R help - Apr 2012 - Solve an ordinary or generalized eigenvalue problem in R?

Folks:

I'm trying to port some code from python over to R, and I'm running into
a
wall finding R code that can solve a generalized eigenvalue problem
following this function model:

http://docs.scipy.org/doc/scipy/reference/generated/scipy.linalg.eig.html

Any ideas?  I don't want to call python from within R for various reasons,
I'd prefer a "native" R solution if one exists.  Thanks!

--j

-- 
Jonathan A. Greenberg, PhD
Assistant Professor
Department of Geography and Geographic Information Science
University of Illinois at Urbana-Champaign
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http://www.geog.illinois.edu/people/JonathanGreenberg.html

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On 19-04-2012, at 20:50, Jonathan Greenberg wrote:
> Folks:
> 
> I'm trying to port some code from python over to R, and I'm running
into a
> wall finding R code that can solve a generalized eigenvalue problem
> following this function model:
> 
> http://docs.scipy.org/doc/scipy/reference/generated/scipy.linalg.eig.html
> 
> Any ideas?  I don't want to call python from within R for various
reasons,
> I'd prefer a "native" R solution if one exists.  Thanks!
An old thread is here: http://tolstoy.newcastle.edu.au/R/help/05/06/6802.html

R does provide eigen().
R has the Lapack routines dggev and dgges in its library.
You'd have to write your own .Fortran interface to those routines.

Berend

Hi all,

In my experience, using eigen to solve generalized eigenvalue / eigenvector
problems only gives correct looking eigenvalues while the eigenvectors seem
to be wrong (in comparison to results from MATLAB''s
''eig'' function for
example).

However, I think it is possible to solve generalized eigenvalue /
eigenvectors problems in R. The way I found that works in my case is to use
the simultaneous diagonalization method which is effectively two
applications of the ''svd'' function.

I have used this myself to get results effectively the same (down to 6th
decimal place for example) as those from MATLAB.

Kind regards,
Luke

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On Apr 21, 2012, at 15:22 , Luke Hartigan wrote:
> Hi all,
> 
> In my experience, using eigen to solve generalized eigenvalue / eigenvector
> problems only gives correct looking eigenvalues while the eigenvectors seem
> to be wrong (in comparison to results from MATLAB's 'eig'
function for
> example).
Could you please document that? There are many misconceptions about when
eigenvectors are "correct" and platform dependencies too. As far as I
can tell, both R and Matlab use the same LAPACK routines.

-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com