Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms
The L₀-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...
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2021
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| Online Access: | https://hdl.handle.net/1721.1/130416 |