We provide Matlab and R scripts of the proposed ESPRESSO algorithm in the following papers to solve the SRRR formulation.
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"Sparse Reduced Rank Regression with Nonconvex Regularization"
Ziping Zhao and Daniel P. Palomar
in Proc. of the 20th IEEE Statistical Signal Processing Workshop (SSP), Freiburg, Germany, June 10-13, 2018. -
"Efficient Sparse Reduced Rank Regression via Nonconvex Optimization"
Ziping Zhao and Daniel P. Palomar, 2019.