Expokit in R

Description

R-interface to the Fortran package Expokit for matrix exponentiation.

Details

Expokit is an efficient Fortran implementation for computing the matrix exponential, or rather, its action on a vector, for large sparse matrices. This can also be understood as computing the solution of a system of linear ordinary first order differential equations. This package provides an R-interface to some of the Fortran subroutines from Expokit.

The Fortran package was developed by Roger B. Sidje, see http://www.maths.uq.edu.au/expokit/. Niels Richard Hansen adapted the package for use with R and wrote the R interface. Permission to distribute the Expokit source under GPL was obtained from Roger B. Sidje.

Author(s)

Roger B. Sidje roger.b.sidje@ua.edu, Niels Richard Hansen Niels.R.Hansen@math.ku.dk.

References

Sidje, R. B. (1998) Expokit. Software Package for Computing Matrix Exponentials. ACM Trans. Math. Softw. 24(1), 130-156.

See Also

expv

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