  The OSCAR (octagonal selection and clustering algorithm for regression)
regularizer consists of a L_1 norm plus a pair-wise L_inf norm (responsible for
its grouping behavior) and was proposed to encourage group sparsity in
scenarios where the groups are a priori unknown. The OSCAR regularizer has a
non-trivial proximity operator, which limits its applicability. We reformulate
this regularizer as a weighted sorted L_1 norm, and propose its grouping
proximity operator (GPO) and approximate proximity operator (APO), thus making
state-of-the-art proximal splitting algorithms (PSAs) available to solve
inverse problems with OSCAR regularization. The GPO is in fact the APO followed
by additional grouping and averaging operations, which are costly in time and
storage, explaining the reason why algorithms with APO are much faster than
that with GPO. The convergences of PSAs with GPO are guaranteed since GPO is an
exact proximity operator. Although convergence of PSAs with APO is may not be
guaranteed, we have experimentally found that APO behaves similarly to GPO when
the regularization parameter of the pair-wise L_inf norm is set to an
appropriately small value. Experiments on recovery of group-sparse signals
(with unknown groups) show that PSAs with APO are very fast and accurate.
