Algorithm 4 The algorithm to solve problem (A3).

Input:$\mathit{M}$, $\mathit{v}$, $\mathbf{\beta }$, $\mu$ and s; Output: The weight vector $\mathit{w}\in {\mathbb{R}}^s$.   1: Compute $\mathit{g}=\mathit{v}-\frac{\mathbf{\beta }+{\mathit{M}}^T\mathit{v}}{\mu }\in {\mathbb{R}}^s$;   2: Compute $\mathit{h}=\mathit{g}-\frac{{\mathbf{1}}_s^T\mathit{g}}{s}{\mathbf{1}}_s+\frac{1}{s}{\mathbf{1}}_s$;   3: Use Newton’s method to obtain the root ${\overline{\eta }}^{*}$ of Equation (A12);   4: The optimal solution $w_j^{*}={(h_j-{\overline{\eta }}^{*})}_{+}$, where $j=1,2,\cdots ,s$.