To site SparseStep in publications use:

Gerrit J.J. van den Burg, Patrick J.F. Groenen, Andreas Alfons (2017). SparseStep: Approximating the Counting Norm for Sparse Regularization. arXiv preprint arXiv:1701.06967 [stat.ME].

Corresponding BibTeX entry:

  @Article{van2017sparsestep,
    title = {{SparseStep}: Approximating the Counting Norm for Sparse
      Regularization},
    author = {Gerrit J.J. {van den Burg} and Patrick J.F. Groenen and
      Andreas Alfons},
    journal = {arXiv preprint arXiv:1701.06967},
    archiveprefix = {arXiv},
    year = {2017},
    eprint = {1701.06967},
    url = {https://arxiv.org/abs/1701.06967},
    primaryclass = {stat.ME},
    keywords = {Statistics - Methodology, 62J05, 62J07},
  }