相关论文: Extended Comparisons of Best Subset Selection, For…

In the last twenty-five years (1990-2014), algorithmic advances in integer optimization combined with hardware improvements have resulted in an astonishing 200 billion factor speedup in solving Mixed Integer Optimization (MIO) problems. We…

Variable selection in linear regression settings is a much discussed problem. Best subset selection (BSS) is often considered the intuitive 'gold standard', with its use being restricted only by its NP-hard nature. Alternatives such as the…

In recent years, there is a growing interest in combining techniques attributed to the areas of Statistics and Machine Learning in order to obtain the benefits of both approaches. In this article, the statistical technique lasso for…

We study a seemingly unexpected and relatively less understood overfitting aspect of a fundamental tool in sparse linear modeling - best subset selection, which minimizes the residual sum of squares subject to a constraint on the number of…

A sparse modeling is a major topic in machine learning and statistics. LASSO (Least Absolute Shrinkage and Selection Operator) is a popular sparse modeling method while it has been known to yield unexpected large bias especially at a sparse…

A multiple interval-valued linear regression model considering all the cross-relationships between the mids and spreads of the intervals has been introduced recently. A least-squares estimation of the regression parameters has been carried…

The $L_0$-regularized least squares problem (a.k.a. best subsets) is central to sparse statistical learning and has attracted significant attention across the wider statistics, machine learning, and optimization communities. Recent work has…

Recent advancements in Mixed Integer Optimization (MIO) algorithms, paired with hardware enhancements, have led to significant speedups in resolving MIO problems. These strategies have been utilized for optimal subset selection,…

Spike sorting is a class of algorithms used in neuroscience to attribute the time occurences of particular electric signals, called action potential or spike, to neurons. We rephrase this problem as a particular optimization problem : Lasso…

Logistic regression is widely used in many areas of knowledge. Several works compare the performance of lasso and maximum likelihood estimation in logistic regression. However, part of these works do not perform simulation studies and the…

Given data $y$ and $k$ covariates $x$ one problem in linear regression is to decide which in any of the covariates to include when regressing $y$ on the $x$. If $k$ is small it is possible to evaluate each subset of the $x$. If however $k$…

The two primary approaches for high-dimensional regression problems are sparse methods (e.g., best subset selection, which uses the L0-norm in the penalty) and ensemble methods (e.g., random forests). Although sparse methods typically yield…

The best subset selection (or "best subsets") estimator is a classic tool for sparse regression, and developments in mathematical optimization over the past decade have made it more computationally tractable than ever. Notwithstanding its…

The lasso has become an important practical tool for high dimensional regression as well as the object of intense theoretical investigation. But despite the availability of efficient algorithms, the lasso remains computationally demanding…

The choice of the tuning parameter in the Lasso is central to its statistical performance in high-dimensional linear regression. In this work, we study tuning regimes under which the Lasso exhibits suboptimal prediction performance, in the…

In statistics, the least absolute shrinkage and selection operator (Lasso) is a regression method that performs both variable selection and regularization. There is a lot of literature available, discussing the statistical properties of the…

We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. In particular, to improve the prediction properties of…

The least absolute shrinkage and selection operator (Lasso) is a popular method for high-dimensional statistics. However, it is known that the Lasso often has estimation bias and prediction error. To address such disadvantages, many…

It is known that the Thresholded Lasso (TL), SCAD or MCP correct intrinsic estimation bias of the Lasso. In this paper we propose an alternative method of improving the Lasso for predictive models with general convex loss functions which…

The goal of this paper is to contrast and survey the major advances in two of the most commonly used high-dimensional techniques, namely, the Lasso and horseshoe regularization. Lasso is a gold standard for predictor selection while…