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cvxpy

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david-vicente
david-vicente commented May 19, 2021

The Matlab version of CVX [1,2] offers the options of calling the Huber function with either huber(x,M) or huber(x,M,t). The latter computes t+t*huber(x/t,M), which is useful for concomitant scale estimation [3]. It would be nice to have the same option with cvxpy.

1 - https://github.com/cvxr/CVX/blob/master/functions/huber.m
2

help wanted feature request good first issue
Riskfolio-Lib

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