[R] OT -- isotonic regression subject to bound constraints.
Rolf Turner
r.turner at auckland.ac.nz
Mon Dec 11 19:23:15 CET 2017
On 12/12/17 07:15, Rolf Turner wrote:
>
> Well, I could argue that it's not *completely* OT since my question is
> motivated by an enquiry that I received in respect of a CRAN package
> "Iso" that I wrote and maintain.
>
> The question is this: Given observations y_1, ..., y_n, what is the
> solution to the problem:
>
> minimise \sum_{i=1}^n (y_i - y_i^*)^2
>
> with respect to y_1^*, ..., y_n^* subject to the "isotonic" constraint
> y_1^* <= y_2^* <= ... <= y_n^* and the *additional8 bound constraint
> a <= y_1^* and y_n^* <= b, where a and b are given constants?
<SNIP>
Scrub that question! *Just* after I sent it (wouldn't you know!) I got
an email from my original enquirer telling me that he'd found the
solution in the package OrdMonReg on CRAN.
Sorry for the noise.
cheers,
Rolf Turner
--
Technical Editor ANZJS
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276
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