Optimal singular value shrinkage for operator norm #492
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…h unit tests This commit introduces a new function to perform singular value shrinkage using the method described in the paper "Optimal Singular Value Shrinkage for Operator Norm Loss" by William Leeb. The implemented shrinkage method is designed to be optimal for denoising low-rank matrices, particularly adjusting for different aspect ratios of matrices. The commit also includes unit tests that ensure the largest shrunken singular value does not deviate excessively.
austinTalbot7241993
changed the title
Implements optshrink algorithm from https://arxiv.org/pdf/1306.6042
austinTalbot7241993
approved these changes
May 15, 2024
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…h unit tests
This commit introduces a new function to perform singular value shrinkage using the method described in the paper "Optimal Singular Value Shrinkage for Operator Norm Loss" by William Leeb. The implemented shrinkage method is designed to be optimal for denoising low-rank matrices, particularly adjusting for different aspect ratios of matrices. The commit also includes unit tests that ensure the largest shrunken singular value does not deviate excessively.