Re: [R] Computing generalized eigenvalues

From: Joshua Gilbert <joshuacgilbert_at_gmail.com>
Date: Tue 21 Jun 2005 - 00:44:22 EST

On 6/17/05, Prof Brian Ripley <ripley@stats.ox.ac.uk> wrote:
> 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.
>

Exactly.

> > 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.
>

help.search('dggev') doesn't return anything. How do I access these routines?

> --
> 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
>



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Tue Jun 21 00:48:21 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:32:54 EST