pdhoff/rstiefel: Random Orthonormal Matrix Generation and Optimization on the Stiefel Manifold
Version 0.20

Simulation of random orthonormal matrices from linear and quadratic exponential family distributions on the Stiefel manifold. The most general type of distribution covered is the matrix-variate Bingham-von Mises-Fisher distribution. Most of the simulation methods are presented in Hoff(2009) "Simulation of the Matrix Bingham-von Mises-Fisher Distribution, With Applications to Multivariate and Relational Data" . The package also includes functions for optimization on the Stiefel manifold based on algorithms described in Wen and Yin (2013) "A feasible method for optimization with orthogonality constraints" .

Getting started

Package details

AuthorPeter Hoff and Alexander Franks
MaintainerPeter Hoff <[email protected]>
LicenseGPL-3
Version0.20
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("pdhoff/rstiefel")
pdhoff/rstiefel documentation built on June 15, 2018, 4:50 a.m.