This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular, inconsistent results are obtained for pairwise strongly...

Stochastic programming provides a versatile framework for decision-making under uncertainty, but the resulting optimization problems can be computationally demanding. It has recently been shown that, primal and dual linear decision rule approximations can yield tractable upper and lower bounds...