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alisaab / l0bnb

Solves the best subset selection problem
MIT License
39 stars 19 forks source link

bound form #1

Open jonathan-taylor opened 2 years ago

jonathan-taylor commented 2 years ago

Wondering how hard it would be to get a version with bound on l_0 instead of Lagrange form

rahulmaz commented 2 years ago

Hi, Jonathan! This will need changing the convex solver at every node. We use CD, which will not work anymore. I think this can be done but will need some work especially since we need dual bounds for BnB termination.

jonathan-taylor commented 2 years ago

Hi Rahul,

What is the convex sub problem you solve? Would proximal gradient / FISTA be fast enough?

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From: Rahul Mazumder @.> Sent: Tuesday, October 12, 2021 9:20:51 AM To: alisaab/l0bnb @.> Cc: Jonathan Taylor @.>; Author @.> Subject: Re: [alisaab/l0bnb] bound form (#1)

Hi, Jonathan! This will need changing the convex solver at every node. We use CD, which will not work anymore. I think this can be done but will need some work especially since we need dual bounds for BnB termination.

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rahulmaz commented 2 years ago

Replying to you by email.