isotone (version 1.0-1)

lfSolver: General Least Squares Loss Function

Description

Solver for the general least squares monotone regression problem of the form (y-x)'W(y-x).

Usage

lfSolver(z, a, extra)

Arguments

z

Vector containing observed response

a

Matrix with active constraints

extra

List with element y containing the observed response vector and weights as weight matrix W which is not necessarily positive definite.

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 = lfSolver.

See Also

activeSet

Examples

##Fitting isotone regression 
set.seed(12345)
y <- rnorm(9)              ##response values
w <- diag(rep(1,9))        ##unit weight matrix
btota <- cbind(1:8, 2:9)   ##Matrix defining isotonicity (total order)
#fit.lf <- activeSet(btota, lfSolver, weights = w, y = y)