Variational Garrote with automatic differentiation yields more robust sparse variable selection than Ridge and LASSO in very sparse regimes, and the sharp rise in selection uncertainty marks the true number of relevant variables.
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Variational Garrote for Statistical Physics-based Sparse and Robust Variable Selection
Variational Garrote with automatic differentiation yields more robust sparse variable selection than Ridge and LASSO in very sparse regimes, and the sharp rise in selection uncertainty marks the true number of relevant variables.