sum_smallest: Sum of Smallest Values

In CVXR: Disciplined Convex Optimization

Sum of Smallest Values

Description

The sum of the smallest k values of a vector or matrix.

Usage

sum_smallest(x, k)

Arguments

x	An Expression, vector, or matrix.
k	The number of smallest values to sum over.

Value

An Expression representing the sum of the smallest k values of the input.

Examples

set.seed(1323)
m <- 300
n <- 9
X <- matrix(stats::rnorm(m*n), nrow = m, ncol = n)
X <- cbind(rep(1,m), X)
b <- c(0, 0.8, 0, 1, 0.2, 0, 0.4, 1, 0, 0.7)
factor <- 2*rbinom(m, size = 1, prob = 0.8) - 1
y <- factor * (X %*% b) + stats::rnorm(m)

beta <- Variable(n+1)
obj <- sum_smallest(y - X %*% beta, 200)
prob <- Problem(Maximize(obj), list(0 <= beta, beta <= 1))
result <- solve(prob)
result$getValue(beta)

CVXR documentation built on June 27, 2024, 5:11 p.m.