References (Papers related to sparse learning)

Structured Sparsity in Structured Prediction
Sparse Online Learning via Truncated Gradient
Proximal gradient method

*Group lasso with overlaps / Structured Sparsity*
Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers code
Efficient First Order Methods for Linear Composite Regularizers (code)
Structured Variable Selection with Sparsity-Inducing Norms
Efficient Methods for Overlapping Group Lasso (NIPS-2011) (Code: SLEP package)
Branch-and-Bound Algorithms for Computing the Best-Subset Regression Models
Group Lasso with Overlaps: the Latent Group Lasso approach (discussion about weights)
Theoretical Properties of the Overlapping Groups Lasso

*Screening methods*
Sure Independence Screening for Ultra-High Dimensional Feature Space
Nonparametric Independence Screening in Sparse Ultra-High Dimensional Additive Models
Strong rules for discarding predictors in lasso-type problems

*Multitask learning*
Joint covariate selection and joint subspace selection for multiple classification problems
Blockwise Coordinate Descent Procedures for the Multi-task Lasso, with Applications to Neural Semantic Basis Discovery
A multivariate regression approach to association analysis of a quantitative trait network
Convex Multi-Task Feature Learning

*Lasso*
Coordinate descent algorithms for lasso penalized regression 2008
Pathwise Coordinate Optimization 2007

*Group Lasso*
Estimation Consistency of the Group Lasso and its Applications 2009
Sparse Group Lasso 2010
Group Lasso 2004

*Logistic regression*
Feature selection, l1 vs. l2 regularization and rotational invariance 2004
*Others*
Cauchy-Schwarz Inequality

*Error control*
Variable selection with error control: another look at stability selection
Stability selection (slides)