https://github.com/vegarant/spgl1
Tip revision: 5b6ee1e77c0a24b8f50d6462478cc2a5b09f5622 authored by Michael Friedlander on 26 April 2016, 15:40:32 UTC
Move webpage to UBC.
Move webpage to UBC.
Tip revision: 5b6ee1e
spg_lasso.m
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);