l0fused_c {FastSF}

L0 Fused Regression

Description

This is a cpp function used for R function l0fused.

Usage

 l0fused_c(y, T0, max_steps)

Arguments

y

Response sequence to be fitted.

T0

Number of knots in the piecewise constant(breaks in the derivative), i.e., the same as s.

max_steps

The maximum number of steps for the algorithm to take before termination, i.e., the same as K.max.

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.