Add projection on l1 ball.

Author: mblondel

lightning/impl/penalty.py

@@ -73,6 +73,10 @@ def regularization(self, coef):
         return 0
 
 
+def project_l1_ball(v, z=1):
+    return np.sign(v) * project_simplex(np.abs(v), z)
+
+
 class TotalVariation1DPenalty(object):
     def projection(self, coef, alpha, L):
         tmp = coef.copy()

lightning/impl/tests/test_penalty.py

@@ -0,0 +1,11 @@
+import numpy as np
+from sklearn.utils.testing import assert_almost_equal
+
+from lightning.impl.penalty import project_l1_ball
+
+
+def test_proj_l1_ball():
+    rng = np.random.RandomState(0)
+    v = rng.randn(100)
+    w = project_l1_ball(v, z=50)
+    assert_almost_equal(np.sum(np.abs(w)), 50)