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InspectChangepoint (version 1.2)

PiS: Matrix projection onto the nuclear norm unit sphere

Description

Projection (with respect to the inner product defined by the Frobenius norm) of a matrix onto the unit sphere defined by the nuclear norm.

Usage

PiS(M)

Arguments

M

Input matrix

Value

A matrix of the same dimension as the input is returned.

Details

This is an auxiliary function used by the InspectChangepoint package. The projection is achieved by first performing a singular value decomposition, then projecting the vector of singular values onto the standard simplex, and finally using singular value decomposition in reverse to build the projected matrix.

Examples

Run this code
# NOT RUN {
M <- matrix(rnorm(20),4,5)
PiS(M)
# }

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