eigen.sym: Limited number of eigenvalues and eigenvectors of a symmetric...

In Rfast: A Collection of Efficient and Extremely Fast R Functions

Limited number of eigenvalues and eigenvectors of a symmetric matrix

Description

Limited number of eigenvalues and eigenvectors of a symmetric matrix.

Usage

eigen.sym(A, k, vectors = TRUE)

Arguments

A	A symmetric matrix.
k	The number of eigenvalues and eigenvectors to extract.
vectors	A flag that indicates if the eigenvectors will be returned (default: vectors = True)

Details

The function calls the same function from the Armadillo library in C++. It is quite faster than R's built in function "eigen" if the number of eigenvalues and eigenvectors (argument k) is small.

The k largest, in magnitude, eigenvalues are returned. Hence, if the matrix is not positive definite you may get negative eigenvalues as well. So, it is advised to use it with positive definite matrices.

Value

A list including:

values	The eigenvalues.
vectors	The eigenvectors.

Author(s)

Armadillo library in C++ and Stefanos Fafalios and Manos Papadakis.

R implementation and documentation: Stefanos Fafalios <[e-mail]> and Manos Papadakis <[e-mail]>.

See Also

hd.eigen

Examples

x <- matrnorm(500, 100 )
s <- Rfast::cova(x)
res<-eigen.sym(s, 5)
x <- s <- NULL

Rfast documentation built on Nov. 9, 2023, 5:06 p.m.