ABESS: A polynomial time algorithm for best-subset selection problem

Best-subset selection aims to find a small subset of predictors, so that the resulting linear model is expected to have the most desirable prediction accuracy. ABESS is the R-package that implements a polynomial time algorithm to identify the best-subset model in linear regression. Please see here for a brief guide.

You can download the packages for ABESS and BeSS and follow the guide to install. 'Rcpp,' 'RcppEigen' and 'glmnet' packages need to be available in the R library before the installation of ABESS and BeSS packages starts.

Reference: Junxian Zhu, Canhong Wen, Jin Zhu, Heping Zhang, and Xueqin Wang. A polynomial algorithm for best-subset selection problem. http://www.pnas.org/cgi/doi/10.1073/pnas.2014241117