Best Subset Selection with Efficient Primal-Dual Algorithm

Abstract: Best subset selection is considered the `gold standard' for many sparse learning problems. A variety of optimization techniques have been proposed to attack this non-convex and NP-hard problem. In this paper, we investigate the dual forms of a family of $\ell_0$-regularized problems. An efficient primal-dual method has been developed based on the primal and dual problem structures. By leveraging the dual range estimation along with the incremental strategy, our algorithm potentially reduces redundant computation and improves the solutions of best subset selection. Theoretical analysis and experiments on synthetic and real-world datasets validate the efficiency and statistical properties of the proposed solutions.