A Python library using Cython for using ℓ₁ (L1) trend filtering algorithm developed by Kim et al. (2009):
Kim, S. J., Koh, K., Boyd, S., & Gorinevsky, D. (2009). ℓ₁ trend filtering. SIAM review, 51(2), 339-360. DOI: 10.1137/070690274
import cyl1tf
fit = cyl1tf.calc_fit(xy, rel_scale=0.01)See example.ipynb.
Please cite this software using the DOI.