Holistic Generalized Linear Models

DOI10.48550/ARXIV.2205.15447MaRDI QIDQ158125arXivFDO

Authors Benjamin Schwendinger, Florian Schwendinger, Laura Vana

Publication date 30 May 2022

Published in arXiv

Full work available at URL https://doi.org/10.48550/ARXIV.2205.15447

arXiv classification

cs.LGcs.MSmath.OCstat.ML

Abstract: Holistic linear regression extends the classical best subset selection problem by adding additional constraints designed to improve the model quality. These constraints include sparsity-inducing constraints, sign-coherence constraints and linear constraints. The $extsfR$ package $extttholiglm$ provides functionality to model and fit holistic generalized linear models. By making use of state-of-the-art conic mixed-integer solvers, the package can reliably solve GLMs for Gaussian, binomial and Poisson responses with a multitude of holistic constraints. The high-level interface simplifies the constraint specification and can be used as a drop-in replacement for the $extttstats::glm()$ function.

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