subject:"\[R\] Matrix Integral"

Re: [R] Matrix Integral

2009-08-12 Thread Moshe Olshansky

Hi, Is your matrix K symmetric? If yes, there is an "analytical" solution. --- On Sat, 1/8/09, nhawrylyshyn wrote: > From: nhawrylyshyn > Subject: [R] Matrix Integral > To: r-help@r-project.org > Received: Saturday, 1 August, 2009, 12:15 AM > > Hi, > > Any

[R] Matrix Integral

2009-07-31 Thread nhawrylyshyn

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