proxGroupSortedL1 | R Documentation |
Evaluate the proximal mapping for the group SLOPE problem.
proxGroupSortedL1(y, group, lambda, ...)
y |
The response vector |
group |
Either a vector or an object of class |
lambda |
A decreasing sequence of regularization parameters |
... |
Options passed to |
proxGroupSortedL1
evaluates the proximal mapping of the group SLOPE
problem by reducing it to the prox for the (regular) SLOPE and then applying
the fast prox algorithm for the Sorted L1 norm.
The solution vector.
M. Bogdan, E. van den Berg, C. Sabatti, W. Su, E. Candes (2015), SLOPE – Adaptive variable selection via convex optimization, https://arxiv.org/abs/1407.3824
grp <- c(0,0,0,1,1,0,2,1,0,2)
proxGroupSortedL1(y = 1:10, group = grp, lambda = c(10, 9, 8))
# [1] 0.2032270 0.4064540 0.6096810 0.8771198 1.0963997 1.2193620 1.3338960
# [8] 1.7542395 1.8290430 1.9055657
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