Best subset selection in generalised linear models via continuous
optimisation. Reformulates the NP-hard discrete subset selection problem as
a continuous optimisation over the hypercube [0,1]^p, solved via a
Frank-Wolfe homotopy algorithm with closed-form ridge inner solves.
Supports linear (Gaussian), binary logistic, and multinomial regression.
For methodological details see Moka, Liquet, Zhu and Muller (2024)