[R] Derivative of expm function
Martin Maechler
maechler at stat.math.ethz.ch
Thu Apr 24 11:01:00 CEST 2014
>>>>> Wagner Bonat <wbonat at gmail.com>
>>>>> on Wed, 23 Apr 2014 12:12:17 +0200 writes:
> Hi all !
> I am look for some efficient method to compute the derivative of
> exponential matrix function in R. For example, I have a simple matrix like
> log.Sigma <- matrix(c(par1, rho, rho, par2),2,2)
> require(Matrix)
> Sigma <- expm(log.Sigma)
> I want some method to compute the derivatives of Sigma in relation the
> parameters par1, par2 and rho. Some idea ?
The 'expm' package has slightly newer / more reliable
algorithms for the matrix exponential.
It also contains an expmFrechet() function
which computes the Frechet derivative of the matrix exponential.
I'm pretty confident -- but did not start thinking more deeply --
that this should provide the necessary parts to get
partial derivatives like yours as well.
Martin Maechler, ETH Zurich
> Wagner Hugo Bonat
> LEG - Laboratório de Estatística e Geoinformação
> UFPR - Universidade Federal do Paraná
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