Algorithm 1.

Proximal operator associated with the Convex Fused Sparse Group Lasso (cFSGL)

Input:	V ∈ ℝd×t, R ∈ ℝt−1×t, λ1, λ2, λ3
Output:	W ∈ ℝd×t
1: for i = 1 : d do
2:	${\mathbf{u}}_i={\text{arg min}}_{\mathbf{w}}\frac{1}{2}{\Vert \mathbf{w}-{\mathbf{v}}_i\Vert }_2^2+{\lambda }_1{\Vert \mathbf{w}\Vert }_1+{\lambda }_2{\Vert R\mathbf{w}\Vert }_1$
3:	${\mathbf{w}}_i={\text{arg min}}_{\mathbf{w}}\frac{1}{2}{\Vert \mathbf{w}-{\mathbf{u}}_i\Vert }_2^2+{\lambda }_3{\Vert \mathbf{w}\Vert }_2$
4: end for