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A constructive approach to L0 penalized regression

HuangJian, JiaoYuling, liuyanyan, LuXiliang

2018JOURNAL OF MACHINE LEARNING RESEARCH

DOI: 10.5555/3291125.3291135

tlooto Summary

A constructive approach to estimating sparse, high-dimensional linear regression models and a computational algorithm motivated from the KKT conditions for the l0-penalized regression models is proposed.

Abstract

We propose a constructive approach to estimating sparse, high-dimensional linear regression models. The approach is a computational algorithm motivated from the KKT conditions for the l0-penalized ...

Citation format

HUANGJIAN, et al. A constructive approach to l0 penalized regression. JOURNAL OF MACHINE LEARNING RESEARCH, 2018.