[R] Computation of largest eigenvalue

[Ravi Varadhan]

There is the arpack() function in "igraph" package for computing leading
eigenvalues, but I am not sure how well it can handle "very" large matrices.


I have coded up an accelerated power method and have used it on dense
matrices of order 5000.  It takes around 9-10 secs for the dominant
eigenvalue and corresponding eigenvector.  

How very large is your matrix?

Ravi.

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Christian Weiß
Sent: Friday, July 30, 2010 9:32 AM
To: r-help at r-project.org
Subject: [R] Computation of largest eigenvalue

  Hello,

I am looking for an R function to compute only the largest eigenvalue 
(Perron-Frobenius eigenvalue) and its corresponding eigenvector of a 
square matrix (in fact, even only of a non-negative matrix). The 
function should also be able to deal with very large but sparse matrices.

Any idea?

Best regards,

Christian Weiß


--

Dr. Christian H. Weiß

Fachbereich Mathematik
Technische Universität Darmstadt
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Email: weiss at mathematik.tu-darmstadt.de
Homepage:
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n.html

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