FastSF: Fast Structural Filtering

An implementation of the fast structural filtering with L0 penalty. It includes an adaptive polynomial estimator by minimizing the least squares error with constraints on the number of breaks in their (k + 1)-st discrete derivative, for a chosen integer k >= 0. It also includes generalized structure sparsity constraint, i.e., graph trend filtering. This package is implemented via the primal dual active set algorithm, which formulates estimates and residuals as primal and dual variables, and utilizes efficient active set selection strategies based on the properties of the primal and dual variables.

Getting started

Package details

AuthorCanhong Wen, Xueqin Wang, Yanhe Shen, Aijun Zhang
MaintainerCanhong Wen <[email protected]>
LicenseGPL-3
Version0.1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("FastSF")

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FastSF documentation built on July 19, 2017, 9:02 a.m.