README.md

In j-g-b/uncoupled: Tools for nonparametric estimation of functions given uncoupled data.

uncoupled

R package implementing minimum-Wasserstein isotonic regression estimator from Rigollet and Weed (2019)

Implementation details

To implement Rigollet and Weed's relaxed minimum-Wasserstein estimator, we use projected subgradient descent on the Wasserstein-2 objective. This amounts to a two-step procedure where evaluation of the objective at each iteration also yields subgradients that are combined to update the true measure weights. The deconvolved measure weights are then updated with a subgradient step and projected onto the probability simplex.

j-g-b/uncoupled documentation built on Nov. 4, 2019, 2:14 p.m.