important "TODO" for us authors
of the expm package.
Incidentally, here at ETH we have a master's student working on
these issues for his master's thesis (ending around February'09).
Martin Maechler, ETH Zurich
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