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Isotone Optimization in R: Pool-Adjacent-Violators Algorithm (PAVA) and Active Set Methods

Mair, Patrick and Hornik, Kurt and de Leeuw, Jan (2009) Isotone Optimization in R: Pool-Adjacent-Violators Algorithm (PAVA) and Active Set Methods. Journal of Statistical Software, 32 (5). pp. 1-24. ISSN 1548-7660

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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. (authors' abstract)

Item Type: Article
Keywords: isotone optimization / PAVA / monotone regression / active set / R
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics > Hornik
Version of the Document: Published
Variance from Published Version: None
Depositing User: ePub Administrator
Date Deposited: 16 Oct 2013 14:57
Last Modified: 16 Apr 2016 19:46
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/49144/
URI: http://epub.wu.ac.at/id/eprint/3993


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