hSolver function

Huber Loss Function

Solver for Huber's robust loss function.

hSolver(z, a, extra)

Arguments

• z: Vector containing observed response

• a: Matrix with active constraints

• extra: List with element y containing the observed response vector and weights

  with optional observation weights, and eps

Details

This function is called internally in activeSet by setting mySolver = hSolver.

Returns

• x: Vector containing the fitted values

• lbd: Vector with Lagrange multipliers

• f: Value of the target function

• gx: Gradient at point x

References

Huber, P. (1982). Robust Statistics. Chichester: Wiley.

See Also

activeSet

Examples

##Fitting isotone regression using active set
set.seed(12345)
y <- rnorm(9)              ##response values
w <- rep(1,9)              ##unit weights
eps <- 0.01
btota <- cbind(1:8, 2:9)   ##Matrix defining isotonicity (total order)
fit.huber <- activeSet(btota, hSolver, weights = w, y = y, eps = eps)