Subset selection for multiple linear regression via optimization

Young Woong Park*, Diego Klabjan

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

Subset selection in multiple linear regression aims to choose a subset of candidate explanatory variables that tradeoff fitting error (explanatory power) and model complexity (number of variables selected). We build mathematical programming models for regression subset selection based on mean square and absolute errors, and minimal-redundancy–maximal-relevance criteria. The proposed models are tested using a linear-program-based branch-and-bound algorithm with tailored valid inequalities and big M values and are compared against the algorithms in the literature. For high dimensional cases, an iterative heuristic algorithm is proposed based on the mathematical programming models and a core set concept, and a randomized version of the algorithm is derived to guarantee convergence to the global optimum. From the computational experiments, we find that our models quickly find a quality solution while the rest of the time is spent to prove optimality; the iterative algorithms find solutions in a relatively short time and are competitive compared to state-of-the-art algorithms; using ad-hoc big M values is not recommended.

Original languageEnglish (US)
Pages (from-to)543-574
Number of pages32
JournalJournal of Global Optimization
Volume77
Issue number3
DOIs
StatePublished - Jul 1 2020

Keywords

  • High dimensional data
  • Linearization
  • Mathematical programming
  • Multiple linear regression
  • Subset selection

ASJC Scopus subject areas

  • Computer Science Applications
  • Management Science and Operations Research
  • Control and Optimization
  • Applied Mathematics

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