Geodesic
Optimal convex correcting procedures in problems of high dimension
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 51 (2011) no. 9, pp. 1751-1760

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The properties of convex correcting procedures (CCPs) over sets of predictors are examined. It is shown that the minimization of the generalized error in a CCP is reduced to a quadratic programming problem. The conditions are studied under which a set of predictors cannot be reduced without degrading the accuracy of the corresponding optimal CCP. Experimental studies of the prognostic properties of CCPs for samples of one-dimensional linear regressions showed that CCP optimization can be an effective tool for regression variable selection. 
@article{ZVMMF_2011_51_9_a15,
     author = {A. A. Dokukin and O. V. Senko},
     title = {Optimal convex correcting procedures in problems of high dimension},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
     pages = {1751--1760},
     publisher = {mathdoc},
     volume = {51},
     number = {9},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_2011_51_9_a15/}
}
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A. A. Dokukin; O. V. Senko. Optimal convex correcting procedures in problems of high dimension. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 51 (2011) no. 9, pp. 1751-1760. http://geodesic.mathdoc.fr/item/ZVMMF_2011_51_9_a15/