[Feature] Primal dual active set method

abess-team / skscope

skscope: Sparse-Constrained OPtimization via itErative-solvers

https://skscope.readthedocs.io

MIT License

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[Feature] Primal dual active set method #18

Closed Mamba413 closed 3 months ago

Mamba413 commented 1 year ago

It seems that the primal-dual active set (PDAS) algorithm is also a (potentially) powerful algorithm for sparsity optimization. It would helpfully enrich our support solvers if it is implemented.

Reference:

Wen, C., Zhang, A., Quan, S., & Wang, X. (2020). BeSS: An R Package for Best Subset Selection in Linear, Logistic and Cox Proportional Hazards Models. Journal of Statistical Software, 94(4), 1–24. https://doi.org/10.18637/jss.v094.i04

Luminite9 commented 3 months ago

I implemented the algorithm in solver.py by inheriting BaseSolver. The tests in pytest and necessary descriptions in documentation are implemented as well.