Hi all,
yesterday me and a colleague found ourselves writing, for the millionth
time, a hansl function implementing the so-called "soft thresholding"
operator, and I was thinking that, although it's very easy, it'd be nice
if it were a builtin function. So I wrote a hansl function that IMO is
quite nice and general (works with scalars, series and matrices) and is
in the attached script, along with a few usage examples[*].
Note that the function could be made more general, for example
introducing the scalar rho as in
https://www.sciencedirect.com/topics/computer-science/soft-thresholding
, eq. (11.46) or allowing for "hard thresholding", like in the
Mathematica function "wthresh", but maybe not for now.
What I'm asking the community is:
1) Is it worthwhile having a dedicated function for this at all?
2) If so, should we have this as a builtin function[**], or should it
just be in extra?
3) Does anyone have better ideas on the function's signature?
[*] I know, it could have written in a cooler way by usign the sgn()
function and conditional assignment, but hey.
[**] We already have a C version for scalars in plugins/regls.c.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucche...@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
set verbose off
set seed 20250405
function numeric sthresh(numeric x, numeric a)
errorif(min(a) < 0, "a must be non-negative")
errcond = (typeof(a) != 1) && (typeof(x) != typeof(a))
errorif(errcond, "non-matching types")
if typeof(x) == 3
# x is matrix
matrix ret = x .> a ? (x-a) : (x .< -a) ? (x + a) : 0
else
ret = x > a ? (x-a) : (x < -a) ? (x + a) : 0
endif
return ret
end function
### usage example
nulldata 10
scal_a = 1
ser_x = normal()
ser_a = 0.5*(obs < 6)
# should be scalars (2, -2, 0)
sctest1 = sthresh( 3, scal_a)
sctest2 = sthresh(-3, scal_a)
sctest3 = sthresh(-1, scal_a)
print sctest1 sctest2 sctest3
# should be series
sertest1 = sthresh(ser_x, scal_a)
sertest2 = sthresh(ser_x, ser_a)
print ser_x ser_a sertest1 sertest2 -o
# should be matrix
mtest1 = sthresh({ser_x}, scal_a)
mtest2 = sthresh({ser_x}, {ser_a})
print mtest1 ~ mtest2
_______________________________________________
Gretl-users mailing list -- gretl-users@gretlml.univpm.it
To unsubscribe send an email to gretl-users-le...@gretlml.univpm.it
Website:
https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
