sl0fused_c

Number of knots in the piecewise constant(breaks in the derivative).

Number of non-zero values in fitted coefficient.

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

max_steps

This is a cpp function used for R function sl0fused.

An implementation of the fast structural filtering with L0 penalty. It includes an adaptive polynomial estimator by minimizing the least squares error with constraints on the number of breaks in their (k + 1)-st discrete derivative, for a chosen integer k >= 0. It also includes generalized structure sparsity constraint, i.e., graph trend filtering. This package is implemented via the primal dual active set algorithm, which formulates estimates and residuals as primal and dual variables, and utilizes efficient active set selection strategies based on the properties of the primal and dual variables.

sl0fused_c: Sparse L0 Fused Regression

Description

Usage

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Value

References