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You could solve that weighted problem with TFOCS using the fancier options, but in terms of directly extending solver_L1RLS, that would require replacing prox_l1 with a weighted version, and in general the weighted prox for l_1 is not computable in closed form (with a few exceptions, e.g., if W is diagonal or partial orthogonal... these are not directly implemented but you could make your own implementation or just make an explicit change-of-variables.
Hello,
Currently
solver_L1RLS
solves:Could it be extended to:
As done with other solvers?
Thank You.
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