Fast Structural Filtering

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.


Reference manual

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0.1.1 by Canhong Wen, 2 years ago

Browse source code at

Authors: Canhong Wen , Xueqin Wang , Yanhe Shen , Aijun Zhang

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, limSolve

Linking to Rcpp, RcppArmadillo

See at CRAN