Terry Therneau wrote:
Is the matrix exponential available in some package?
Multiple. At least Matrix and msm. One of Jim Lindsey's too, but I think
that's one of the more dubious ones.
The cannonical reference is "Nineteen dubious ways to take the exponential of a
matrix". (Love that title)
Yes, it's a classic. As I recall it, the paper misses one point, though:
You often want a fast way of computing exp(tQ) (or exp(tQ)%*%v or
u%*%exp(tQ)) for multiple values of t, and it is mainly about finding
exp(Q) as accurately as possible.
Terry T.
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