Solves multivariate least squares (MLS) problems subject to constraints on the coefficients, e.g., nonnegativity, orthogonality, equality, inequality, monotonicity, unimodality, smoothness, etc. Includes flexible functions for solving MLS problems subject to userspecified equality and/or inequality constraints, as well as a wrapper function that implements 24 common constraint options. Also does kfold or generalized crossvalidation to tune constraint options for MLS problems. See ten Berge (1993, ISBN:9789066950832) for an overview of MLS problems, and see Goldfarb and Idnani (1983) <doi:10.1007/BF02591962> for a discussion of the underlying quadratic programming algorithm.
Package details 


Author  Nathaniel E. Helwig <[email protected]> 
Maintainer  Nathaniel E. Helwig <[email protected]> 
License  GPL (>= 2) 
Version  1.00 
Package repository  View on CRAN 
Installation 
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