Robust Grouped Variable Selection Using Distributionally Robust Optimization.

Ruidi Chen Ioannis Ch. Paschalidis

Published in: J. Optim. Theory Appl. (2022)

Keyphrases

robust optimization
variable selection
mathematical programming
input variables
stochastic programming
cross validation
high dimensional
model selection
semidefinite programming
feature selection
dimension reduction
principal component analysis
high dimensional data
convex optimization
lot sizing