This repository provides python coding implementing Unified Structure Variable Selection (USVS) for respecting various selection rules The optimization solver is Gurobi https://www.gurobi.com
The method is inspired by the BEST SUBSET SELECTION VIA A MODERN OPTIMIZATION LENS by D. Bertsimas, A. King, and R. Mazumder (Annals of Statistics, 2016, Vol., 44, N0. 2, 813-852)
AIM:
- methods performance comparison
- show the benefits of specifing correct selection rule
- as an example, show USVS can respect the selection rule that existing method cannot
AIM 1
Selection rule: Correlated variable selected collectively
Compare to the group Lasso
AIM 1
Selection rule: if the interaction is selected, then the main terms must be selected
Compare to the overlapping group Lasso
AIM 2, 3
Selection rule: select 2 out of 4 correlated variables
Compare to Lasso (no selection rule)