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. Author manuscript; available in PMC: 2015 Dec 23.
Published in final edited form as: Ann Appl Stat. 2015;9(3):1103–1140. doi: 10.1214/15-AOAS842

Algorithm 2 Accelerated proximal gradient algorithm for SLOPE (1.10)

Require: b0 ε ℝp, and set a0 = b0 and θ0 = 1
 1: for k = 0, 1, … do
 2: bk+1=proxtkJλ(aktkX(Xaky))
 3: θk+11=12(1+1+4/θk2)
 4: ak+1=bk+1+θk+1(θk11)(bk+1bk)
 5: end for