MatrixFuns

A Julia package for computing scalar functions of matrix variables and their Fréchet derivatives. The matrix functions computation (for arbitrary square matrices) is based on the Schur-Parlett algorithm (with improvements). The higher order Fréchet derivatives (for Hermitian matrices) are formulated similarly to the Daleskii-Krein theorem, where the divided differences are calculated accurately by the Opitz' formula. In particular, MatrixFuns supports the computation of discontinuous functions.

Installation

julia> using Pkg

julia> Pkg.add("MatrixFuns")