Compute the L2 norm of each subdiagonal of a symmetric matrix...
To solve the unconstrained problem, R is Sigmahat. To solve constrained problem, R is the current partial residual (excluding A terms).
1  subdiag.thresh(R, lam, w = NULL)

R 
pbyp symmetric matrix 
lam 
Nonnegative penalty parameter. Controls sparsity level. 
w 

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