A Look at Robustness and Stability of ℓ-1 versus ℓ0-Regularization: Discussion of Papers by Bertsimas et al. and Hastie et al.

Abstract

We congratulate the authors Bertsimas, Pauphilet and van Parys (hereafter BPvP) and Hastie, Tibshirani and Tibshirani (hereafter HTT) for providing fresh and insightful views on the problem of variable selection and prediction in linear models. Their contributions at the fundamental level provide guidance for more complex models and procedures.