I have a non-linear objective function that I want to minimize considering some constraints in order to obtain a sparse solution (lasso type).
min f($\theta$)
s.t.
$\sum_i|\theta_i|\leq t$
$\theta_i \in [0,1]$
There are many lasso algorithms for linear objective functions with or without bound constraint, but I didn't find any lasso for non-linear problems with bound constraint.
Does anyone know how to approach this? Thanks.