l0gen_c {FastSF} | R Documentation |
This is a cpp function used for R function l0gen.
l0gen_c(y, D, T0, max_steps, ddinv)
y |
Response sequence to be filtered. |
D |
Penalty matrix on coeffient beta. |
T0 |
Number of knots in the penalized coefficient(breaks in the |
max_steps |
The maximum number of steps for the algorithm to take before termination. Same as K.max. |
ddinv |
The inverse matrix of |
beta |
Fitted value. |
u |
Dual coefficient. |
z |
Primal coefficient. |
Canhong Wen, Xueqin Wang, Yanhe Shen, Aijun Zhang
Wen,C., Wang, X., Shen, Y., and Zhang, A. (2017). "L0 trend filtering", technical report.