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Optimizes functions under orthonormal constraints (Stiefel Manifold)

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FOptM

This package includes a function to optimize functions under orthonormal constraints (Stiefel manifold) using the algorithm from the paper Zaiwen Wen and Wotao Yin. A Feasible method for Optimization with Orthogonality Constraints, Optimization Online, 11/2010. Also as Rice CAAM Tech Report TR10-26. It is a port of their MATLAB code, which can be found here.

Installation

You can install the package directly from Github using the devtools package.

# install.packages("devtools")
devtools::install_github("andland/FOptM")

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