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.


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install.packages("CMLS")

1.0-0 by Nathaniel E. Helwig, a year ago


Browse source code at https://github.com/cran/CMLS


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


Documentation:   PDF Manual  


GPL (>= 2) license


Depends on quadprog, parallel


Depended on by multiway.


See at CRAN