`l1_tf`: Software for l1 Trend Filtering

Version Beta (May 2008)

Kwangmoo Koh,
Seung-Jean Kim, and
Stephen Boyd

## Purpose

`l1_tf` is an implementation of the interior-point method
for trend filtering (also called trend estimation)
described in the paper
*l1 Trend
Filtering*.
`l1_tf` solves an optimization problem of the form

where the variable is

, and the problem data are

and

. Here,

is the second-order difference matrix

The figure below shows the l1 trend filtering
result for (the log of) the S&P 500 index for the period March
25, 1999 to March 9, 2007, with .

## Feedback

Please report any bugs to Kwangmoo Koh <deneb1@stanford.edu>, Seung-Jean Kim <sjkim@stanford.edu> or Stephen Boyd <boyd@stanford.edu>.

## Download

`l1_tf` is distributed under the terms of the GNU General Public License 2.0.

`l1_tf` is implemented in both Matlab and C.

Boyd’s research group page.