KWDual {REBayes} | R Documentation |
Dual optimization for Kiefer-Wolfowitz problems
Description
Interface function for calls to optimizer from various REBayes functions There is currently only one option for the optimization that based on Mosek. It relies on the Rmosek interface to R see installation instructions in the Readme file in the inst directory of this package. This version of the function is intended to work with versions of Mosek after 7.0.
Usage
KWDual(A, d, w, ...)
Arguments
A |
Linear constraint matrix |
d |
constraint vector |
w |
weights for |
... |
other parameters passed to control optimization: These may
include |
Value
Returns a list with components:
f |
dual solution vector, the mixing density |
g |
primal solution vector, the mixture density evaluated at the data points |
logLik |
log likelihood |
status |
return status from Mosek |
. Mosek termination messages are treated as warnings from an R perspective since solutions producing, for example, MSK_RES_TRM_STALL: The optimizer is terminated due to slow progress, may still provide a satisfactory solution, especially when the return status variable is "optimal".
Author(s)
R. Koenker
References
Koenker, R and I. Mizera, (2013) “Convex Optimization, Shape Constraints, Compound Decisions, and Empirical Bayes Rules,” JASA, 109, 674–685.
Mosek Aps (2015) Users Guide to the R-to-Mosek Optimization Interface, https://docs.mosek.com/8.1/rmosek/index.html.
Koenker, R. and J. Gu, (2017) REBayes: An R Package for Empirical Bayes Mixture Methods, Journal of Statistical Software, 82, 1–26.