l1约束的最小二乘学习

$\ell_{1}$ Constrained Least Squares
In sparse learning, $\ell_{1}$ constrained LS, also known as Lasso Regression, is a common learning method:

$$\min_{\theta} J_{LS}(\theta)\quad s.t. \quad \|\theta \|_{1}\leq R$$ where $$\|\theta\|_{1}=\sum_{j=1}^{b}|\theta_{j}|$$
Generally speaking, the solution of an $\ell_{1}$ constrained LS is located on the axis, that is to say, there are several parameters $\theta_{j}$ equal to zero (sparse).
Then how to solve it? Given the indifferentiable property of the absolute value at the origin, solving an $\ell_{1}$ constrained LS is not so easy as solving the $\ell_{2}$ constrained one. However, we can still apply Lagrange multiplier.

minθJ(θ),J(θ)=JLS(θ)+λ∥θ∥1