Corpus ID: 233241190

Grouped Variable Selection with Discrete Optimization: Computational and Statistical Perspectives

@article{Hazimeh2021GroupedVS,
  title={Grouped Variable Selection with Discrete Optimization: Computational and Statistical Perspectives},
  author={Hussein Hazimeh and R. Mazumder and P. Radchenko},
  journal={ArXiv},
  year={2021},
  volume={abs/2104.07084}
}
We present a new algorithmic framework for grouped variable selection that is based on discrete mathematical optimization. While there exist several appealing approaches based on convex relaxations and nonconvex heuristics, we focus on optimal solutions for the `0regularized formulation, a problem that is relatively unexplored due to computational challenges. Our methodology covers both high-dimensional linear regression and nonparametric sparse additive modeling with smooth components. Our… Expand

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