Implementation of regression with graph-based regularization. See Li et al. (2019) \<arXiv:1803.07658>
Install using devtools package:
devtools::install_github("hsong1/GTV")
Linear regression with simulated data at particular lambdas, e.g. (\lambda_{TV} = 0.1, \lambda_S = 0.1, \lambda_1 = 0.1).
library(GTV)
data(exampleGTV)
fit0 = with(exampleGTV, gtv(X = X,y = y,Sigma = Sigma,lam_TV = 0.1,lam_S = 0.1,lam_1 = 0.1))
head(coef(fit0))
Linear regression with simulated data where we choose lambdas via 5-fold cross-validation.
set.seed(1234)
fit1 = with(exampleGTV, cv.gtv(X = X,y = y,Sigma = Sigma,parallel = T))
head(coef(fit1))
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