Local Linear Approximation (LLA) + Iterative Shrinking Threshold Algorithm (ISTA/FISTA) to optimize LASSO + smoothly clipped absolute deviation (SCAD) penalty.
See: http://www.optimization-online.org/DB_FILE/2016/06/5506.pdf
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Local Linear Approximation (LLA) + Iterative Shrinking Threshold Algorithm (ISTA/FISTA) to optimize LASSO + smoothly clipped absolute deviation (SCAD) penalty
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