projsplx_2: Projection onto simplex

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

computes the projection of a vector onto the simplex Δ^n

Usage

projsplx_2(y)

Arguments

y	vector to project onto the simplex

Details

The algorithm is based on a mini-paper by Chen and Ye (see refereneces)

Value

Vector

References

Yunmei Chen, Xiaojing Ye 2011. Projection Onto A Simplex http://arxiv.org/abs/1101.6081v2

Examples

y = runif(100, -10, 10)
projsplx(y)

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.