Isotonic Regression
Overview
Isotonic regression estimates a function that respects a known ordering in the data, often by minimizing prediction error subject to monotonicity constraints; the pool-adjacent-violators algorithm is a standard efficient solver. It is used for probability calibration, survival prediction, paired-comparison ranking, and correcting scores from models or benchmarks. Extensions include groupwise calibration and multidimensional methods that impose monotonicity through optimal transport, while theoretical analyses study finite-sample complexity and calibration guarantees. A central challenge is balancing flexible calibration against overfitting and loss of discrimination, with performance depending on sample size, operating conditions, and the metric used.
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