Method for Solving LASSO Problem Based on Multidimensional Weight

Pseudocode 1

Input. Response dependent on predictor , error tolerance

Output. LASSO solution for (3)

() begin

() data preprocessing: Normalization ()

() initialization: ,

()

()

() ,

() calculating weight by     or    or  

() centralization ;

() when and do cycle;

() in LARS cycle

() end cycle;

() return .