sortedL1Prox | R Documentation |
The proximal operator for the Sorted L1 Norm, which is the penalty function in SLOPE. It solves the problem
argmin_x (J(x, λ) + 0.5||x - v||_2^2)
where J(x, λ) is the Sorted L1 Norm.
sortedL1Prox(x, lambda, method = c("stack", "pava"))
x |
A vector. In SLOPE, this is the vector of coefficients. |
lambda |
A non-negative and decreasing sequence
of weights for the Sorted L1 Norm. Needs to be the same length as
|
method |
Method used in the prox. |
An evaluation of the proximal operator at x
and lambda
.
M. Bogdan, E. van den Berg, Chiara Sabatti, Weijie Su, and Emmanuel J. Candès, “SLOPE – adaptive variable selection via convex optimization,” Ann Appl Stat, vol. 9, no. 3, pp. 1103–1140, 2015, doi: 10.1214/15-AOAS842.
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