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Authors: Jan de Leeuw, Kurt Hornik, Patrick Mair
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Isotone Optimization in R: Pool-Adjacent-Violators Algorithm (PAVA) and Active Set Methods
Reference: Vol. 32, Issue 5, Oct 2009
Submitted 2009-03-27, Accepted 2009-09-30
Type: Article
Abstract:

In this paper we give a general framework for isotone optimization. First we discuss a generalized version of the pool-adjacent-violators algorithm (PAVA) to minimize a separable convex function with simple chain constraints. Besides of general convex functions we extend existing PAVA implementations in terms of observation weights, approaches for tie handling, and responses from repeated measurement designs. Since isotone optimization problems can be formulated as convex programming problems with linear constraints we the develop a primal active set method to solve such problem. This methodology is applied on specific loss functions relevant in statistics. Both approaches are implemented in the R package isotone.

Paper: [download]
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Isotone Optimization in R: Pool-Adjacent-Violators Algorithm (PAVA) and Active Set Methods
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Supplements: [download]
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isotone_1.0-0.tar.gz: R source package
(application/x-gzip, 476.3 KB)
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v32i05.R: R example code from the paper
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Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: Commons GNU General Public License License
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