l0gen_c: L0 Generalized Regression

In FastSF: Fast Structural Filtering

Description

This is a cpp function used for R function l0gen.

Usage

 l0gen_c(y, D, T0, max_steps, ddinv)

Arguments

y	Response sequence to be filtered.
D	Penalty matrix on coeffient beta.
T0	Number of knots in the penalized coefficient(breaks in the D*beta), same as s.
max_steps	The maximum number of steps for the algorithm to take before termination. Same as K.max.
ddinv	The inverse matrix of D*t(D), could be NULL input.

Value

beta	Fitted value.
u	Dual coefficient.
z	Primal coefficient.

Author(s)

Canhong Wen, Xueqin Wang, Yanhe Shen, Aijun Zhang

References

Wen,C., Wang, X., Shen, Y., and Zhang, A. (2017). "L0 trend filtering", technical report.

FastSF documentation built on May 2, 2019, 8:27 a.m.