# Isotonic regression

In statistics, isotonic regression or monotonic regression is the technique of fitting a free-form line to a sequence of observations under the following constraints: the fitted free-form line has to be non-decreasing (or non-increasing) everywhere, and it has to lie as close to the observations as possible.

## Applications

Isotonic regression has applications in statistical inference. For example, one might use it to fit an isotonic curve to the means of some set of experimental results when an increase in those means according to some particular ordering is expected. A benefit of isotonic regression is that it is not constrained by any functional form, such as the linearity imposed by linear regression, as long as the function is monotonic increasing.

Another application is nonmetric multidimensional scaling, where a low-dimensional embedding for data points is sought such that order of distances between points in the embedding matches order of dissimilarity between points. Isotonic regression is used iteratively to fit ideal distances to preserve relative dissimilarity order.

Software for computing isotone (monotonic) regression has been developed for the R statistical package , the Stata statistical package and the Python programming language .

## Algorithms

In terms of numerical analysis, isotonic regression involves finding a weighted least-squares fit $x\in \mathbb {R} ^{n}$ to a vector $a\in \mathbb {R} ^{n}$ with weights vector $w\in \mathbb {R} ^{n}$ subject to a set of non-contradictory constraints of the kind $x_{i}\leq x_{j}$ . The usual choice for the constraints is $x_{i}\leq x_{i+1}$ , or in other words: every point must be at least as high as the previous point.

Such constraints define a partial ordering or total ordering and can be represented as a directed graph $G=(N,E)$ , where $N$ (nodes) is the set of variables (observed values) involved, and $E$ (edges) is the set of pairs $(i,j)$ for each constraint $x_{i}\leq x_{j}$ . Thus, the isotonic regression problem corresponds to the following quadratic program (QP):

$\min \sum _{i=1}^{n}w_{i}(x_{i}-a_{i})^{2}$ ${\text{subject to }}x_{i}\leq x_{j}{\text{ for all }}(i,j)\in E.$ In the case when $G=(N,E)$ is a total ordering, a simple iterative algorithm for solving this quadratic program is called the pool adjacent violators algorithm. Conversely, Best and Chakravarti (1990) studied the problem as an active set identification problem, and proposed a primal algorithm. These two algorithms can be seen as each other's dual, and both have a computational complexity of $O(n).$ ## Simply ordered case

To illustrate the above, let the $x_{i}\leq x_{j}$ constraints be $x_{1}\leq x_{2}\leq \ldots \leq x_{n}$ .

The isotonic estimator, $g^{*}$ , minimizes the weighted least squares-like condition:

$\min _{g\in {\mathcal {A}}}\sum _{i=1}^{n}w_{i}(g(x_{i})-f(x_{i}))^{2}$ where ${\mathcal {A}}$ is the set of all piecewise linear, non-decreasing, continuous functions and $f$ is a known function.

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