Scalable holistic linear regression

DOI10.1016/J.ORL.2020.02.008MaRDI QIDQ2183189zbMATH OpenOpenAlexFDO

Authors Michael Lingzhi Li, Dimitris Bertsimas

Publication date 26 May 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.03272

zbMATH Keywords

mixed-integer optimizationholistic linear regressionmulticollinearity and significance in linear regression

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• BEST SUBSET SELECTION FOR ELIMINATING MULTICOLLINEARITY
• Characterization of the equivalence of robustification and regularization in linear and matrix regression
• Mixed integer quadratic optimization formulations for eliminating multicollinearity based on variance inflation factor
• OR forum: An algorithmic approach to linear regression

Cited in

(5)

• Scalable Holistic Linear Regression
• Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
• Learning sparse nonlinear dynamics via mixed-integer optimization
• Scaled sparse linear regression
• Rejoinder: ``Sparse regression: scalable algorithms and empirical performance

Describes a project that uses

Uses Software

• UCI

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