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2003 Feb 19
4
fitting a curve according to a custom loss function
Dear R-Users,
I need to find a smooth function f() and coefficients a_i that give the best
fit to
y ~ a_0 + a_1*f(x_1) + a_2*f(x_2)
Note that it is the same non-linear transformation f() that is applied to
both x_1 and x_2.
So my first question is how can I do it in R?
A more general question is this: suppose I have a utility function U(a_i,
f()), where f() is say a spline. Is there a general