Re: [R] Computing generalized eigenvalues

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Fri 17 Jun 2005 - 18:33:58 EST

On Thu, 16 Jun 2005, Joshua Gilbert wrote:

> I need to compute generalized eigenvalues. The eigen function in base
> doesn't do it and I can't find a package that does.

They are very rarely used in statistics, so this is not surprising.

I presume you mean solving Ax = lambda B x: if B is non-singular this reduces to a conventional eigenproblem for B^{-1}A.

> As I understand it, Lapack __can__ computer them
> (http://www.netlib.org/lapack/lawn41/node111.html) and R can use
> Lapack. If there is no function already, can I access Lapack from R
> and use those routines directly?

Yes, you can: for real matrices the requisite routines are already compiled into R. See DGGES or DGGEV.

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Fri Jun 17 18:36:23 2005

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