[R] Calculation of Eigen values.

[Prof Brian Ripley]

The source of the codes used *is* documented in ?eigen: please consult the 
references there.  By default it is the LAPACK routine DSYEVR.  From the 
comments at the head of that function (in src/modules/lapack/dlapack1.f)

*  DSYEVR computes selected eigenvalues and, optionally, eigenvectors
*  of a real symmetric matrix T.  Eigenvalues and eigenvectors can be
*  selected by specifying either a range of values or a range of
*  indices for the desired eigenvalues.
*
*  Whenever possible, DSYEVR calls DSTEGR to compute the
*  eigenspectrum using Relatively Robust Representations.  DSTEGR
*  computes eigenvalues by the dqds algorithm, while orthogonal
*  eigenvectors are computed from various "good" L D L^T representations
*  (also known as Relatively Robust Representations). Gram-Schmidt
*  orthogonalization is avoided as far as possible.

*  For more details, see "A new O(n^2) algorithm for the symmetric
*  tridiagonal eigenvalue/eigenvector problem", by Inderjit Dhillon,
*  Computer Science Division Technical Report No. UCB//CSD-97-971,
*  UC Berkeley, May 1997.

All of this is readily available in the R sources: so please do your 
homework (see the posting guide).

On Wed, 18 Oct 2006, Arun Kumar Saha wrote:

> Dear all R users,
>
> Can anyone tell me to calculate Eigen value of any real symmetric matrix
> which algorithm R uses? Is it Jacobi method ? If not is it possible to get
> explicit algorithm for calculating it?
>
> Thanks and regards,
> Arun
>
> 	[[alternative HTML version deleted]]
>
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-- 
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)
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