Square-Root Lasso With Nonconvex Regularization: An ADMM Approach.

Square-root least absolute shrinkage and selection operator (Lasso), a variant of Lasso, has recently been proposed with a key advantage that the optimal regularization parameter is independent of the noise level in the measurements. In this letter, we introduce a class of nonconvex sparsity-inducing penalties to the square-root Lasso to achieve better sparse recovery performance over the convex c...