The Discrete Dantzig Selector: Estimating Sparse Linear Models via Mixed Integer Linear Optimization
نویسندگان
چکیده
منابع مشابه
The Discrete Dantzig Selector: Estimating Sparse Linear Models via Mixed Integer Linear Optimization
We propose a new high-dimensional linear regression estimator: the Discrete Dantzig Selector, which minimizes the number of nonzero regression coefficients, subject to a budget on the maximal absolute correlation between the features and residuals. We show that the estimator can be expressed as a solution to a Mixed Integer Linear Optimization (MILO) problem, a computationally tractable framewo...
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ژورنال
عنوان ژورنال: IEEE Transactions on Information Theory
سال: 2017
ISSN: 0018-9448,1557-9654
DOI: 10.1109/tit.2017.2658023