Table 3. Algorithm for solving Eq (12).

Input: X, S, λ1, λ2

Iterate

1. W ← W − αk(XT(XW − X) + λ1W(D − S))

2. $W\leftarrow {\text{proximal}}_{{\lambda }_2{\Vert W\Vert }_1}=\text{sign}\left(w_{ij}\right)*\text{max}\left\{\right|w_{ij}|-{\lambda }_2,0\}$

End

Output: W