Supplementary Material for " Path following algorithms for ℓ 2-regularized M-estimation with approximation guarantee "

We summarize the results in Figure S1-S3. Figure S1 presents the results for ridge regression. Lastly, Figure S3 shows the iteration plot for the real data example. We omit their proofs as all of them can be found in standard convex analysis textbooks [see, e.g., Boyd and V andenberghe, 2004]. This completes the proof of Lemma S1.