Subdifferential of a weighted one-norm on l2 ($p_k=w_k\mathrm{sign}(u_k)(u_k\ne 0),|p_k|\le w_k(u_k=0)$)

The coordinate conditions define a subgradient precisely when $p\in {\ell }^2$ and $J_w(u)<\infty$. They follow by varying one coordinate; summing their scalar supporting inequalities proves sufficiency. Since $w_k\ge c>0$, a subgradient can exist only at finitely supported $u$. At such a base point $v$, $D_{J_w}^p(u,v)={\sum }_k(w_k|u_k|-p_k{u}_k)$, allowing the value infinity. Merely having finite penalty does not guarantee a nonempty subdifferential in the ambient l2 sequence space.