Thank you, and thanks for writing that code! That is the perfect answer
to my question. I hope the R development team will consider expanding the
functionality of eigen() to include the option to retain only the first
few eigenvectors and/or eigenvalues. To me it seems very common in
statistics to work with a few eigenvectors instead of with all of them.
Mike
On Fri, 2 May 2014, Yixuan Qiu wrote:
Exactly.
The syntax is intended to mimic eigs() in Matlab and Octave.
library(rARPACK)
eigs(X, 10) # If your X is of class "dsyMatrix"
eigs_sym(X, 10) # If X is of class "matrix"
Best,
Yixuan
2014-05-02 4:48 GMT-04:00 Berend Hasselman <b...@xs4all.nl>:
On 02-05-2014, at 09:17, Mike Miller <mbmille...@gmail.com> wrote:
I have a symmetric matrix, X, and I just want the first K eigenvectors (those
associated with the K largest eigenvalues). Clearly, this works:
eigs <- eigen( X, symmetric=TRUE )
K_eigenvectors <- eigs$vectors[ , 1:K ]
K_eigenvalues <- eigs$values[ 1:K ]
rm(eigs)
In order to do that, I have to create the matrix eigs$vectors which is the same
size as X. Sometimes X has 100 million elements or more. Usually I want only
the first 10 eigenvectors instead of all 10,000. Is there any R function that
will allow me to extract just the few that I want? This would be analogous to
the [V,d] = eigs(X,K) function in Octave/MATLAB.
You can find possibly relevant stuff with
library(sos)
findFn("eigenvalue”)
which is how I found package rARPACK, which may be exactly what you need/want.
Berend
Best,
Mike
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