/Probabilistic-Best-Subset

A probabilistic solution to the exact best subset selection problem via continuous reformulation and gradient-based optimization.

Primary LanguagePython

Probabilistic-Best-Subset-Selection

Best subset selection methods as described in Probabilistic Best Subset Selection via Gradient-Based Optimization

Directories

  • The Jupyter Notebook demonstrations are in the folder ./demo
  • The folders ./experiment-i are the example folders that contain the executable scripts for the simulations in the paper
  • The R scripts produce LASSO, SCAD and Fast-BSS results and the U2G results are produced by bash run.sh
@article{yin2020probabilistic,
     author = {{Yin}, Mingzhang and {Ho}, Nhat and {Yan}, Bowei and {Qian}, Xiaoning and
               {Zhou}, Mingyuan},
     title = "{Probabilistic Best Subset Selection via Gradient-Based Optimization}",
     journal = {arXiv},
     year = 2020
}