Merge pull request #2 from CederGroupHub/group_l0

Group l0 and best group estimators
CederGroupHub · May 23, 2022 · f5b47bf · f5b47bf
2 parents c872b7e + 41ea49a
commit f5b47bf
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diff --git a/README.md b/README.md
@@ -21,7 +21,10 @@ Available regression models
 - Lasso (`sklearn` may be a better option)
 - Group Lasso, Overlap Group Lasso & Sparse Group Lasso
 - Adaptive versions of Lasso, Group Lasso, Overlap Group Lasso & Sparse Group Lasso
-- Best subset selection, L1L0 & L2L0 (we recommend using `gurobi` for performance)
+- Best subset selection, ridged best subset, L0, L1L0 & L2L0
+  (`gurobi` recommended for performance)
+- Best group selection, ridged best group selection,  grouped L0, grouped L2L0
+  (`gurobi` recommended for performance)
 
 Installation
 ------------

diff --git a/sparselm/model/__init__.py b/sparselm/model/__init__.py
@@ -2,21 +2,31 @@
 
 from sparselm.model.ols import OrdinaryLeastSquares
 from sparselm.model.lasso import Lasso
-from sparselm.model.mixedL0 import L1L0, L2L0
+from sparselm.model.miqp.best_subset import BestSubsetSelection, BestGroupSelection, \
+    RidgedBestSubsetSelection, RidgedBestGroupSelection
+from sparselm.model.miqp.regularized_l0 import L1L0, L2L0, RegularizedL0, GroupedL0, \
+    GroupedL2L0
 from sparselm.model.lasso import Lasso, GroupLasso, OverlapGroupLasso, SparseGroupLasso
 from sparselm.model.adaptive_lasso import AdaptiveLasso, AdaptiveGroupLasso, \
     AdaptiveOverlapGroupLasso, AdaptiveSparseGroupLasso
 
 __all__ = [
-    'OrdinaryLeastSquares',
-    'Lasso',
-    'L1L0',
-    'L2L0',
-    'GroupLasso',
-    'OverlapGroupLasso',
-    'SparseGroupLasso',
-    'AdaptiveLasso',
-    'AdaptiveGroupLasso',
-    'AdaptiveOverlapGroupLasso',
-    'AdaptiveSparseGroupLasso',
+    "OrdinaryLeastSquares",
+    "Lasso",
+    "BestSubsetSelection",
+    "BestGroupSelection",
+    "RidgedBestSubsetSelection",
+    "RidgedBestGroupSelection",
+    "RegularizedL0",
+    "L1L0",
+    "L2L0",
+    "GroupedL0",
+    "GroupedL2L0",
+    "GroupLasso",
+    "OverlapGroupLasso",
+    "SparseGroupLasso",
+    "AdaptiveLasso",
+    "AdaptiveGroupLasso",
+    "AdaptiveOverlapGroupLasso",
+    "AdaptiveSparseGroupLasso",
 ]
diff --git a/sparselm/model/best_subset.py b/sparselm/model/best_subset.py
diff --git a/sparselm/model/miqp/__init__.py b/sparselm/model/miqp/__init__.py