GrassmannOptim: An R Package for Grassmann Manifold Optimization

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Authors Kofi P. Adragni, R. Dennis Cook, Seongho Wu
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper 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 of publication 2012
Code Programming Language R

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