A surprising deficiency in R is the absence of an operator or built-in function for matrix exponentiation. I had to deal with this today when porting a function from MATLAB to R. Here is my quick-and-dirty solution:
mpower = function(M,p) {
A = as.matrix(M)
if (dim(A)[1] != dim(A)[2]) stop("not a square matrix")
# M^{-1} = the matrix inverse of M
if (p==-1) return(solve(A))
# M^0 = I
if (p==0) return(diag(1,dim(A)[1],dim(A)[2]))
# M^1 = M
if (p==1) return(A)
if (p < -1) stop("only powers >= -1 allowed")
if (p != as.integer(p)) stop("only integer powers allowed")
R = A
for (i in 2:p) {
R = R %*% A
}
return(R)
}
Not the most efficient method, perhaps, but it works. If you know of a better alternative, please add a comment to this blog entry. One possibility might be to port MATLAB’s expm
function, as defined in expm1.m
in the MATLAB demos directory, to R.
For a detailed review of methods for computing the exponential of a matrix, see:
Moler, Cleve and Charles Van Loan (2003), “Nineteen dubious ways to compute the exponential of a matrix, twenty-five years later,” Society for Industrial and Applied Mathematics, 45 (1), 3-49.
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