Sparse regression and things that look a bit like it.
Related to compressed sensing but here we consider sampling complexity and the effect of measurement noise.
LARS, LASSO, de-biassed LASSO, Elastic net, etc.
But SPAMS (C++, MATLAB, R, python) by Mairal himself, looks interesting.
It’s an optimisation library for many various in sparse problems.
See original: Sparse regression and things that look a bit like it.