fSolver {isotone}R Documentation

User-Specified Loss Function

Description

Specification of a differentiable convex loss function.

Usage

fSolver(z, a, extra)

Arguments

z Vector containing observed response
a Matrix with active constraints
extra List with element fobj containing the target function and gobj with the first derivative

Details

This function is called internally in activeSet by setting mySolver = fSolver. It uses optim() with "BFGS" for optimization.

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 using active set (L2-norm user-specified)
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.convex <- activeSet(z, btota, fSolver, fobj = function(x) sum(w*(x-y)^2), gobj = function(x) 2*drop(w*(x-y)))

[Package isotone version 0.8-1 Index]