Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2024/iii/paper-339/2/d/solution

Take and , so
is the capped simplex. A linear objective over this convex polytope attains its maximum at a zero-one extreme point. Choosing the coordinates at which is largest gives
Equivalently, an exchange of weight from a smaller component to a larger one never decreases the objective. Thus the sum of the largest components is the support function .
Part c now gives
By the projection onto a box-constrained hyperplane, has
Consequently the proximal operator is evaluated by solving this one-dimensional equation for , then substituting the resulting projection.

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