Proximal-Gradient Homotopy Method for Sparse Least Squares

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Proximal-gradient homotopy is an efficient numerical method for solving the L1-regularized least-squares problem—minimize_x (1/2) ||A*x-b||_2^2 + lambda*||x||_1—where A is an m-by-n matrix, and lambda is a positive regularization parameter. Last published: March 23, 2012.