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
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
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
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