BoundedIsoMeanTwoDykstra: Compute solution to the problem of two ordered isotonic or antitonic curves
Description
See details below.Usage
BoundedIsoMeanTwoDykstra(g1, w1, g2, w2, K1 = 1000, delta = 10^(-8), output = TRUE)
Arguments
g1
Vector in $R^n$, measurements of upper function.
w1
Vector in $R^n$, weights for upper function.
g2
Vector in $R^n$, measurements of lower function.
w2
Vector in $R^n$, weights for lower function.
K1
Upper bound on number of iterations.
delta
Upper bound on the error, defines stopping criterion.
output
Should intermediate results be output?
Value
- g1
- The estimated function $\hat g_1^\circ$.
- g2
- The estimated function $\hat g_2^\circ$.
- L
- Value of the least squares criterion at the minimum.
- error
- Value of error (norm of difference two consecutive projections).
- k
- Number of iterations performed.
Warning
Note that we have chosen a very simply stopping criterion here, namely the algorithm stops
if the norm of two consecutive projections is smaller than $\delta$. If $n$ is very small, it may happen
that two consecutive projections are equal although $L$ is not yet minimal (note that this typically happens
if g1
= g2
). If that is the case, we suggest to set $\delta < 0$ and let the algorithm run
a sufficient number of iterations (specified by K1
) to verify that the least squares criterion value
can not be decreased anymore.Details
See BoundedIsoMeanTwo
for a description of the problem. This function computes the estimates
via Dykstra's (see Dykstra, 1983) cyclical projection algorithm.The algorithm is implemented for isotonic curves.
References
Balabdaoui, F., Rufibach, K., Santambrogio, F. (2009).
Least squares estimation of two ordered monotone regression curves.
Preprint.Dykstra, R.L. (1983).
An Algorithm for Restricted Least Squares Regression.
J. Amer. Statist. Assoc., 78, 837--842.
See Also
The functions BoundedAntiMean
and BoundedIsoMean
for the problem of
estimating one antitonic (isotonic) regression
function bounded above and below by fixed functions. The function BoundedAntiMeanTwoDykstra
depends
on the functions discussed in minK
.Examples
Run this code## examples are provided in the help file of the main function of this package:
?BoundedIsoMeanTwo
Run the code above in your browser using DataLab