[R] Matrix Integral
m_olshansky at yahoo.com
Thu Aug 13 01:18:39 CEST 2009
Is your matrix K symmetric? If yes, there is an "analytical" solution.
--- On Sat, 1/8/09, nhawrylyshyn <nichlas.hawrylyshyn at gmail.com> wrote:
> From: nhawrylyshyn <nichlas.hawrylyshyn at gmail.com>
> Subject: [R] Matrix Integral
> To: r-help at r-project.org
> Received: Saturday, 1 August, 2009, 12:15 AM
> 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
> 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.
> View this message in context: http://www.nabble.com/Matrix-Integral-tp24757170p24757170.html
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