R help - Jul 2009 - Matrix Integral

Hi,

Any help on this would be appreciated:

I need to integrate where K is a 4x4 matrix, and SIGMA is a 4x4 matrix from
say a to b, i.e. 0 to 5:

integral  MatrixExp(-K * s) %*% SIGMA %*% t(SIGMA) %*% MatrixExp(t(-K) s) ds

t is tranpose , %*% : matrix mult , MatrixExp : matrix exponential

I've use integrate before on univariate functions like f(x) = x^2 which is
fine but when doing this on a matrix I run into problems. All I intuitively
need to do is do this element by element.

Thanks,

NH.



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Hi,

Is your matrix K symmetric? If yes, there is an "analytical" solution.

--- On Sat, 1/8/09, nhawrylyshyn <nichlas.hawrylyshyn at gmail.com> wrote:
> From: nhawrylyshyn <nichlas.hawrylyshyn at gmail.com>
> Subject: [R]  Matrix Integral
> To: r-help at r-project.org
> Received: Saturday, 1 August, 2009, 12:15 AM
> 
> Hi,
> 
> Any help on this would be appreciated:
> 
> I need to integrate where K is a 4x4 matrix, and SIGMA is a
> 4x4 matrix from
> say a to b, i.e. 0 to 5:
> 
> integral? MatrixExp(-K * s) %*% SIGMA %*% t(SIGMA) %*%
> MatrixExp(t(-K) s) ds
> 
> t is tranpose , %*% : matrix mult , MatrixExp : matrix
> exponential
> 
> I've use integrate before on univariate functions like f(x)
> = x^2 which is
> fine but when doing this on a matrix I run into problems.
> All I intuitively
> need to do is do this element by element.
> 
> Thanks,
> 
> NH.
> 
> 
> 
> -- 
> View this message in context:
http://www.nabble.com/Matrix-Integral-tp24757170p24757170.html
> Sent from the R help mailing list archive at Nabble.com.
> 
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