Hi, Any help on this would be appreciated:
I need to integrate where K is a 4x4 matrix, and SIGMA is a 4x4 matrix from say a to b, i.e. 0 to 5: integral MatrixExp(-K * s) %*% SIGMA %*% t(SIGMA) %*% MatrixExp(t(-K) s) ds t is tranpose , %*% : matrix mult , MatrixExp : matrix exponential I've use integrate before on univariate functions like f(x) = x^2 which is fine but when doing this on a matrix I run into problems. All I intuitively need to do is do this element by element. Thanks, NH. -- View this message in context: http://www.nabble.com/Matrix-Integral-tp24757170p24757170.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
