Re: [R] Krylov subspace computations of matrix exponentials

2011-04-14 Thread peter dalgaard
On Apr 14, 2011, at 10:16 , Niels Richard Hansen wrote: > > A third question. There exists a Fortran implementation called Expokit > with an ad hoc license stating that > > "Permission to use, copy, modify, and distribute EXPOKIT and its > supporting documentation for non-commercial purposes, i

Re: [R] Krylov subspace computations of matrix exponentials

2011-04-14 Thread Mario Valle
Look at ExpoKit (http://www.maths.uq.edu.au/expokit/) It implement Krylov methods and is really fast. Unfortunately no R wrapper that I know yet. If you plan to implement it, I can provide my testing code. Ciao! mario On 14-Apr-11 10:16, Niels Richard Hansen wrote: I use the

[R] Krylov subspace computations of matrix exponentials

2011-04-14 Thread Niels Richard Hansen
I use the very nice expm functions available from the expm and Matrix packages. My understanding is that for large sparse matrices the currently best methods available are Krylov subspace methods, but they are as far as I can tell not implemented in either of the packages mentioned, nor in any oth