[R] Krylov subspace computations of matrix exponentials

From: Niels Richard Hansen <Niels.R.Hansen+lists_at_math.ku.dk>
Date: Thu, 14 Apr 2011 01:16:30 -0700


I use the very nice expm functions available from the expm and Matrix packages. My understanding is that for large sparse matrices the currently best methods available are Krylov subspace methods, but they are as far as I can tell not implemented in either of the packages mentioned, nor in any other R package I have found.

Does anybody know if Krylov subspace methods are available from any R package?

If not, is there anybody working on this or planning to do so?

If not, I might be interested in making such an implementation, because I find myself in the need of fast methods for very large sparse matrices.

A third question. There exists a Fortran implementation called Expokit with an ad hoc license stating that

"Permission to use, copy, modify, and distribute EXPOKIT and its supporting documentation for non-commercial purposes, is hereby granted without fee, provided that this permission message and copyright notice appear in all copies."

If I choose to use Expokit and just write an interface to R, would there be any problems with having such a copyright notice in the package?

Thanks, Niels

-- 
Niels Richard Hansen                     Web:   www.math.ku.dk/~richard	
Associate Professor                      Email: Niels.R.Hansen_at_math.ku.dk
Department of Mathematical Sciences             nielsrichardhansen_at_gmail.com
University of Copenhagen                 Skype: nielsrichardhansen.dk	
Universitetsparken 5                     Phone: +1 510 502 8161	
2100 Copenhagen Ø
Denmark

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