LassoBench: A High-Dimensional Hyperparameter Optimization Benchmark Suite for Lasso
LassoBench: A High-Dimensional Hyperparameter Optimization Benchmark Suite for Lasso
Even though Weighted Lasso regression has appealing statistical guarantees, it is typically avoided due to its complex search space described with thousands of hyperparameters. On the other hand, the latest progress with high-dimensional HPO methods for black-box functions demonstrates that high-dimensional applications can indeed be efficiently optimized. Despite this initial …