| prox {npmr} | R Documentation |
Proximal operator for nuclear norm
Description
Return the value of the proximal operator of the nuclear norm (scaled by
threshold) applied to a matrix
Usage
prox(B, threshold, group)
Arguments
B |
matrix |
threshold |
scaling factor applied to the nuclear norm. In proximal gradient descent for NPMR, this is the product of the stepsize and the regularization parameter lambda |
group |
Vector of length equal to number of variables, i.e. nrow(B). Variables in the same group indexed by a POSITIVE integer will be penalized together (the nuclear norm of the sub-matrix of the regression coefficients will be penalized). Variables without positive integers will NOT be penalized. Default is NULL, which means there are no sub-groups; nuclear norm of entire coefficient matrix is penalized. |
Value
the value of the proximal operator of the nuclear norm (scaled by
threshold) applied to B
Author(s)
Scott Powers, Trevor Hastie, Rob Tibshirani
References
Neal Parikh and Stephen Boyd (2013) “Proximal algorithms.” Foundations and Trends in Optimization 1, 3:123-231.