The source of the codes used *is* documented in ?eigen: please consult the
references there. By default it is the LAPACK routine DSYEVR. From the
comments at the head of that function (in src/modules/lapack/dlapack1.f)
* DSYEVR computes selected eigenvalues and, optionally, eigenvectors
* of a real symmetric matrix T. Eigenvalues and eigenvectors can be
* selected by specifying either a range of values or a range of
* indices for the desired eigenvalues.
*
* Whenever possible, DSYEVR calls DSTEGR to compute the
* eigenspectrum using Relatively Robust Representations. DSTEGR
* computes eigenvalues by the dqds algorithm, while orthogonal
* eigenvectors are computed from various "good" L D L^T
representations
* (also known as Relatively Robust Representations). Gram-Schmidt
* orthogonalization is avoided as far as possible.
* For more details, see "A new O(n^2) algorithm for the symmetric
* tridiagonal eigenvalue/eigenvector problem", by Inderjit Dhillon,
* Computer Science Division Technical Report No. UCB//CSD-97-971,
* UC Berkeley, May 1997.
All of this is readily available in the R sources: so please do your
homework (see the posting guide).
On Wed, 18 Oct 2006, Arun Kumar Saha wrote:
> Dear all R users,
>
> Can anyone tell me to calculate Eigen value of any real symmetric matrix
> which algorithm R uses? Is it Jacobi method ? If not is it possible to get
> explicit algorithm for calculating it?
>
> Thanks and regards,
> Arun
>
> [[alternative HTML version deleted]]
>
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> PLEASE do read the posting guide
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> and provide commented, minimal, self-contained, reproducible code.
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595