Local Linear Approximation (LLA) + Iterative Shrinking Threshold Algorithm (ISTA/FISTA) to optimize LASSO + smoothly clipped absolute deviation (SCAD) penalty.
See: http://www.optimization-online.org/DB_FILE/2016/06/5506.pdf
myamada0321/LASSO-SCAD
Local Linear Approximation (LLA) + Iterative Shrinking Threshold Algorithm (ISTA/FISTA) to optimize LASSO + smoothly clipped absolute deviation (SCAD) penalty
Python