The Trimmed Lasso: Sparsity and Robustness The Trimmed Lasso: Sparsity and Robustness
Paper summary They created a really nice trick to optimize the $ {L}_{0} $ Pseudo Norm - Regularization on the sorted (By magnitude) values of the optimization variable. Their code is available at - [The Trimmed Lasso: Sparsity and Robustness](https://github.com/copenhaver/trimmedlasso).
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The Trimmed Lasso: Sparsity and Robustness
Dimitris Bertsimas and Martin S. Copenhaver and Rahul Mazumder
arXiv e-Print archive - 2017 via Local arXiv
Keywords: stat.ME, math.OC, math.ST, stat.CO, stat.ML, stat.TH

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