Algorithm 1

1: Initialize α = 0 and L = 1 2: While not converged 3:     Compute the gradient of f: ∇f(α) using Eq. (1). 4:     Let $\text{a}\hspace{0.17em}=\alpha -\frac{\nabla \text{f}\left(\alpha \right)}{\text{L}}$. 5:     Solve α̃ = arg minα L||α − a|| + λ ||α||1. 6:     If J(α̃) < J(α), 7:         α = α̃ 8:     else 9:       L = γL 10:     end if 11:end while 12:Output α.