jointseg (version 1.0.2)

leftMultiplyByXt: leftMultiplyByXt

Description

Compute X'*Y where X is the n*(n-1) design matrix for the weighted group fused Lasso, with weights defined by the vector w, and Y is any n*p matrix. The computation is done in O(np).

Usage

leftMultiplyByXt(Y, w = defaultWeights(nrow(Y)), verbose = FALSE)

Arguments

Y

A n*p matrix

w

(n-1)*1 vector of weights

verbose

A logical value: should extra information be output ? Defaults to FALSE.

Value

The (n-1)*p matrix equal to X'*Y

Details

This implementation is derived from the MATLAB code of Vert and Bleakley: http://cbio.ensmp.fr/GFLseg.\

Contrary to getUnivStat it does not handle missing values.

References

Bleakley, K., & Vert, J. P. (2011). The group fused lasso for multiple change-point detection. arXiv preprint arXiv:1106.4199.\ Vert, J. P., & Bleakley, K. (2010). Fast detection of multiple change-points shared by many signals using group LARS. Advances in Neural Information Processing Systems, 23, 2343-2351.

Examples

# NOT RUN {
Y <- matrix(rnorm(20), ncol=2)
C <- leftMultiplyByXt(Y)

# }