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

Hussein Hazimeh, Rahul Mazumder, Ali Saab

We consider the least squares regression problem, penalized with a combination of the ${\ell }_0$ and squared ${\ell }_2$ penalty functions (a.k.a. ${\ell }_0{\ell }_2$ regularization). R…