rstiefel-package {rstiefel}

Random Orthonormal Matrix Generation 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 optimzation on the Stiefel manifold based on algoirthms described in Wen and Yin (2013) "A feasible method for optimization with orthogonality constraints" <doi:10.1007/s10107-012-0584-1>.

Description

Package:	rstiefel
Type:	Package
Version:	1.0.0
Date:	2019-02-18
License:	GPL-3

Author(s)

Peter Hoff

Alex Franks

Maintainer: Peter Hoff <[e-mail]>

References

Hoff(2009)

Examples

Z<-matrix(rnorm(10*5),10,5) ; A<-t(Z)%*%Z 
B<-diag(sort(rexp(5),decreasing=TRUE))
U<-rbing.Op(A,B)
U<-rbing.matrix.gibbs(A,B,U)

U<-rmf.matrix(Z)
U<-rmf.matrix.gibbs(Z,U)