isotone (version 1.0-1)

fSolver: 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

Value

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

Details

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

See Also

activeSet

Examples

##Fitting isotone regression using active set (L2-norm user-specified)
set.seed(12345)
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(btota, fSolver, fobj = function(x) sum(w*(x-y)^2), gobj = function(x) 2*drop(w*(x-y)), y = y, weights = w)