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Department of Statistics, UCLA

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Active Set Methods for Isotone Optimization

  • Author(s): Jan de Leeuw;
  • et al.

Isotone optimization is formulated as a convex programming problem with simple linear constraints. A R implementation of a particular active set strategy is discussed, and applied to various isotone optimization problems important in statistics. The implementation is user-extendable, and handles a great many convex loss functions and partial orders.

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