Sparse high-dimensional regression: Exact scalable algorithms and phase transitions
We present a novel binary convex reformulation of the sparse regression problem that constitutes a new duality perspective. We devise a new cutting plane method and provide evidence that it can solve to provable optimality the sparse regression problem for sample sizes n and number of regressors p i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2021
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| Online Access: | https://hdl.handle.net/1721.1/133696 |