Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms
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Publication:5144778
DOI10.1287/opre.2019.1919zbMath1457.90153arXiv1803.01454OpenAlexW3048822613MaRDI QIDQ5144778
Hussein Hazimeh, Rahul Mazumder
Publication date: 19 January 2021
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.01454
mixed integer programmingsparsityhigh-dimensional statisticsLassocoordinate descentlarge-scale computationinterpretable machine learning
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Uses Software
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