proximalOperators: Proximal operators

In bozenne/lava.penalty: Penalized Latent Variable Models

Description

Proximal operators for the lasso, ridge, group lasso and nuclear norm penalties.

Usage

proxL1(x, step, lambda)

proxL2(x, step, lambda)

proxE2(x, step, lambda)

proxNuclear(x, step, lambda, nrow, ncol)

Arguments

x	value of the coefficients
step	value of the step size. Should be between 0 and the inverse of the Lipschitw constant of grad f
lambda	value of the penalization parameter
nrow	the number of rows of the matrix of coefficients
ncol	the number of columns of the matrix of coefficients

Value

the updated vector of coefficients

bozenne/lava.penalty documentation built on May 13, 2019, 1:41 a.m.