Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms
نویسندگان
چکیده
منابع مشابه
Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms
We consider the canonical L0-regularized least squares problem (aka best subsets) which is generally perceived as a ‘gold-standard’ for many sparse learning regimes. In spite of worst-case computational intractability results, recent work has shown that advances in mixed integer optimization can be used to obtain near-optimal solutions to this problem for instances where the number of features ...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2020
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.2019.1919