|[eigen] Matrix exponential|
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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.