r / packages / r-rstiefel

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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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