pSolver {isotone} | R Documentation |
Solver for the general p-quantile monotone regression problem with optional weights.
pSolver(z, a, extra)
z |
Vector containing observed response |
a |
Matrix with active constraints |
extra |
List with element y containing the observed response vector, weights
with optional observation weights, aw and bw as quantile weights. |
This function is called internally in activeSet
by setting mySolver = pSolver
. Note
that if aw
= bw
, we get the weighted median and therefore we solved the weighted absolute norm.
x |
Vector containing the fitted values |
lbd |
Vector with Lagrange multipliers |
f |
Value of the target function |
gx |
Gradient at point x |
Koenker, R. (2005). Quantile regression. Cambridge, MA: Cambridge University Press.
##Fitting quantile regression set.seed(12345) z <- 9:1 ##predictor values y <- rnorm(9) ##response values w <- rep(1,9) ##unit weights btota <- cbind(1:8, 2:9) ##Matrix defining isotonicity (total order) #fit.p <- activeSet(z, btota, pSolver, weights = w, y = y, aw = 0.3, bw = 0.7)