Table 2:

Number of selected features and Validation Mean Squared Error (computed on the test set) for procedures applied to the diabetes and bodyfat regressions.

Procedure	Diabetes		Bodyfat		Bodyfat with Density
	${\widehat{k}}_0$	VALMSE	${\widehat{k}}_0$	VALMSE	${\widehat{k}}_0$	VALMSE
LMN	19	0.488	15	16.052	6	0.696
LSD	9	0.501	4	20.141	2	2.172
RL	19	0.488	15	16.052	6	0.696
FS	7	* 0.477	2	15.857	2	0.488
MIP-BOOST	3	0.496	13	* 14.838	1	* 0.388

^*:minimum Validation MSE.