Algorithm 3 The algorithm to solve problem (11).

Input:$\mathit{M}$ and $\mathit{b}$; Output: The weight vector $\mathit{w}\in {\mathbb{R}}^s$.   1: Initialize $\mathit{v}$, $\mathbf{\beta }$, $\mu$, and $\rho$;   2: while not converged do   3:  Update $\mathit{v}$ by Equation (A1);   4:  Update $\mathit{w}$ by solving problem (A3) via Algorithm 4;   5:  Update $\mathbf{\beta }=\mathbf{\beta }+\mu (\mathit{w}-\mathit{v})$;   6:  Update $\mu =\rho \mu$;   7: end while