thresh.l1 {rpca} | R Documentation |
Shrinkage operator: S[x] = sgn(x) max(|x| - thr, 0). For description see section 5 of Candès, E. J., Li, X., Ma, Y., & Wright, J. (2011). Robust principal component analysis?.
thresh.l1(x, thr)
x |
a vector or a matrix. |
thr |
threshold >= 0 to shrink with. |
S[x] = sgn(x) max(|x| - thr, 0)
Candès, E. J., Li, X., Ma, Y., & Wright, J. (2011). Robust principal component analysis?. Journal of the ACM (JACM), 58(3), 11
Yuan, X., & Yang, J. (2009). Sparse and low-rank matrix decomposition via alternating direction methods. preprint, 12.
## The function is currently defined as function(x,thr){sign(x)*pmax(abs(x)-thr,0)} summary(thresh.l1(runif(100),0.3))