Re: [R] exponential of a matrix
> "MM" == Martin Maechler <[EMAIL PROTECTED]> > on Fri, 14 Nov 2008 18:05:54 +0100 writes: > "DW" == David Winsemius <[EMAIL PROTECTED]> > on Tue, 11 Nov 2008 17:52:18 -0500 writes: DW> In 2004 Martyn Plummer said that functionality was DW> available in packages msm (as MatrixExp) and Lindsey's DW> rmutils (as mexp) MM> Well, these two use one of the very dubious ways mentioned below. oops! I'm wrong : MatrixExp() in 'msm', does, by default (method = "pade") say to use the recommended standard algorithm (squaring + Pade + scaling). Last time this came up on the mailing list, for some reason we had completely overlooked this one ... or it was not yet available publicly. My apologies to Chris Jackson, the msm author, whose function we've overlooked there. Martin Maechler, ETH Zurich DW> David Firth also offered: DW> http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/firth/software/mexp MM> yes, and that method (and a slight variation of it which uses MM> LAPACK code) is also part of the 'expm' package on R-forge which MM> I mentioned in my other reply in this thread (a few minutes MM> ago). MM> Martin Maechler DW> -- David Winsemius DW> On Nov 11, 2008, at 5:20 PM, Terry Therneau wrote: >>> Is the matrix exponential available in some package? >>> >>> The cannonical reference is "Nineteen dubious ways to >>> take the exponential of a matrix". (Love that title) >>> >>> Terry T. MM> __ MM> R-help@r-project.org mailing list MM> https://stat.ethz.ch/mailman/listinfo/r-help MM> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html MM> and provide commented, minimal, self-contained, reproducible code. __ 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.
Re: [R] exponential of a matrix
> "DW" == David Winsemius <[EMAIL PROTECTED]> > on Tue, 11 Nov 2008 17:52:18 -0500 writes: DW> In 2004 Martyn Plummer said that functionality was DW> available in packages msm (as MatrixExp) and Lindsey's DW> rmutils (as mexp) Well, thses two use one of the very dubious ways mentioned below. DW> David Firth also offered: DW> http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/firth/software/mexp yes, and that method (and a slight variation of it which uses LAPACK code) is also part of the 'expm' package on R-forge which I mentioned in my other reply in this thread (a few minutes ago). Martin Maechler DW> -- David Winsemius DW> On Nov 11, 2008, at 5:20 PM, Terry Therneau wrote: >> Is the matrix exponential available in some package? >> >> The cannonical reference is "Nineteen dubious ways to >> take the exponential of a matrix". (Love that title) >> >> Terry T. __ 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.
Re: [R] exponential of a matrix
> "PD" == Peter Dalgaard <[EMAIL PROTECTED]> > on Tue, 11 Nov 2008 23:46:49 +0100 writes: PD> Terry Therneau wrote: >> Is the matrix exponential available in some package? PD> Multiple. At least Matrix and msm. One of Jim Lindsey's PD> too, but I think that's one of the more dubious ones. Note also that there has been the 'expm' package on R-forge for a while now. One reason why we haven't released it to CRAN yet, is the slightly open issue on the default algorithm to be used. >> The cannonical reference is "Nineteen dubious ways to >> take the exponential of a matrix". (Love that title) indeed. PD> Yes, it's a classic. As I recall it, the paper misses PD> one point, though: You often want a fast way of PD> computing exp(tQ) (or exp(tQ)%*%v or u%*%exp(tQ)) for PD> multiple values of t, and it is mainly about finding PD> exp(Q) as accurately as possible. I think the paper mentions the problem "en passant"; also that (problem) is anotther important "TODO" for us authors of the expm package. Incidentally, here at ETH we have a master's student working on these issues for his master's thesis (ending around February'09). Martin Maechler, ETH Zurich __ 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.
Re: [R] exponential of a matrix
Le mar. 11 nov. à 17:20, Terry Therneau a écrit : Is the matrix exponential available in some package? You may also have a look at the expm package for a very straightforward operator: http://r-forge.r-project.org/projects/expm/ Disclaimer: although entirely usable, the package is still considered in development. YMMV Best Vincent The cannonical reference is "Nineteen dubious ways to take the exponential of a matrix". (Love that title) Terry T. __ 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. __ 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.
Re: [R] exponential of a matrix
Good morning, Try expm() in the Matrix package by Douglas Bates and Martin Maechler http://www.stats.bris.ac.uk/R/web/packages/Matrix/index.html Note that there is a revised version of that paper, refer: Cleve Moler and Charles Van Loan (2003) Nineteen dubious ways to compute the exponential of a matrix, twenty-five years later. SIAM Review 45, 1, 3–49. Regards, Sean O'Riordain [EMAIL PROTECTED] Peter Dalgaard wrote: > > Terry Therneau wrote: >> Is the matrix exponential available in some package? > > Multiple. At least Matrix and msm. One of Jim Lindsey's too, but I think > that's one of the more dubious ones. > >> The cannonical reference is "Nineteen dubious ways to take the >> exponential of a matrix". (Love that title) > > Yes, it's a classic. As I recall it, the paper misses one point, though: > You often want a fast way of computing exp(tQ) (or exp(tQ)%*%v or > u%*%exp(tQ)) for multiple values of t, and it is mainly about finding > exp(Q) as accurately as possible. > >> Terry T. >> >> __ >> 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. > > > -- > O__ Peter Dalgaard Øster Farimagsgade 5, Entr.B >c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K > (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 > ~~ - ([EMAIL PROTECTED]) FAX: (+45) 35327907 > > __ > 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. > > -- View this message in context: http://www.nabble.com/exponential-of-a-matrix-tp20449726p20454590.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.
Re: [R] exponential of a matrix
In 2004 Martyn Plummer said that functionality was available in packages msm (as MatrixExp) and Lindsey's rmutils (as mexp) David Firth also offered: http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/firth/software/mexp -- David Winsemius On Nov 11, 2008, at 5:20 PM, Terry Therneau wrote: Is the matrix exponential available in some package? The cannonical reference is "Nineteen dubious ways to take the exponential of a matrix". (Love that title) Terry T. __ 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.
Re: [R] exponential of a matrix
Terry Therneau wrote: Is the matrix exponential available in some package? Multiple. At least Matrix and msm. One of Jim Lindsey's too, but I think that's one of the more dubious ones. The cannonical reference is "Nineteen dubious ways to take the exponential of a matrix". (Love that title) Yes, it's a classic. As I recall it, the paper misses one point, though: You often want a fast way of computing exp(tQ) (or exp(tQ)%*%v or u%*%exp(tQ)) for multiple values of t, and it is mainly about finding exp(Q) as accurately as possible. Terry T. __ 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. -- O__ Peter Dalgaard Øster Farimagsgade 5, Entr.B c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~ - ([EMAIL PROTECTED]) FAX: (+45) 35327907 __ 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.
[R] exponential of a matrix
Is the matrix exponential available in some package? The cannonical reference is "Nineteen dubious ways to take the exponential of a matrix". (Love that title) Terry T. __ 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.
