Algorithm 1:

Input: the data ${\left\{{\mathit{X}}^{(m)}\right\}}_{m=1}^M$ and the response vector y; Output: W;

1: Initialization: t = 1, α(0) = 1, l0 = 1, σ = 0.5, W(0) = W(1) = 0, β, γ, λ;

2: for t = 1 to Max-Iteration, do

3:  Computer Q(t) by (24)

4:  l = lt−1

5:  while f (W (t + 1)) + g(W (t + 1))

> Ωl(W(t + 1)), Q(t)),

here W(t + 1) is computed by (20), do

6:   l = σl

7: end while

8: lt = l

9: end for

10: if convergence then

11:  W = W (t + 1), terminate

12: end if