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1.15. Isotonic regression

The class IsotonicRegression fits a non-decreasing function to data. It solves the following problem:

minimize iwi(yiy^i)2

subject to y^min=y^1y^2...y^n=y^max

where each wi is strictly positive and each yi is an arbitrary real number. It yields the vector which is composed of non-decreasing elements the closest in terms of mean squared error. In practice this list of elements forms a function that is piecewise linear.

../_images/sphx_glr_plot_isotonic_regression_0011.png