l0tf_c {FastSF}

L0 Trend Filtering

Description

This is a cpp function used for R function l0tf.

Usage

 l0tf_c(y, k0, T0, max_steps)

Arguments

y

Numeric vector of inputs.

k0

An integer specifying the desired order of the piecewise polyomial produced by the solution of the trend filtering problem.

T0

Number of knots in the piecewise polynomial(breaks in the (k+1)-st derivative).

max_steps

The maximum number of steps for the algorithm to take before termination.

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.