Orthogonal Projection onto the $ {L}_{1} $ Unit Ball

What is the Orthogonal Projection onto the $ {L}_{1} $ Unit Ball?

Namely, given $ x \in {\mathbb{R}}^{n} $ what would be:

$$ {\mathcal{P}}_{ { \left\| \cdot \right\| }_{1} \leq 1 } \left( x \right) = \arg \min_{{ \left\| y \right\| }_{1} \leq 1} \left\{ {\left\| y – x \right\|}_{2}^{2} \right\} $$

Thank You.

Solutions Collecting From Web of "Orthogonal Projection onto the $ {L}_{1} $ Unit Ball"

Hint: Because of the symmetric essences of the problem you may assume $x$ lies in first quadrant i.e, $x \ge 0$ and assume $x$ is out side of $\ell_1 $- Unit ball (other wise the answer is trivially $y=x$ ),Therefor under these assumption for sure we have $ 0 \leq y^{*} \leq x$ where $y^{*} $ is the unique optimal solution. To find $y^{*}$ you need to solve following Quadratic programming
\begin{aligned}
& {\text{Min}}
& & \sum_{i=1}^{n} (x_i -y_i)^2 \\
& \text{subject to}
& & y \geq 0, \\
& & & \sum_{i=1}^{n} y_i =1 ,
\end{aligned}

Note that this is a smooth convex optimization problem with linear constraints, So it is easy to solve!
To find a closed form solution set up $KKT$ systems.

Note that once you get solution from problem above, you can characterize all solutions for all cases depending on positions of $x$ in space. For example let $x = (-1, 2,0,0,3)$, you know the solution for above problem where $\bar{x}=(1,2,0,0,3),$ call it $\bar{y} =(y_1,y_2,…, y_n)$ then solution corresponding to $x$ is $y=(-y_1,y_2,…,y_n)$.

$$ \DeclareMathOperator{\sign}{sign} $$

The Lagrangian of the problem can be written as:

$$ \begin{align}
L \left( x, \lambda \right) & = \frac{1}{2} {\left\| x – y \right\|}^{2} + \lambda \left( {\left\| x \right\|}_{1} – 1 \right) && \text{} \\
& = \sum_{i = 1}^{n} \left( \frac{1}{2} { \left( {x}_{i} – {y}_{i} \right) }^{2} + \lambda \left| {x}_{i} \right| \right) – \lambda && \text{Component wise form}
\end{align} $$

The Dual Function is given by:

$$ \begin{align}
g \left( \lambda \right) = \inf_{x} L \left( x, \lambda \right)
\end{align} $$

The above can be solved component wise for the term $ \left( \frac{1}{2} { \left( {x}_{i} – {y}_{i} \right) }^{2} + \lambda \left| {x}_{i} \right| \right) $ which is solved by the soft Thresholding Operator:

$$ \begin{align}
{x}_{i}^{\ast} = \sign \left( {y}_{i} \right) { \left( \left| {y}_{i} \right| – \lambda \right) }_{+}
\end{align} $$

Where $ {\left( t \right)}_{+} = \max \left( t, 0 \right) $.

Now, all needed is to find the optimal $ \lambda \geq 0 $ which is given by the root of the objective function (Which is the constrain of the KKT Sytsem):

$$ \begin{align}
h \left( \lambda \right) & = \sum_{i = 1}^{n} \left| {x}_{i}^{\ast} \left( \lambda \right) \right| – 1 \\
& = \sum_{i = 1}^{n} { \left( \left| {y}_{i} \right| – \lambda \right) }_{+} – 1
\end{align} $$

The above is a Piece Wise linear function of $ \lambda $ and its Derivative given by:

$$ \begin{align}
\frac{\mathrm{d} }{\mathrm{d} \lambda} h \left( \lambda \right) & = \frac{\mathrm{d} }{\mathrm{d} \lambda} \sum_{i = 1}^{n} { \left( \left| {y}_{i} \right| – \lambda \right) }_{+} \\
& = \sum_{i = 1}^{n} -{ \mathbf{1} }_{\left\{ \left| {y}_{i} \right| – \lambda > 0 \right\}}
\end{align} $$

Hence it can be solved using Newton Iteration.

In a similar manner the projection onto the Simplex (See @Ashkan answer) can be calculated.
The Lagrangian in that case is given by:

$$ \begin{align}
L \left( x, \mu \right) & = \frac{1}{2} {\left\| x – y \right\|}^{2} + \mu \left( \boldsymbol{1}^{T} x – 1 \right) && \text{} \\
\end{align} $$

The trick is to leave non negativity constrain implicit.
Hence the Dual Function is given by:

$$ \begin{align}
g \left( \mu \right) & = \inf_{x \succeq 0} L \left( x, \mu \right) && \text{} \\
& = \inf_{x \succeq 0} \sum_{i = 1}^{n} \left( \frac{1}{2} { \left( {x}_{i} – {y}_{i} \right) }^{2} + \mu {x}_{i} \right) – \mu && \text{Component wise form}
\end{align} $$

Again, taking advantage of the Component Wise form the solution is given:

$$ \begin{align}
{x}_{i}^{\ast} = { \left( {y}_{i} – \mu \right) }_{+}
\end{align} $$

Where the solution includes the non negativity constrain by Projecting onto $ {\mathbb{R}}_{+} $

Again, the solution is given by finding the $ \mu $ which holds the constrain (Pay attention, since the above was equality constrain, $ \mu $ can have any value and it is not limited to non negativity as $ \lambda $ above).

The objective function (From the KKT) is given by:

$$ \begin{align}
h \left( \mu \right) = \sum_{i = 1}^{n} {x}_{i}^{\ast} – 1 & = \sum_{i = 1}^{n} { \left( {y}_{i} – \mu \right) }_{+} – 1
\end{align} $$

The above is a Piece Wise linear function of $ \mu $ and its Derivative given by:

$$ \begin{align}
\frac{\mathrm{d} }{\mathrm{d} \mu} h \left( \mu \right) & = \frac{\mathrm{d} }{\mathrm{d} \mu} \sum_{i = 1}^{n} { \left( {y}_{i} – \mu \right) }_{+} \\
& = \sum_{i = 1}^{n} -{ \mathbf{1} }_{\left\{ {y}_{i} – \mu > 0 \right\}}
\end{align} $$

Hence it can be solved using Newton Iteration.

I wrote MATLAB code which implements them both at Mathematics StackExchange Question 2338491 – GitHub.
There is a test which compares the result to a reference calculated by CVX.