mgss: A Matrix-Free Multigrid Preconditioner for Spline Smoothing

Data smoothing with penalized splines is a popular method and is well established for one- or two-dimensional covariates. The extension to multiple covariates is straightforward but suffers from exponentially increasing memory requirements and computational complexity. This toolbox provides a matrix-free implementation of a conjugate gradient (CG) method for the regularized least squares problem resulting from tensor product B-spline smoothing with multivariate and scattered data. It further provides matrix-free preconditioned versions of the CG-algorithm where the user can choose between a simpler diagonal preconditioner and an advanced geometric multigrid preconditioner. The main advantage is that all algorithms are performed matrix-free and therefore require only a small amount of memory. For further detail see Siebenborn & Wagner (2021).

Package details

AuthorMartin Siebenborn [aut, cre, cph], Julian Wagner [aut, cph]
MaintainerMartin Siebenborn <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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mgss documentation built on May 10, 2021, 9:07 a.m.