COMBSS: best subset selection via continuous optimization

DOI10.1007/S11222-024-10387-8MaRDI QIDQ6494417zbMATH OpenFDO

Authors Sarat B. Moka, Benoit Liquet, Houying Zhu, Samuel Müller

Publication date 30 April 2024

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11222-024-10387-8

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

• A polynomial algorithm for best-subset selection problem
• A randomized Kaczmarz algorithm with exponential convergence
• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• Best subset selection via a modern optimization lens
• Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
• Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
• Expressions for the Moore-Penrose inverse of block matrices involving the Schur complement
• Fast best subset selection: coordinate descent and local combinatorial optimization algorithms
• High-dimensional linear regression via implicit regularization
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• Lasso, fractional norm and structured sparse estimation using a Hadamard product parametrization
• Policy Optimization Using Semiparametric Models for Dynamic Pricing
• Schur complements and Banachiewicz-Schur forms
• Sparse Approximate Solutions to Linear Systems
• Statistical challenges with high dimensionality: feature selection in knowledge discovery

Cited in

(5)

• Subset Selection with Shrinkage: Sparse Linear Modeling When the SNR Is Low
• Automated subset selection via information criteria optimization in generalized linear models
• Best-subset instrumental variable selection method using mixed integer optimization with applications to health-related quality of life and education-wage analyses
• Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models
• Best subset solution path for linear dimension reduction models using continuous optimization

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