软阈值函数推导过程 soft threshold deviation

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Here I want to deviate how to solve the soft threshold function.

for background introduction, please refer to this l1 introduction. Let's directly go into the objective function

g(t) = 0.5(t-t_0)^2+r|t|

with given t_0 and r, to determine t to make g(t) reach the minimal point.

the result is classic soft thresholding function:

when |t_0|>r, t=t_0-r*sign(t_0); when |t_0|<=r, t=0. 

I know the result for long time, but still confused with the deviation process. But this time, I will make myself clear.......

(1) when t_0>=0, there is no reason to choose a negative t. 

Because: if we choose a negative t', it must hold g(-t')<=g(t'). So g(t') is not the minimal point.

Thus, a positive t should be here. It then turns to be 

g(t) = 0.5(t-t_0)^2+r(t)  s.t. t_0>0 and t>0

it is very clear this is a simple parabola. its result is：

when t_0>r, t=t_0-r; when 0<=t_0<=r, t=0.

(2) when t_0< 0. the same deviation holds.

(3) get the above two scenario together, the soft thresholding function can be deduced.

Further work:

g(t) = 0.5(t-t_0)^2+r|t-a|+w|t-b|