An active-set based recursive approach for solving convex isotonic regression with generalized order restrictions
Optimization and Control
2023-04-04 v1 Computation
Abstract
This paper studies the convex isotonic regression with generalized order restrictions induced by a directed tree. The proposed model covers various intriguing optimization problems with shape or order restrictions, including the generalized nearly isotonic optimization and the total variation on a tree. Inspired by the success of the pool-adjacent-violator algorithm and its active-set interpretation, we propose an active-set based recursive approach for solving the underlying model. Unlike the brute-force approach that traverses an exponential number of possible active-set combinations, our algorithm has a polynomial time computational complexity under mild assumptions.
Cite
@article{arxiv.2304.00244,
title = {An active-set based recursive approach for solving convex isotonic regression with generalized order restrictions},
author = {Xuyu Chen and Xudong Li and Yangfeng Su},
journal= {arXiv preprint arXiv:2304.00244},
year = {2023}
}