This is a huge topic. As previously mentioned, Hastie, Tibshirani and Friedman give a good intro in Ch3 of Elements of Statistical Learning.

A few points.
1) What do you mean by "best" or "optimal"? What is best in one sense may not be best in another. Two common criteria are predictive accuracy (predicting the outcome variable) and producing unbiased estimators of the coefficients. Some methods, such as Lasso &amp; Ridge Regression inevitably produce biased coefficient estimators.

2) The phrase "best subsets" itself can be used in two separate senses. Generally to refer to the best subset among all predictors which optimises some model building criteria. More specifically it can refer to Furnival and Wilson's efficient algorithm for finding that subset among moderate (~50) numbers of linear predictors (Regressions by Leaps and Bounds. Technometrics, Vol. 16, No. 4 (Nov., 1974), pp. 499-51)

http://www.jstor.org/stable/1267601

Computing best subset of predictors for linear regression
I've been dabbling with XNA for a couple of days now. This chunk of code doesn't work as I expect. The goal is to render sprites individually and composite them on another rendertarget.

P = RenderTarget2D(with RenderTargetUsage.PreserveContents)
D = RenderTarget2D(with RenderTargetUsage.DiscardContents)

for all sprites:
{
    graphicsDevice.SetRenderTarget(D);
    &lt;draw sprite i&gt;

    graphicsDevice.SetRenderTarget(P);
    &lt;Draw D&gt;
}

graphicsDevice.SetRenderTarget(null);
&lt;Draw P&gt;


The result I get is - only the last sprite is visible. I'm sure I'm missing some piece of information about RenderTarget2D. Any hints on what that might be?
