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
v. Cantonale Galleria 2, 6928 Manno, Switzerland | Fax: +41 (91) 610.82.82
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