[R] Computing generalized eigenvalues

[Prof Brian Ripley]

On Mon, 20 Jun 2005, Joshua Gilbert wrote:

> On 6/17/05, Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
>> On Thu, 16 Jun 2005, Joshua Gilbert wrote:
>>
>>> I need to compute generalized eigenvalues. The eigen function in base
>>> doesn't do it and I can't find a package that does.
>>
>> They are very rarely used in statistics, so this is not surprising.
>>
>> I presume you mean solving Ax = lambda B x: if B is non-singular this
>> reduces to a conventional eigenproblem for B^{-1}A.
>>
>
> Exactly.
>
>>> As I understand it, Lapack __can__ computer them
>>> (http://www.netlib.org/lapack/lawn41/node111.html) and R can use
>>> Lapack. If there is no function already, can I access Lapack from R
>>> and use those routines directly?
>>
>> Yes, you can: for real matrices the requisite routines are already
>> compiled into R.  See DGGES or DGGEV.
>>
>
> help.search('dggev') doesn't return anything. How do I access these routines?

They are _compiled_ in: via .Fortran() perhaps.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595