GrassmannOptim: An R Package for Grassmann Manifold Optimization

Kofi Placid Adragni, R. Dennis Cook and Seongho Wu

Journal of Statistical Software, 2012, vol. 050, issue i05

Abstract: The optimization of a real-valued objective function f(U), where U is a p X d,p > d, semi-orthogonal matrix such that UTU=Id, and f is invariant under right orthogonal transformation of U, is often referred to as a Grassmann manifold optimization. Manifold optimization appears in a wide variety of computational problems in the applied sciences. In this article, we present GrassmannOptim, an R package for Grassmann manifold optimization. The implementation uses gradient-based algorithms and embeds a stochastic gradient method for global search. We describe the algorithms, provide some illustrative examples on the relevance of manifold optimization and finally, show some practical usages of the package.

Date: 2012-07-20
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:050:i05

DOI: 10.18637/jss.v050.i05

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