To run the code, the first step is to download and install matlab toolbox CVX http://cvxr.com/cvx/. The code has been tested on Mac OS. If it is useful in your research or project, please cite our paper [1].
[1] Safe Feature Screening for Generalized LASSO. Shaogang Ren, Shuai Huang, Jieping Ye, Xiaoning Qian. IEEE Transactions on Pattern Analysis and Machine Intelligence(PAMI), Issue 99, 2017, DOI:10.1109/TPAMI.2017.2776267.