[R] Krylov subspace computations of matrix exponentials

[Mario Valle]

Look at ExpoKit (http://www.maths.uq.edu.au/expokit/)
It implement Krylov methods and is really fast.
Unfortunately no R wrapper that I know yet.

If you plan to implement it, I can provide my testing code.
Ciao!
                     mario

On 14-Apr-11 10:16, Niels Richard Hansen wrote:
> I use the very nice expm functions available from the expm and Matrix
> packages. My understanding is that for large sparse matrices the
> currently best methods available are Krylov subspace methods, but
> they are as far as I can tell not implemented in either of the packages
> mentioned, nor in any other R package I have found.
>
> Does anybody know if Krylov subspace methods are available from
> any R package?
>
> If not, is there anybody working on this or planning to do so?
>
> If not, I might be interested in making such an implementation, because
> I find myself in the need of fast methods for very large sparse matrices.
>
> A third question. There exists a Fortran implementation called Expokit
> with an ad hoc license stating that
>
> "Permission to use, copy, modify, and distribute EXPOKIT and its
> supporting documentation for non-commercial purposes, is hereby
> granted without fee, provided that this permission message and
> copyright notice appear in all copies."
>
> If I choose to use Expokit and just write an interface to R, would
> there be any problems with having such a copyright notice in the package?
>
> Thanks, Niels
>

-- 
Ing. Mario Valle
Data Analysis and Visualization Group            | http://www.cscs.ch/~mvalle
Swiss National Supercomputing Centre (CSCS)      | Tel:  +41 (91) 610.82.60
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