> Other than being more complex, the biggest downside is that all of these methods have some new parameter(s) to tune. They're so fast to run though, that just

> Other than being more complex, the biggest downside is that all of these methods have some new parameter(s) to tune. They're so fast to run though, that just doing warm-starts and a huge solution path (or grid in the case of additional penalties) with a BIC selection criteria is a pretty decent way to auto-tune the parameters.