l0tf_c: L0 Trend Filtering

In FastSF: Fast Structural Filtering

Description

This is a cpp function used for R function l0tf.

Usage

 l0tf_c(y, k0, T0, max_steps)

Arguments

y	Numeric vector of inputs.
k0	An integer specifying the desired order of the piecewise polyomial produced by the solution of the trend filtering problem.
T0	Number of knots in the piecewise polynomial(breaks in the (k+1)-st derivative).
max_steps	The maximum number of steps for the algorithm to take before termination.

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.