SLOPE Penalty about moma

[michaelweylandt]

@Banana1530 , is this fully addressed by #29 or is there more to do? (The only thing I can think is to allow more / arbitrary weight schemes, but I don't know if that's actually useful.)

If there's nothing more to do, we can close this and #27.

[Banana1530]

Let's close this issue. In my experience sparse PCA with SLOPE, LASSO, SCAD or MCP are basically the same.

[michaelweylandt]

Sounds good - certainly for the SPCA case they should be essentially equivalent. (The sub-problems are linear regression with an identity matrix, which pretty much any method should be able to get right.) In theory, they might differ more for a case with a weird smoothing matrix, but most of the smoothers used in practice are pretty well-behaved as well.