prox_sorted_L1 {SLOPE} | R Documentation |
Compute the prox for the sorted L1 norm. That is, given a vector x and a decreasing vector λ, compute the unique value of y minimizing
\frac{1}{2} \Vert x - y \Vert_2^2 + ∑_{i=1}^n λ_i |x|_{(i)}.
prox_sorted_L1(x, lambda, method = c("c", "isotone"))
x |
input vector |
lambda |
vector of λ's, sorted in decreasing order |
method |
underlying prox implementation, either 'c' or 'isotone' (see Details) |
At present, two methods for computing the sorted L1 prox are
supported. By default, we use a fast custom C implementation. Since SLOPE
can be viewed as an isotonic regression problem, the prox can also be
computed using the isotone
package. This option is provided
primarily for testing.