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
}