combss (Q7378002)
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Continuous Optimisation Towards Best Subset Selection
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | combss |
Continuous Optimisation Towards Best Subset Selection |
Statements
Best subset selection in generalised linear models via continuous optimisation. Reformulates the NP-hard discrete subset selection problem as a continuous optimisation over the hypercube [0,1]^p, solved via a Frank-Wolfe homotopy algorithm with closed-form ridge inner solves. Supports linear (Gaussian), binary logistic, and multinomial regression. For methodological details see Moka, Liquet, Zhu and Muller (2024) <doi:10.1007/s11222-024-10387-8> and Mathur, Liquet, Muller and Moka (2026) <doi:10.48550/arXiv.2603.21952>.
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11 May 2026
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Anant Mathur
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Sarat Moka
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