regression.py 文件源码

def prox_l1(w, alpha):
    r"""Proximity operator for l1 norm.

    :math:`\\hat{\\alpha}_{l,m} = sign(u_{l,m})\\left||u_{l,m}| - \\alpha \\right|_+`
    Parameters
    ----------
    u : ndarray
        The vector (of the n-dimensional space) on witch we want
        to compute the proximal operator
    alpha : float
        regularisation parameter
    Returns
    -------
    ndarray : the vector corresponding to the application of the
             proximity operator to u
    """
    return np.sign(w) * np.maximum(np.abs(w) - alpha, 0.)