As defined in this thread Derivation of closed form lasso solution I would like to see a derivation of the closed form soft-thresholding solution for the LASSO using the KKT optimality conditions. Does anybody know how to do it?
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this is answered in the top answer of the linked article: https://stats.stackexchange.com/a/17786/59059 – user795305 May 06 '17 at 19:24