rstiefel

Random Orthonormal Matrix Generation and Optimization on the Stiefel Manifold

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" <doi:10.1198/jcgs.2009.07177>. 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" <doi:10.1007/s10107-012-0584-1>.

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Description file content

Package
rstiefel
Type
Package
Title
Random Orthonormal Matrix Generation and Optimization on the Stiefel Manifold
Version
0.20
Date
2018-06-06
Author
Peter Hoff and Alexander Franks
Maintainer
Peter Hoff
Description
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" .
License
GPL-3
RoxygenNote
6.0.1
Depends
R (>= 2.10)
NeedsCompilation
yes
Packaged
2018-06-12 14:06:41 UTC; pdh10
Repository
CRAN
Date/Publication
2018-06-12 14:56:38 UTC

install.packages('rstiefel')

0.20

4 months ago

Peter Hoff

GPL-3

Depends on

R (>= 2.10)

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