isotone (version 1.1-1)

fSolver: User-Specified Loss Function

Description

Specification of a differentiable convex loss function.

Usage

fSolver(z, a, extra)

Value

x

Vector containing the fitted values

lbd

Vector with Lagrange multipliers

f

Value of the target function

gx

Gradient at point x

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.

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)