Sparse Regression at Scale: Branch-and-Bound rooted in First-Order Optimization

2 code implementations • 13 Apr 2020 • Hussein Hazimeh, Rahul Mazumder, Ali Saab

In this work, we present a new exact MIP framework for $\ell_0\ell_2$-regularized regression that can scale to $p \sim 10^7$, achieving speedups of at least $5000$x, compared to state-of-the-art exact methods.

regression Sparse Learning