Multiplies a given vector by H, the falling factorial basis matrix of a given order, with respect to given design points.
h_mat_mult(v, k, xd, di_weighting = FALSE, transpose = FALSE, inverse = FALSE)Vector to be multiplied by H, the falling factorial basis matrix.
Order for the falling factorial basis matrix. Must be >= 0.
Design points. Must be sorted in increasing order, and have length
at least k+1.
Should "discrete integration weighting" be used?
Multiplication by such a weighted H gives discrete integrals at the
design points; see details for more information. The default is FALSE.
Multiply by the transpose of H? The default is FALSE.
Multiply by the inverse of H? The default is FALSE.
Product of falling factorial basis matrix H and the input vector v.
The falling factorial basis matrix of order \(k\), with respect to
design points \(x_1 < \ldots < x_n\), is denoted \(H^k_n\). Its entries
are defined as:
$$
(H^k_n)_{ij} = h^k_j(x_i),
$$
where \(h^k_j\) is the \(j\)th falling factorial basis function, as
defined in the help file for h_mat(). The matrix \(H^k_n\) can be
constructed recursively as the product of \(H^{k-1}_n\) and a
diagonally-weighted cumulative sum matrix; see the help file for h_mat(),
or Section 6.3 of Tibshirani (2020). Therefore, multiplication by
\(H^k_n\) or by its transpose can be performed in \(O(nk)\) operations
based on iterated weighted cumulative sums. See Appendix D of Tibshirani
(2020) for details.
The option di_weighting = TRUE performs multiplication by \(H^k_n
Z^{k+1}_n\) where \(Z^{k+1}_n\) is an \(n \times n\) diagonal matrix
whose first \(k+1\) diagonal entries of \(Z^{k+1}_n\) are 1 and last
\(n-k-1\) diagonal entries are \((x_{i+k+1} - x_i) / (k+1)\), \(i =
1,\ldots,n-k-1\). The connection to discrete integration is as follows:
multiplication of \(v = f(x_{1:n})\) by \(H^k_n Z^{k+1}_n\) gives order
\(k+1\) discrete integrals (note the increment in order of integration
here) of \(f\) at the points \(x_{1:n}\):
$$
H^k_n Z^{k+1}_n v = (S^{k+1}_n f)(x_{1:n}).
$$
Lastly, the matrix \(H^k_n\) has a special inverse relationship to the extended discrete derivative matrix \(B^{k+1}_n\) of degree \(k+1\); it satisfies: $$ H^k_n Z^{k+1}_n B^{k+1}_n = I_n, $$ where \(Z^{k+1}_n\) is the \(n \times n\) diagonal matrix as described above, and \(I_n\) is the \(n \times n\) identity matrix. This, combined with the fact that the extended discrete derivative matrix has an efficient recursive representation in terms of weighted differences, means that multiplying by \((H^k_n)^{-1}\) or its transpose can be performed in \(O(nk)\) operations. See Section 6.2 and Appendix D of Tibshirani (2020) for details.
Tibshirani (2020), "Divided differences, falling factorials, and discrete splines: Another look at trend filtering and related problems", Section 6.2.
discrete_integ() for discrete integration at arbitrary query
points, and h_mat() for constructing the falling factorial basis matrix.