Skip to main content
. Author manuscript; available in PMC: 2020 Jan 1.
Published in final edited form as: J Am Stat Assoc. 2018 Aug 6;114(525):419–433. doi: 10.1080/01621459.2017.1411269

Procedure 1.

Proximal gradient algorithm

input: b[0] ∈ ℝp̃, k=0
while ( Stopping criteria are not satisfied) do

  1. b[k+1] = proxtkh (b[k] − tk𝒳⊤(𝒳b[k] − y));

  2. k ← k + 1.

end while