CMLS: 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) <doi:10.1007/BF02591962> for a discussion of the underlying quadratic programming algorithm.

Version: 1.0-0
Depends: quadprog, parallel
Published: 2018-06-10
Author: Nathaniel E. Helwig
Maintainer: Nathaniel E. Helwig <helwig at umn.edu>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: CMLS results

Downloads:

Reference manual: CMLS.pdf
Package source: CMLS_1.0-0.tar.gz
Windows binaries: r-devel: CMLS_1.0-0.zip, r-release: CMLS_1.0-0.zip, r-oldrel: CMLS_1.0-0.zip
OS X binaries: r-release: CMLS_1.0-0.tgz, r-oldrel: not available

Reverse dependencies:

Reverse depends: multiway

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