Optimal representative sample weighting

DOI10.1007/S11222-021-10001-1MaRDI QIDQ2058720zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 9 December 2021

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.09065

zbMATH Keywords

convex optimizationdistributed optimizationiterative proportional fittingsample weighting

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Sampling theory, sample surveys (62D05)

Abstract: We consider the problem of assigning weights to a set of samples or data records, with the goal of achieving a representative weighting, which happens when certain sample averages of the data are close to prescribed values. We frame the problem of finding representative sample weights as an optimization problem, which in many cases is convex and can be efficiently solved. Our formulation includes as a special case the selection of a fixed number of the samples, with equal weights, i.e., the problem of selecting a smaller representative subset of the samples. While this problem is combinatorial and not convex, heuristic methods based on convex optimization seem to perform very well. We describe rsw, an open-source implementation of the ideas described in this paper, and apply it to a skewed sample of the CDC BRFSS dataset.

Recommendations

• Estimating Sum by Weighted Sampling
• Selection of a representative sample
• scientific article; zbMATH DE number 1156589
• scientific article; zbMATH DE number 598041
• Calibration in survey sampling as an optimization problem

Cites work

• scientific article; zbMATH DE number 3008134 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• A Generalization of Sampling Without Replacement From a Finite Universe
• A general system for heuristic minimization of convex functions over non-convex sets
• Atomic decomposition by basis pursuit
• Block splitting for distributed optimization
• CVXPY: a Python-embedded modeling language for convex optimization
• Computational optimal transport. With applications to data sciences
• Conic optimization via operator splitting and homogeneous self-dual embedding
• Convergence of a block coordinate descent method for nondifferentiable minimization
• Discrete Multivariate Analysis Theory and Practice
• Distributed optimization and statistical learning via the alternating direction method of multipliers
• Generalized Raking Procedures in Survey Sampling
• Graph implementations for nonsmooth convex programs
• Iterative Proportional Scaling Revisited: A Modern Optimization Perspective
• OSQP: an operator splitting solver for quadratic programs
• On Information and Sufficiency
• Parameter selection and preconditioning for a graph form solver
• Practical tools for designing and weighting survey samples
• Reducibility among combinatorial problems
• Symmetric Quasidefinite Matrices

Cited in

(2)

• Selection of a representative sample
• rsw

Describes a project that uses

Uses Software

• ProximalOperators.jl
• QDLDL
• OSQP
• CVXR
• CVXPY
• ECOS
• NumPy
• SciPy
• Mosek
• YALMIP
• CVX
• Gurobi

This page was built for publication: Optimal representative sample weighting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2058720)