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" . 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" .


rstiefel 1.0.0

  • The function opt.stiefel has been sped-up dramatically.

rstiefel 0.20

  • Added a function opt.stiefel that finds a local optimum of a function defined on the stiefel manifold, using algorithms described in Wen and Yin (2013).

Reference manual

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1.0.0 by Peter Hoff, 3 months ago

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

Authors: Peter Hoff and Alexander Franks

Documentation:   PDF Manual  

Task views: Bayesian Inference

GPL-3 license

Suggests knitr

Imported by bayesammi, baystability.

See at CRAN