Abstract In many real-world applications, such as those based on patient electronic health records, prognostic prediction of patient survival is based on heterogeneous sets of clinical laboratory measurements. To address the trade-off between the predictive accuracy of a prognostic model and the costs related to its clinical implementation, we propose an optimized L 0 -pseudonorm approach to learn sparse solutions in multivariable regression. The model sparsity is maintained by restricting the number of nonzero coefficients in the model with a cardinality constraint, which makes the optimization problem NP-hard. In addition, we generalize the cardinality constraint for grouped feature selection, hence making it possible to identify key sets of predictors that may be measured together in a kit in clinical practice. We demonstrate the operation of our cardinality constraint-based feature subset selection method, named OSCAR, in the context of prognostic modelling of prostate cancer, where it enabled one to determine the key explanatory predictors at different levels of model sparsity, and to explore how the model sparsity affects the model accuracy and implementation cost. Author summary Feature selection has become a crucial part in building biomedical models, due to the abundance of available predictors in many applications, yet there remains an uncertainty of their importance and generalization ability. Regularized regression methods have become popular approaches to tackle this challenge by balancing the model goodness-of-fit against the increasing complexity of the model in terms of coefficients that deviate from zero. Regularization norms are pivotal in formulating the model complexity, and currently L 1 (LASSO), L 2 (Ridge Regression) and their hybrid (Elastic Net) norms dominate the field. In this paper, we present a novel methodology using the L 0 -pseudonorm, also known as the best subset selection, which has largely gone overlooked due to its challenging discrete nature. Our methodology makes use of a continuous transformation of the discrete optimization problem, and provides effective solvers implemented in a user friendly R software package. We exemplify the use of oscar-package in the context of prostate cancer prognostic prediction using both real-world hospital registry and clinical cohort data. By benchmarking the methodology against related regularization methods, we illustrate the advantages of the L 0 -pseudonorm for better clinical applicability and selection of grouped features.

OSCAR: Optimal subset cardinality regression using the L0-pseudonorm with applications to prognostic modelling of prostate cancer