PiS | R Documentation |
Projection (with respect to the inner product defined by the Frobenius norm) of a matrix onto the unit sphere defined by the nuclear norm.
PiS(M)
M |
Input matrix |
This is an auxiliary function used by the InspectChangepoint
package. The projection is achieved by first performing a singular value decomposition, then projecting the vector of singular values onto the standard simplex, and finally using singular value decomposition in reverse to build the projected matrix.
A matrix of the same dimension as the input is returned.
M <- matrix(rnorm(20),4,5) PiS(M)
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