A novel feature selection algorithm for linear regression called
BOSO (Bilevel Optimization Selector Operator). The main contribution is the
use a bilevel optimization problem to select the variables in the training
problem that minimize the error in the validation set. Preprint available:
[Valcarcel, L. V., San Jose-Eneriz, E., Cendoya, X., Rubio, A., Agirre, X.,
Prosper, F., & Planes, F. J. (2020). "BOSO: a novel feature selection
algorithm for linear regression with high-dimensional data." bioRxiv.