- 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
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!
Quantitative Risk: Models and Statistics
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.
Prev by Date:
Re: Equation of a "potato"
Next by Date:
Re: NIntegrate within FixedPoint (HoldAll)
Previous by thread:
Re: continuously updating mean confidence interval (MeanCI)
Next by thread:
Re: Any ideas?