[SciPy-user] argmin and optimization

Nils Wagner nwagner@iam.uni-stuttgart...
Thu Jul 26 05:58:03 CDT 2007


Hi all,

I would like to implement an algorithm described by Golub and Liao.
Get the source from here: http://citeseer.ist.psu.edu/638954.html

The central question is the following. How do I implement the operator
P_\Omega(\cdot)  in scipy ?

The definition is as follows (\LaTex notation)

P_\Omega(y) = \textrm{argmin}\limits_{x \in \Omega} \|x-y\|_2 \forall \,
y \in \mathds{R}^n

\Omega = \{ x \in \mathds{R}^n | <x,x> \le 1 \}.

I have attached a short script which implements the rest of the algorithm.
Any pointer how to implement P_\Omega(y) in scipy would be appreciated.

Thanks in advance
                                          Nils




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