- To: mathgroup at smc.vnet.net
- Subject: [mg24591] Any ideas?
- From: Yannis.Paraskevopoulos at ubsw.com
- Date: Tue, 25 Jul 2000 00:56:23 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
Dear All, I am working on Fourier transforms, and therefore I want to evaluate the exponential of a matrix, say z=exp(A+iB). The matrices A and B do not commute, hence (I guess!) the exponential cannot be split into real and imaginary parts explicitly. Equivalently, I could be looking for the eigenvalues and eigenvectors of the matrix A+iB; the exponential is then calculated trivially. I have tried the Taylor expansion exp(A+iB)=sum([A+iB]^n/n!,n=0..Inf), but the numerical errors become explosive very quickly. I would appreciate any clever trick! regards Yannis Paraskevopoulos Quantitative Risk: Models and Statistics UBS Warburg, 1st Floor, 1 Finsbury Ave., London EC2M 2PP. yannis.paraskevopoulos at ubsw.com +44 (0) 20 7568 1865 This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail. Please notify the sender immediately by e-mail if you have received this e-mail by mistake and delete this e-mail from your system. E-mail transmission cannot be guaranteed to be secure or error-free as information could be intercepted, corrupted, lost, destroyed, arrive late or incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this message which arise as a result of e-mail transmission. If verification is required please request a hard-copy version. This message is provided for informational purposes and should not be construed as a solicitation or offer to buy or sell any securities or related financial instruments.