Mixed integer quadratic optimization formulations for eliminating multicollinearity based on variance inflation factor

DOI10.1007/s10898-018-0713-3zbMath1421.90093MaRDI QIDQ2633546

Yuichi Takano, Tomomi Matsui, Ryuhei Miyashiro, Kazuhide Nakata, Ken Kobayashi, Ryuta Tamura

Publication date: 9 May 2019

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-018-0713-3

zbMATH Keywords

integer programming; subset selection; statistics; multiple linear regression; multicollinearity; variance inflation factor

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

90C11: Mixed integer programming

90C20: Quadratic programming

Related Items

Unnamed Item, Variable selection under multicollinearity using modified log penalty, Integer constraints for enhancing interpretability in linear regression, Budget constrained model selection for multiple linear regression, Optimization problems for machine learning: a survey, Scalable holistic linear regression, Best subset selection via cross-validation criterion, Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization, Investigating consumers' store-choice behavior via hierarchical variable selection

Uses Software

• R
• UCI-ml
• CPLEX
• Gurobi
• MAIC

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Best subset selection via a modern optimization lens
• Feature subset selection for logistic regression via mixed integer optimization
• Mixed integer second-order cone programming formulations for variable selection in linear regression
• A mixed integer linear model for clustering with variable selection
• Feature selection for support vector machines via mixed integer linear programming
• Supersparse linear integer models for optimized medical scoring systems
• Choosing the best set of variables in regression analysis using integer programming
• Selection of relevant features and examples in machine learning
• Wrappers for feature subset selection
• Logistic regression: from art to science
• Rejoinder: ``Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
• OR Forum—An Algorithmic Approach to Linear Regression
• The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses
• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• BEST SUBSET SELECTION FOR ELIMINATING MULTICOLLINEARITY
• Minimization of Akaike's information criterion in linear regression analysis via mixed integer nonlinear program
• 10.1162/153244303322753616
• An Introduction to Statistical Learning
• PIECEWISE-LINEAR APPROXIMATION FOR FEATURE SUBSET SELECTION IN A SEQUENTIAL LOGIT MODEL
• The Discrete Dantzig Selector: Estimating Sparse Linear Models via Mixed Integer Linear Optimization
• Computational Methods of Feature Selection
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Optimal classification trees