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]