Re: [R] exponential of a matrix

From: Peter Dalgaard <p.dalgaard_at_biostat.ku.dk>
Date: Tue, 11 Nov 2008 23:46:49 +0100

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.
>
> ______________________________________________
> R-help_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

-- 
    O__  ---- Peter Dalgaard             ุster Farimagsgade 5, Entr.B
   c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
  (*) \(*) -- University of Copenhagen   Denmark      Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard_at_biostat.ku.dk)              FAX: (+45) 35327907

______________________________________________
R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Received on Tue 11 Nov 2008 - 22:54:53 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Fri 14 Nov 2008 - 17:30:25 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive