Quotation de Leeuw, Jan, Hornik, Kurt, Mair, Patrick. 2009. Isotone optimization in R: Pool-adjacent-violators algorithm (PAVA) and active set methods. Department of Statistics, UCLA, Department of Statistics Papers, Report 2009040702.


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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 then 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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Isotone optimization in R: Pool-adjacent-violators algorithm (PAVA) and active set methods
Title of whole publication Department of Statistics, UCLA, Department of Statistics Papers, Report 2009040702
Year 2009
URL http://repositories.cdlib.org/uclastat/papers/2009040702/

Associations

People
Hornik, Kurt (Details)
Mair, Patrick (Former researcher)
External
de Leeuw, Jan
Organization
Institut f. Präsides SO (Details)
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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