[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?


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.


Rolf Turner

Technical Editor ANZJS
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276

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