Subset Selection with Shrinkage: Sparse Linear Modeling When the SNR Is Low

DOI10.1287/opre.2022.2276arXiv1708.03288OpenAlexW2744157898MaRDI QIDQ6202664

Rahul Mazumder, Antoine Dedieu, Peter Radchenko

Publication date: 26 February 2024

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.03288

zbMATH Keywords

integer programmingerror boundssignal-to-noise ratiooracle inequalitieshigh-dimensional statisticssparse regressionbest subset selectionmachine learning and data science

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Related Items (3)

HARFE: hard-ridge random feature expansion ⋮ A General Framework for Identifying Hierarchical Interactions and Its Application to Genomics Data ⋮ Best subset selection with shrinkage: sparse additive hazards regression with the grouping effect

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