[R] Matrix Integral

[nhawrylyshyn]

Hi,

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 exponential

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.

Thanks,

NH.



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