A function for the calculation of the coefficient determining optimal
location of hard threshold for matrix denoising by singular values hard thresholding
when noise level is known or unknown. Recreation of MATLAB code by Matan Gavish and
David Donoho.
Usage
optimal_SVHT_coef(beta, sigma_known = FALSE)
Arguments
- beta
A single value or a vector that represents aspect ratio m/n of the matrix to
be denoised. 0<beta<=1.
- sigma_known
A logical value. TRUE if noise level known, FALSE if unknown.
Value
Optimal location of hard threshold, up the median data singular value (sigma
unknown) or up to sigma*sqrt(n) (sigma known); a vector of the same dimension
as beta, where coef[i] is the coefficient corresponding to beta[i].
References
Gavish, M., & Donoho, D. L. (2014). The optimal hard threshold for singular
values is 4/sqrt(3). IEEE Transactions on Information Theory, 60(8), 5040-5053.