l0gen_c {FastSF}

L0 Generalized Regression

Description

This is a cpp function used for R function l0gen.

Usage

 l0gen_c(y, D, T0, max_steps, ddinv)

Arguments

y

Response sequence to be filtered.

D

Penalty matrix on coeffient beta.

T0

Number of knots in the penalized coefficient(breaks in the D*beta), same as s.

max_steps

The maximum number of steps for the algorithm to take before termination. Same as K.max.

ddinv

The inverse matrix of D*t(D), could be NULL input.

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.