[eigen] Matrix exponential

[Jitse Niesen <jitse@xxxxxxxxxxxxxxxxx>]

Hello,

I'm working on how to calculate the matrix exponential (for sparse 
matrices). We programmed it in Matlab, but we're also looking at 
implementing it in C++. To my surprise, this task is also listed in the 
todo file. However, I don't like the algorithm suggested there, which is 
to use the eigendecomposition - that runs into problems when the 
eigenvalues come close together. Is there any interest in a routine using 
scaling-and-squaring, which is in my opinion the most standard approach?

I already have a working implementation, but it's rather slow because LU 
uses complete pivoting. Any progress on implementing a partial pivoting 
version? Otherwise, that will have to be tackled first.

Cheers,
Jitse