Zhilin Li, A Fast Iterative Algorithm for Elliptic Interface Problems, SIAM Journal on Numerical Analysis, Vol. 35, No. 1 (Feb., 1998), pp. 230-254 ...

We propose and study a new iterative coordinate descent algorithm (QICD) for solving nonconvex penalized quantile regression in high dimension. By permitting different subsets of covariates to be ...