In this problem we will derive an expression for λmax. Use the Lasso objective function excluding the bias term i.e, J(w) = ∥Xw
− y∥2 + λ ∥w∥1. We will show that for any λ ≥ 2∥XT y∥[infinity], the estimated weight vector wˆ is entirely zero, where ∥ · ∥[infinity] is the infinity norm (or supremum norm), which is the maximum absolute value of any component of the vector.
