Hi everyone,
I am using eigen() to extract the 2 major eigenpairs from a large real
square symmetric matrix. The procedure is already rather efficient, but
becomes somehow slow for real time needs with moderately large matrices
(few thousand lines).
The R implementation statically extracts all eigenvalues (and optionally
associated eigenvectors). I heard about optimizations of the eigen
decomposition when only few eigenpairs are needed : did somebody already
care about this problem (through a contributed package for example) ? Or do
I have to directly try to mess around with the LAPACK library (and
contribute the package myself afterwards) ?
Thanks by advance for your help,
Pierrick Bruneau
CRP Gabriel Lippmann
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