An active-set based recursive approach for solving convex isotonic regression with generalized order restrictions

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.