R devel - Mar 2012 - Eigenvalue calculation of sparse matrices

Dear all,

I am currently working on the calculation of eigenvalues (and -vectors) 
of large matrices. Since these are mostly sparse matrices and I remember 
some specific functionalities in MATLAB for sparse matrices, I started a 
research how to optimize the calculation of eigenvalues of a sparse matrix.
The function eigen itself works with the LAPACK library which has no 
special handling for sparse matrices, same for the EISPACK library. The 
ARPACK library is capable to work with sparse matrices but I couldn't 
find any useful R package using ARPACK.
The Matrix package can handle sparse matrices but has no further useful 
functionalities (concerning my tasks).

Does one of you have any advice how to optimize the eigenvalue 
calculation of sparse matrices in R?

Thanks in advance,
Holger

Hola!

This can be done with the CRAN package igraph, which contains (part
of) the arpack
library for computing only some eigenvalues/eigenvectors of sparse
matrices. arpack gives you the option of computing a few of the
smallest or a few of the largest eigenvalues/vectors.

You will need yourself to wrte a function doing matrix-vector
multiplication, so the arpack
methods itself is independent of the implementation of your sparse matrix.

Kjetil

On Fri, Mar 9, 2012 at 9:09 AM, Holger Diedrich
<diedrich at math.uni-potsdam.de> wrote:
> Dear all,
>
> I am currently working on the calculation of eigenvalues (and -vectors) of
> large matrices. Since these are mostly sparse matrices and I remember some
> specific functionalities in MATLAB for sparse matrices, I started a
research
> how to optimize the calculation of eigenvalues of a sparse matrix.
> The function eigen itself works with the LAPACK library which has no
special
> handling for sparse matrices, same for the EISPACK library. The ARPACK
> library is capable to work with sparse matrices but I couldn't find any
> useful R package using ARPACK.
> The Matrix package can handle sparse matrices but has no further useful
> functionalities (concerning my tasks).
>
> Does one of you have any advice how to optimize the eigenvalue calculation
> of sparse matrices in R?
>
> Thanks in advance,
> Holger
>
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