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ABSTRACT:
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.

SUGGESTED CITATION:
Jan de Leeuw, "Active Set Methods for Isotone Optimization" (October 9, 2008). Department of Statistics, UCLA. Department of Statistics Papers. Paper 2008100901.
http://repositories.cdlib.org/uclastat/papers/2008100901