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stat.ME2017★ 13 cited
The Trimmed Lasso: Sparsity and Robustness
Dimitris Bertsimas, Martin S. Copenhaver, Rahul Mazumder
Nonconvex penalty methods for sparse modeling in linear regression have been a topic of fervent interest in recent years. Herein, we study a family of nonconvex penalty functions t…
stat.ME2015
Best Subset Selection via a Modern Optimization Lens
Dimitris Bertsimas, Angela King, Rahul Mazumder
In the last twenty-five years (1990-2014), algorithmic advances in integer optimization combined with hardware improvements have resulted in an astonishing 200 billion factor speed…