Radial soft thresholding ($x\mapsto (1-\tau /\Vert x{\Vert }_2{)}_{+}x$)

The proximal map of $\tau \Vert \cdot {\Vert }_2$ sends $x$ to $(1-\tau /\Vert x{\Vert }_2{)}_{+}x$, with zero assigned at $x=0$. This removes vectors inside the radius-$\tau$ ball and shortens all larger vectors by a fixed radial distance. It is useful for groupwise sparsity.