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GRK 2624
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Research
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Projects
R1: GenEnv-HDReg
analysis. In principle, this variable selection problem cannot be solved efficiently (see Foster et al., 2015). However, efficient heuristics such as LASSO regression can be formulated. Previous sketching approaches [...] Statistics & Data Analysis 143, 106839. doi: 10.1016/j.csda.2019.106839 Foster DP, Karloff HJ, Thaler J (2015). Variable Selection is Hard. In: Proceedings of the 28th Conference on Learning Theory (COLT), p …