sum_largest {CVXR}

Sum of Largest Values

Description

The sum of the largest k values of a vector or matrix.

Usage

sum_largest(x, k)

Arguments

x

An Expression, vector, or matrix.

k

The number of largest values to sum over.

Value

An Expression representing the sum of the largest k values of the input.

Examples

set.seed(122)
m <- 300
n <- 9
X <- matrix(stats::rnorm(m*n), nrow = m, ncol = n)
X <- cbind(rep(1,m), X)
b <- c(0, 0.8, 0, 1, 0.2, 0, 0.4, 1, 0, 0.7)
y <- X %*% b + stats::rnorm(m)

beta <- Variable(n+1)
obj <- sum_largest((y - X %*% beta)^2, 100)
prob <- Problem(Minimize(obj))
result <- solve(prob)
result$getValue(beta)