This project is for the course HMMA307 by Joseph Salmon.
The goal is here to understand the theory and then reproduce some of the results from the article by Amir Beck and Yehonathan Refael available at this adress.
In short, it deals with an efficient way to compute the sparse envelope function for a new penalty that takes into account the sparsity of a vector using the 0-norm. It appears in several problems as regularizing a function has become usual and is more accurate than the elastic net in certain situations.