Class L1L2Squared

source code

             object --+        
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    properties.Function --+    
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  properties.AtomicFunction --+
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                 object --+   |
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         properties.Penalty --+
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                 object --+   |
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properties.ProximalOperator --+
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                             L1L2Squared

The proximal operator of the L1 function with an L2 constraint.
The function is

    f(x) = l1 * ||x||_1 + Indicator(||x||²_2 <= l2),

where ||.||_1 is the L1 norm and ||.||²_2 is the squared L2 norm.

Parameters
----------
l1 : Non-negative float. The Lagrange multiplier, or regularisation
        constant, of the L1 norm penalty.

l2 : Non-negative float. The limit of the constraint of of the squared L2
        norm penalty.

penalty_start : Non-negative integer. The number of columns, variables
        etc., to be exempt from penalisation. Equivalently, the first index
        to be penalised. Default is 0, all columns are included.