groupsoft: Group soft-thresholding operator

In vimpclust: Variable Importance in Clustering

Description

This function implements the group soft-thresholding operator for a vector which elements are priorly split into groups. For the complete mathematical formulation, the reader may refer to the references below.

Usage

groupsoft(b, lambda, index = 1:length(b), sizegroup = TRUE)

Arguments

b	a numerical vector.
lambda	a positive scalar containing the regularization parameter.
index	a vector of integers of size length(b) containing the group membership for each element of b. By default, index=1:length(b) i.e. each element of b constitutes its own group.
sizegroup	a boolean. if TRUE, the size of the groups is taken into account in the thresholding operation.

Value

Returns the sparse vector after the group soft-thresholding operation.

References

M. Chavent, J. Lacaille, A. Mourer and M. Olteanu (2020). Sparse k-means for mixed data via group-sparse clustering, to appear in ESANN proceedings.

M. Yuan and Y. Lin (2006). Model selection and estimation in regression with grouped variables. J. R. Statist. Soc. B, Vol. 68(1), p. 49-67.

See Also

groupsparsewkm

Examples

b <- c(0.1, 0.2, 0.8, 0.1, 0.1, 0.3)
index <- c(1,1,2,2,3,3)
lambda <- 0.1
groupsoft(b=b, lambda=lambda, index=index, sizegroup=TRUE)
lambda <- 0.3
groupsoft(b=b, lambda=lambda, index=index, sizegroup=TRUE)
lambda <- 0.8
groupsoft(b=b, lambda=lambda, index=index, sizegroup=TRUE)

vimpclust documentation built on Jan. 8, 2021, 5:34 p.m.