Description Usage Arguments Details Value Author(s) References Examples
Compute r = inv(X(:,ind)'*X(:,ind))*b , where X is the n*(n-1) design matrix for the weighted group fused lasso.
1 | leftMultiplyByInvXAtXA(n, ind, val, w = defaultWeights(n), verbose = FALSE)
|
n |
The size of X is n*(n-1) |
ind |
a*1 vector of indices between 1 and n-1, sorted in increasing order |
val |
a*p matrix |
w |
(n-1)*1 vector of weights |
verbose |
A |
This implementation is derived from the MATLAB code of Vert and Bleakley: http://cbio.ensmp.fr/GFLseg.\
r |
the (n-1)*p matrix equal to X'*Y |
Morgane Pierre-Jean and Pierre Neuvial
Bleakley, K., & Vert, J. P. (2011). The group fused lasso for multiple change-point detection. arXiv preprint arXiv:1106.4199.
Vert, J. P., & Bleakley, K. (2010). Fast detection of multiple change-points shared by many signals using group LARS. Advances in Neural Information Processing Systems, 23, 2343-2351.
1 2 3 4 5 6 7 8 | val <- matrix(c(1.56, 1.35, 1.26, 1.15), ncol=2)
ind <- c(5,6)
n <- 10
res <- leftMultiplyByInvXAtXA(n=n, ind=ind, val=val)
res
## [,1] [,2]
## [1,] 1.373189 0.9630868
## [2,] 0.228796 0.3636429
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