hSolver {isotone} | R Documentation |
Solver for Huber's robust loss function.
hSolver(z, a, extra)
z |
Vector containing observed response |
a |
Matrix with active constraints |
extra |
List with element y containing the observed response vector and weights
with optional observation weights, and eps |
This function is called internally in activeSet
by setting mySolver = hSolver
.
x |
Vector containing the fitted values |
lbd |
Vector with Lagrange multipliers |
f |
Value of the target function |
gx |
Gradient at point x |
Huber, P. (1982). Robust Statistics. Chichester: Wiley.
##Fitting isotone regression using active set set.seed(12345) z <- 9:1 ##predictor values y <- rnorm(9) ##response values w <- rep(1,9) ##unit weights eps = 0.01 btota <- cbind(1:8, 2:9) ##Matrix defining isotonicity (total order) fit.huber <- activeSet(z, btota, hSolver, weights = w, y = y, eps = eps)