This amounts to the sequence of nested loops: OUTER LOOP: Decrement λ.MIDDLE LOOP (OUTER): Cycle over ℓ ∈ {1, 2, …, K, 1, 2, …}.MIDDLE LOOP (INNER): Update the quadratic approximation ℓQℓ using the current parameters {β˜0k,β˜k}1K.INNER LOOP: Run the co-ordinate descent algorithm on the penalized weighted-least-squares problem (26).
