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An $\mathcal{O}(n\log n)$ projection operator for weighted $\ell_1$-norm regularization with sum constraint
Published 2 Mar 2015 in cs.LG | (1503.00600v1)
Abstract: We provide a simple and efficient algorithm for the projection operator for weighted $\ell_1$-norm regularization subject to a sum constraint, together with an elementary proof. The implementation of the proposed algorithm can be downloaded from the author's homepage.
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