Safe peeling for l0-regularized least-squares with supplementary material

We introduce a new methodology dubbed ``safe peeling'' to accelerate the resolution of L0-regularized least-squares problems via a Branch-and-Bound (BnB) algorithm. Our procedure enables to tighten the convex relaxation considered at each node of the BnB decision tree and therefore potentially allows for more aggressive pruning. Numerical simulations show that our proposed methodology leads to significant gains in terms of number of nodes explored and overall solving time.s show that our proposed methodology leads to significant gains in terms of number of nodes explored and overall solving time.

Node-screening tests for L0-penalized least-squares problem with supplementary material

We present a novel screening methodology to safely discard irrelevant nodes within a generic branch-and-bound (BnB) algorithm solving the \(\ell_0\)-penalized least-squares problem. Our contribution is a set of two simple tests to detect sets of feasible vectors that cannot yield optimal solutions. This allows to prune nodes of the BnB exploration tree, thus reducing the overall solution time. One cornerstone of our contribution is a nesting property between tests at different nodes that allows to implement screening at low computational cost. Our work leverages the concept of safe screening, well known for sparsity-inducing convex problems, and some recent advances in this field for \(\ell_0\)-penalized regression problems.