Total variation denoising

Solver for standard 1-D total variation denoising problem:

The algorithm is exact up to floating point rounding error and run in worst-case linear time in the input size.

Reference: https://en.wikipedia.org/wiki/Total_variation_denoising

Usage

It is sufficient to include file tvf.hpp, no precompilation necessary.

  #include "tvf.hpp"
  
  const std::vector<double> input {0, 10, 0};
  const double lambda = 0.5;
  
  std::vector<double> output (input.size ());

  tvf::total_variation_denoise (
    input.begin (), input.end (),
    lambda,
    output.begin ());