[R] highest eigenvalues of a matrix

From: baptiste Auguié <ba208_at_exeter.ac.uk>
Date: Wed, 18 Jun 2008 21:56:05 +0100


DeaR list,

I happily use eigen() to compute the eigenvalues and eigenvectors of a fairly large matrix (200x200, say), but it seems over-killed as its rank is limited to typically 2 or 3. I sort of remember being taught that numerical techniques can find iteratively decreasing eigenvalues and corresponding orthogonal eigenvectors, which would provide a nice alternative (once I have the first 3, say, I stop the search).

Looking at the R source code for eigen and some posts on this list, it seems that the function uses a LAPACK routine, but obviously all the options are not available through the R wrapper. I'm not experienced enough to try and make my own interface with Fortran code, so here are two questions:

Many thanks in advance for any piece of advice,

Sincerely,

Baptiste

dummy example if needed:

test <- matrix(c(1, 2, 0, 4, 5, 6, 1.00001, 2, 0), ncol=3) eigen(test)


Baptiste Auguié

Physics Department
University of Exeter
Stocker Road,
Exeter, Devon,
EX4 4QL, UK

Phone: +44 1392 264187

http://newton.ex.ac.uk/research/emag
http://projects.ex.ac.uk/atto



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