Last data update: 2014.03.03
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R: User-Specified Loss Function
User-Specified Loss Function
Description
Specification of a differentiable convex loss function.
Usage
fSolver(z, a, extra)
Arguments
z |
Vector containing observed response
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a |
Matrix with active constraints
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extra |
List with element fobj containing the target function and gobj with the
first derivative
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Details
This function is called internally in activeSet by setting mySolver = fSolver . It uses
optim() with "BFGS" for optimization.
Value
x |
Vector containing the fitted values
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lbd |
Vector with Lagrange multipliers
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f |
Value of the target function
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gx |
Gradient at point x
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See Also
activeSet
Examples
##Fitting isotone regression using active set (L2-norm user-specified)
set.seed(12345)
y <- rnorm(9) ##response values
w <- rep(1,9) ##unit weights
btota <- cbind(1:8, 2:9) ##Matrix defining isotonicity (total order)
fit.convex <- activeSet(btota, fSolver, fobj = function(x) sum(w*(x-y)^2),
gobj = function(x) 2*drop(w*(x-y)), y = y, weights = w)
Results
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