Second order total variation [feature request] about proxtv

[albarji]

Hi Alex! Thanks for your interest in proxTV. I must admit I have not been giving maintenance to this library for more than a year now. Since then I have moved on from Total Variation to other research topics. I did some research into second-order TV some years ago, but did not come down to write an implementation for proxTV.

I'm afraid I won't have time to add this feature, but if you want to try developing it yourself I would suggest to start by looking at the C implementations of the other methods, which you can find in the src folder. I must admit the code is not easy to follow, as efficiency is a priority over clarity.

If you are able to implement a C function for second order taut-string, the following steps should be adding a Python interface (here) and some tests to make sure the implementation works (here). If you prefer Matlab instead, the interface functions can be found in the matlab folder.

[Vldchlms]

Hi Alex,

I would recommend you the check a recent paper

Multivariate Trend Filtering for Lattice Data