Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms

@article{Hazimeh2020FastBS,
  title={Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms},
  author={Hussein Hazimeh and R. Mazumder},
  journal={Oper. Res.},
  year={2020},
  volume={68},
  pages={1517-1537}
}
The $L_0$-regularized least squares problem (a.k.a. best subsets) is central to sparse statistical learning and has attracted significant attention across the wider statistics, machine learning, and optimization communities. Recent work has shown that modern mixed integer optimization (MIO) solvers can be used to address small to moderate instances of this problem. In spite of the usefulness of $L_0$-based estimators and generic MIO solvers, there is a steep computational price to pay when… Expand
55 Citations

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