function [x,r,g,info] = spg_lasso(A,b,tau,options ) %SPG_LASSO Solve the LASSO problem % % SPG_LASSO is designed to solve the LASSO problem % % (LASSO) minimize ||AX - B||_2 subject to ||X||_1 <= tau, % % where A is an M-by-N matrix, B is an M-vector, and TAU is a % nonnegative scalar. In all cases below, A can be an explicit M-by-N % matrix or matrix-like object for which the operations A*x and A'*y % are defined (i.e., matrix-vector multiplication with A and its % adjoint.) % % Also, A can be a function handle that points to a function with the % signature % % v = A(w,mode) which returns v = A *w if mode == 1; % v = A'*w if mode == 2. % % X = SPG_LASSO(A,B,TAU) solves the LASSO problem. % % X = SPG_LASSO(A,B,TAU,OPTIONS) specifies options that are set using % SPGSETPARMS. % % [X,R,G,INFO] = SPG_LASSO(A,B,TAU,OPTIONS) additionally returns the % residual R = B - A*X, the objective gradient G = A'*R, and an INFO % structure. (See SPGL1 for a description of this last output argument.) % % See also spgl1, spgSetParms, spg_bp, spg_bpdn. % Copyright 2008, Ewout van den Berg and Michael P. Friedlander % http://www.cs.ubc.ca/labs/scl/spgl1 % $Id: spg_lasso.m 1074 2008-08-19 05:24:28Z ewout78 $ if ~exist('options','var'), options = []; end if ~exist('tau','var'), tau = []; end if ~exist('b','var') || isempty(b) error('Second argument cannot be empty.'); end if ~exist('A','var') || isempty(A) error('First argument cannot be empty.'); end sigma = []; x0 = []; [x,r,g,info] = spgl1(A,b,tau,sigma,x0,options);