#### square-root-PMM version 1.0: a MATLAB software for square-root regression problems

Peipei Tang, Chengjing Wang, Defeng Sun, and Kim-Chuan Toh

Peipei Tang, Chengjing Wang, Defeng Sun, and Kim-Chuan Toh

This is software package for solving the square-root regression problem:

$$

\min_\beta \{ \|X\beta -b\|_{2}+\lambda p(\beta)-q(\beta)\}.

$$

A sparse semismooth Newton based proximal majorization-minimization algorithm is used to solve this problem; details can be found in the following reference.

- Peipei Tang, Chengjing Wang, Defeng Sun, and Kim-Chuan Toh,

A Sparse Semismooth Newton Based Proximal Majorization-Minimization Algorithm for Nonconvex Square-Root-Loss Regression Problems, Journal of Machine Learning Research 21(226):1–38, 2020. - Codes available at Github.