Algorithm 2.

The cyclic coordinate descent algorithm (CCDA). The cyclic coordinate descent algorithm cyclically iterates over the support of the initial solution. Without loss of generality, we assume 𝒜 = {1, …, |𝒜|}.

Algorithm: θ̂ ← CCDA(λ, θ(0)).

Initialize: t ← 0, 𝒜 = supp(θ(0))

Repeat:

w(t+1,1) ← θ(t)

For k = 1, …, |𝒜|

$w_k^{(t+1,k+1)}\leftarrow {\text{argmin}}_{{\theta }_k\in ℝ}{ℒ}_{\lambda }({\theta }_k;{\mathit{w}}_{\backslash k}^{(t+1,k)})+r_{\lambda }({\theta }_k)\text{ and }{\mathit{w}}_{\backslash k}^{(t+1,k+1)}\leftarrow {\mathit{w}}_{\backslash k}^{(t+1,k)}$

End for

θ(t+1) ← w(t+1,|𝒜|+1), t ← t + 1

Until convergence

θ̂ ← θ(t)