Abstract Motivation The automatic discovery of sparse biomarkers that are associated with an outcome of interest is a central goal of bioinformatics. In the context of high-throughput sequencing (HTS) data, and compositional data (CoDa) more generally, an important class of biomarkers are the log-ratios between the input variables. However, identifying predictive log-ratio biomarkers from HTS data is a combinatorial optimization problem, which is computationally challenging. Existing methods are slow to run and scale poorly with the dimension of the input, which has limited their application to low- and moderate-dimensional metagenomic datasets. Results Building on recent advances from the field of deep learning, we present CoDaCoRe, a novel learning algorithm that identifies sparse, interpretable and predictive log-ratio biomarkers. Our algorithm exploits a continuous relaxation to approximate the underlying combinatorial optimization problem. This relaxation can then be optimized efficiently using the modern ML toolbox, in particular, gradient descent. As a result, CoDaCoRe runs several orders of magnitude faster than competing methods, all while achieving state-of-the-art performance in terms of predictive accuracy and sparsity. We verify the outperformance of CoDaCoRe across a wide range of microbiome, metabolite and microRNA benchmark datasets, as well as a particularly high-dimensional dataset that is outright computationally intractable for existing sparse log-ratio selection methods. Availability and implementation The CoDaCoRe package is available at https://github.com/egr95/R-codacore. Code and instructions for reproducing our results are available at https://github.com/cunningham-lab/codacore. Supplementary information Supplementary data are available at Bioinformatics online.