A Path-Based BCD for Proximal Function of Latent Group Lasso
Description
Implementation of the block coordinate descent procedure for
solving the proximal function of latent group Lasso, highlighted by
decomposing a DAG into several non-overlapping path graphs, and getting
closed-form solution for each path graph. The procedure was introduced
as Algorithm 4 in Yan and Bien (2017)
"Hierarchical Sparse Modeling: A Choice of Two Group Lasso Formulations", and the
closed-form solution for each path graph is solved in Algorithm 3 of
that paper.