O(n log n) algorithm for Euclidean projection onto a simplex

Duchi et. al. (2008) (Reference 1) has a simple and efficient algorithm for projecting a point onto the simplex. Formally, the optimization problem is where represents the Euclidean norm and is some constant. Their algorithm runs in time, with the most expensive step being sorting the elements of in descending order. Here is the algorithm: […]

O(n log n) algorithm for Euclidean projection onto a simplex
Advertisement

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s