The code package contains a README file and a series of python scripts. Please refer to the README file for python commands to run these scripts. Below is a summary of what these scripts do. File name Description generate_simulation_data.py The script for generating the simulation data. plot_figure_2.py The script for plotting Figure 2. plot_figure_5.py The script for plotting Figure 5. plot_figure_6.py The script for plotting Figure 6. performance_evaluation.py The functions used for performance evaluation. algorithm_CPD_MMP.py The function of the proposed CPD-MMP method. TICC_src/admm_solver.py TICC_src/TICC_helper.py TICC_src/TICC_solver.py The source codes of the TICC method (from https://github.com/davidhallac/TICC). algorithm_TICC.py The function of the TICC method. algorithm_SBP.py The function of the SBP method. DSSL_src/functions.py The source code of the DSSL method (from https://www.tandfonline.com/doi/suppl/10.1080/00401706.2022.2046171). algorithm_DSSL.py The function of the DSSL method. algorithm_MCP.py The function of the MCP method. algorithm_RBM.py The function of the RBM method. main_simulation.py The main function of the simulation study. main_real_data.py The main function of the real case study. using_weighted_criterion.py The main function of the numerical studies on using a weighted criterion to select the two penalty weights. sensitivity_analysis.py The main function of the sensitivity analysis.