External module "ql/experimental/math/expm"

Expm

• Expm(M: Matrix, t?: Real, tol?: Real): Matrix

• matrix exponential based on the ordinary differential equations method

  References:

  C. Moler; C. Van Loan, 1978, Nineteen Dubious Ways to Compute the Exponential of a Matrix http://xa.yimg.com/kq/groups/22199541/1399635765/name/moler-nineteen.pdf

  Parameters

  • M: Matrix

  • Default value t: Real = 1

  • Default value tol: Real = QL_EPSILON

  Returns Matrix