Hi, Is your matrix K symmetric? If yes, there is an "analytical" solution.
--- On Sat, 1/8/09, nhawrylyshyn <nichlas.hawrylys...@gmail.com> wrote: > From: nhawrylyshyn <nichlas.hawrylys...@gmail.com> > Subject: [R] Matrix Integral > To: r-help@r-project.org > Received: Saturday, 1 August, 2009, 12:15 AM > > Hi, > > Any help on this would be appreciated: > > I need to integrate where K is a 4x4 matrix, and SIGMA is a > 4x4 matrix from > say a to b, i.e. 0 to 5: > > integral MatrixExp(-K * s) %*% SIGMA %*% t(SIGMA) %*% > MatrixExp(t(-K) s) ds > > t is tranpose , %*% : matrix mult , MatrixExp : matrix > exponential > > I've use integrate before on univariate functions like f(x) > = x^2 which is > fine but when doing this on a matrix I run into problems. > All I intuitively > need to do is do this element by element. > > Thanks, > > NH. > > > > -- > View this message in context: > http://www.nabble.com/Matrix-Integral-tp24757170p24757170.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org > mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, > reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
