[R] error code 5 from Lapack routine 'dsyevr'

[Prof Brian Ripley]

On Fri, 16 Mar 2007, Richard D. Morey wrote:

> While using the rmvnorm function, I get the error:
>
> Error in eigen(sigma, sym = TRUE) : error code 5 from Lapack routine
> 'dsyevr'
>
> The same thing happens when I try the eigen() function on my covariance
> matrix. The matrix is a symmetric 111x111 matrix. Well, it is almost
> symmetric; there are slight deviations from symmetry (the largest is
> 3e-18).  I have this in an MCMC loop, and it happens about once in every
> 40 iterations or so.
>
> What does this error mean?

See the LAPACK code (in src/modules/lapack).

Internal LAPACK errors are usually problems with arithmetic accuracy, 
and as such are compiler- and CPU-specific.

-- 
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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