Best subset selection via a modern optimization lens
n the period 1991–2015, algorithmic advances in Mixed Integer Optimization (MIO) coupled with hardware improvements have resulted in an astonishing 450 billion factor speedup in solving MIO problems. We present a MIO approach for solving the classical best subset selection problem of choosing k out...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute of Mathematical Statistics
2017
|
| Online Access: | http://hdl.handle.net/1721.1/108645 https://orcid.org/0000-0002-1985-1003 https://orcid.org/0000-0003-1384-9743 |