R-alpha: matrix exp

Jackie Ellis (jellis@uottawa.ca)
Thu, 21 Nov 1996 23:17:01 -0400

Date: Thu, 21 Nov 1996 23:17:01 -0400
From: Jackie Ellis <jellis@uottawa.ca>
To: R testers <r-testers@stat.math.ethz.ch>
Subject: R-alpha: matrix exp

I don't have any handy reference books, but I believe the eigenvalue
diagonalization will also work for calculating the exp of a
non-symmetric matrix. However, this requires complex numbers, which are
not yet supported in R. In addition to stochastic process problems,
complex numbers would also be useful for calculating time series model
roots and for some other problems.

It sure would be nice to have support for complex numbers, or at a
minimum, to get the real and imaginary parts of the eigenvalues and
eigenvectors of a non-symmetric matrix! Lapack has a routine for the

(Also, I think that version 0.13 of R returns incorrect values for a
non-symmetric matrix rather than indicating an error, and the help is
somewhat out of sync with the code.)

Paul Gilbert

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