The Discrete Dantzig Selector: Estimating Sparse Linear Models via Mixed Integer Linear Optimization
We propose a novel high-dimensional linear regression estimator: the Discrete Dantzig Selector, which minimizes the number of nonzero regression coefficients subject to a budget on the maximal absolute correlation between the features and residuals. Motivated by the significant advances in integer o...
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Institute of Electrical and Electronics Engineers (IEEE),
2019-03-07T15:55:37Z.
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| Subjects: | |
| Online Access: | Get fulltext |