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Projection onto simplex

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Projection onto simplex

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08 Feb 2011 (Updated )

This program computes the projection onto the canonical simplex

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Description

This program computes the projection of any n-dimensional vector y onto the canonical simplex Dn defined by Dn:={x: x n-dimensional vector, 0<=x<=1, sum(x(:))=1 }. Namely, it solves x=arg min_x |x-y| subject to the constraint that x is in Dn.

Syntax:
x = projsplx(y);

Explanation of the algorithm can be found at
http://arxiv.org/abs/1101.6081
or
http://ufdc.ufl.edu/IR00000353/

C code and pre-compiled mex files can be found at the author's website.

Acknowledgements

This file inspired Stochastic Matrix Projection(A,Projection Type).

MATLAB release MATLAB 7.6 (R2008a)
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09 Nov 2012 Wok

Wok (view profile)

 
Updates
11 Feb 2011 1.2

update description. improve the code efficiency

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