BinarySearch: Search soft threshold
Description
A binary search to find proper soft threshold lamv
such that
$$sv = soft(argv, lamv) / ||soft(argv, lamv)||_2, ||sv||_1 = sumabsv$$
Usage
BinarySearch(argv, sumabsv, maxiter = 150)
Value
the proper threshold level lamv
.
Arguments
- argv
the vector to be soft thresholded
- sumabsv
upperbound of the L_1 norm of sv
- maxiter
max iteration to perform binary search