To solve the unconstrained problem, R is Sigmahat.
To solve constrained problem, R is the current partial residual (excluding A terms).
subdiag.thresh(R, lam, w = NULL)
p-by-p symmetric matrix
Non-negative penalty parameter. Controls sparsity level.
(p-1)-by-(p-1) lower-triangular matrix (above diagonal ignored).
w[l,] gives the l weights for g_l.
Defaults to w[l,m]=sqrt(2 * l)/(l - m + 1) for m <= l
w[l,m]=sqrt(2 * l)/(l - m + 1)
m <= l
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