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) for a discussion of the underlying quadratic programming algorithm.


Reference manual

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1.0-0 by Nathaniel E. Helwig, 3 years ago

Browse source code at

Authors: Nathaniel E. Helwig <[email protected]>

Documentation:   PDF Manual  

GPL (>= 2) license

Depends on quadprog, parallel

Depended on by multiway.

Suggested by ChemoSpec2D.

See at CRAN