CMLS: Constrained Multivariate Least Squares

Solves multivariate least squares (MLS) problems subject to constraints on the coefficients, e.g., non-negativity, orthogonality, equality, inequality, monotonicity, unimodality, smoothness, etc. Includes flexible functions for solving MLS problems subject to user-specified equality and/or inequality constraints, as well as a wrapper function that implements 24 common constraint options. Also does k-fold or generalized cross-validation 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

AuthorNathaniel E. Helwig <[email protected]>
MaintainerNathaniel E. Helwig <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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CMLS documentation built on May 2, 2019, 9:16 a.m.