Message-Id: <1.5.4.32.19961121002835.0068ed94@axiom.maths.uq.oz.au> Date: Thu, 21 Nov 1996 11:28:35 +1100 To: r-testers@stat.math.ethz.ch From: Gordon K Smyth <gks@maths.uq.oz.au> Subject: Re: R-alpha: matrix exponential The matrix exponential problem is one on which numerical analysts have done a lot of work. There are problems with most obvious approaches, as described in the excellent paper by Moler and van Loan cited by Bill Venables. For statistical applications we most often want expm(Q)v where Q is a large sparse (often banded) matrix and v is a vector. Since expm(Q) is dense even though Q is sparse, it is important to compute the result without explicitly forming the intermediate result expm(Q). Roger Sidje, Department of Mathematics, University of Queensland, has produced high quality algorithms to solve this problem. Code in either MATLAB or Fortran can be obtained from "http://www.maths.uq.oz.au/expokit/". As I understand it, Roger's code uses Krylov space methods to refine the usual Pade approximation, which is the default algorithm used by MATLAB. Gordon ---------------------------------------------------------------------- Dr Gordon K Smyth Telephone: 7-3365-3116, Fax: 7-3365-1477 Department of Mathematics, University of Queensland, Q 4072, Australia E-mail: gks@maths.uq.oz.au, Web: http://www.maths.uq.oz.au/~gks/ ---------------------------------------------------------------------- =-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=- r-testers mailing list -- For info or help, send "info" or "help", To [un]subscribe, send "[un]subscribe" (in the "body", not the subject !) To: r-testers-request@stat.math.ethz.ch =-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-