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- | {{page>:defs}} | ||
- | |||
- | \newcommand{\sgn}{\mathrm{sgn}} | ||
- | Let $h (\beta)= (\beta -u)^2+c |\beta|$ where $u>0$. Show that the | ||
- | argmin of $h$ can be written as | ||
- | $$ | ||
- | \beta^\star=u \lr{1-\frac{c}{2|u|}}^+ | ||
- | $$ | ||
- | |||
- | The function $h$ is strictly convex and $\lim_{\beta \to \pm \infty} | ||
- | |h (x)|=\infty$. This implies that $h$ admits a unique minimizer | ||
- | $\beta^\star$. | ||
- | \begin{enumerate} | ||
- | \item $\beta^\star\neq 0$, in which case $h' (\beta^\star)=0$. This | ||
- | implies $2 (\beta^\star-u)+c \sgn(\beta^\star)=0$. Therefore | ||
- | $2u=\sgn(\beta^\star)\lr{2|\beta^\star|+c}$, which implies $\sgn (u)= | ||
- | \sgn (\beta^\star)$. Therefore $2 (\beta^\star-u)+c \sgn(u)=0$ | ||
- | from which we deduce $\beta^\star=u \lr{1-\frac{c}{2|u|}}$. Using | ||
- | again $\sgn (u)= | ||
- | \sgn (\beta^\star)$, we deduce $1-\frac{c}{2|u|}\geq 0$ and finally, | ||
- | $$ | ||
- | \beta^\star=u \lr{1-\frac{c}{2|u|}}^+ | ||
- | $$ | ||
- | \item $\beta^\star= 0$. In this case, for all $\beta \neq 0$, | ||
- | $h (\beta) \geq h (0)=u^2$, which is equivalent to $\beta^2-2 \beta | ||
- | u+c|\beta|\geq 0$. Dividing by $|\beta|$ and letting $\beta\to 0$, we | ||
- | get $-2 u\sgn(\beta)+c \geq 0$ which in turn implies | ||
- | $-2|u|+c\geq 0$. This shows $1-\frac{c}{2|u|}\leq 0$ and we therefore have | ||
- | again: | ||
- | $$ | ||
- | \beta^\star=0=u \lr{1-\frac{c}{2|u|}}^+ | ||
- | $$ | ||
- | \end{enumerate} | ||