Recursive $\ell_{1,\infty}$ Group Lasso

We introduce a recursive adaptive group lasso algorithm for real-time penalized least squares prediction that produces a time sequence of optimal sparse predictor coefficient vectors. At each time index the proposed algorithm computes an exact update of the optimal ℓ1,∞-penalized recursive least squares (RLS) predictor. Each update minimizes a convex but nondifferentiable function optimization pro...