R-interface to the Fortran package Expokit for matrix exponentiation.
|License:||GPL (>= 2)|
Expokit is an efficient Fortran implementation for computing the matrix exponential, or rather, its action on a vector, for large sparse matrices. This can also be understood as computing the solution of a system of linear ordinary first order differential equations. This package provides an R-interface to some of the Fortran subroutines from Expokit.
The Fortran package was developed by Roger B. Sidje, see http://www.maths.uq.edu.au/expokit/. Niels Richard Hansen adapted the package for use with R and wrote the R interface. Permission to distribute the Expokit source under GPL was obtained from Roger B. Sidje.
Sidje, R. B. (1998) Expokit. Software Package for Computing Matrix Exponentials. ACM Trans. Math. Softw. 24(1), 130-156.