lfSolver {isotone}R Documentation

General Least Squares Loss Function

Description

Solver for the general least squares monotone regression problem of the form (y-x)'W(y-x).

Usage

lfSolver(z, a, extra)

Arguments

z Vector containing observed response
a Matrix with active constraints
extra List with element y containing the observed response vector and weights as weight matrix W which is not necessarily positive definite.

Details

This function is called internally in activeSet by setting mySolver = lfSolver.

Value

x Vector containing the fitted values
lbd Vector with Lagrange multipliers
f Value of the target function
gx Gradient at point x

See Also

activeSet

Examples


##Fitting isotone regression 
set.seed(12345)
z <- 9:1                   ##predictor values
y <- rnorm(9)              ##response values
w <- diag(rep(1,9))        ##unit weight matrix
btota <- cbind(1:8, 2:9)   ##Matrix defining isotonicity (total order)
#fit.lf <- activeSet(z, btota, lfSolver, weights = w, y = y)


[Package isotone version 0.8-1 Index]