expm: Matrix Exponential

Description

Computes the exponential of a matrix.

Usage

expm(A, np = 128)

Arguments

numeric square matrix.

number of points to use on the unit circle.

Value

Matrix of the same size as A.

Details

For an analytic function $f$ and a matrix $A$ the expression $f(A)$ can be computed by the Cauchy integral

f (A) = (2 π i)^{- 1} \int_{G} (z I - A)^{- 1} f (z) d z

where $G$ is a closed contour around the eigenvalues of $A$.

Here this is achieved by taking G to be a circle and approximating the integral by the trapezoid rule.

Another more accurate and more reliable approach for computing these functions can be found in the R package `expm'.

References

Moler, C., and Ch. Van Loan (2003). Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later. SIAM Review, Vol. 1, No. 1, pp. 1--46. [Available at CiteSeer, citeseer.ist.psu.edu]

R. B. Burckel (1979). An Introduction to Classical Complex Analysis, Vol. 1. Birkh"auser, Basel Stuttgart.

Examples

Run this code

##  The Ward test cases described in the help for expm::expm agree up to
##  10 digits with the values here and with results from Matlab's expm !
A <- matrix(c(-49, -64, 24, 31), 2, 2)
expm(A)
# -0.7357588 0.5518191
# -1.4715176 1.1036382

##  System of linear differential equations: y' = M y  (y = c(y1, y2, y3))
M <- matrix(c(2,-1,1, 0,3,-1, 2,1,3), 3, 3, byrow=TRUE)
M
C1 <- 0.5; C2 <- 1.0; C3 <- 1.5
t  <- 2.0; Mt <- expm(t * M)
yt <- Mt

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