An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series

DOI10.1007/s10589-019-00134-5zbMath1435.90088OpenAlexW2973534585WikidataQ127218250 ScholiaQ127218250MaRDI QIDQ2282827

Leonardo Di Gangi, Alessio Sortino, Matteo Lapucci, Fabio Schoen

Publication date: 19 December 2019

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-019-00134-5

zbMATH Keywords

subset selectionlinear regressionMINLPautoregressive time-series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Mixed integer programming (90C11)

Related Items (3)

Mixed-integer quadratic programming reformulations of multi-task learning models ⋮ Convergent inexact penalty decomposition methods for cardinality-constrained problems ⋮ An effective procedure for feature subset selection in logistic regression based on information criteria

Uses Software

• R
• UCI-ml
• Gurobi
• forecast
• LBFGS-B
• Forecast
• MAIC

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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
• On constrained and regularized high-dimensional regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Algorithm for cardinality-constrained quadratic optimization
• Estimating the dimension of a model
• Akaike's information criterion and recent developments in information complexity
• Sparse high-dimensional regression: exact scalable algorithms and phase transitions
• An algorithm for the estimation of a regression function by continuous piecewise linear functions
• Information criteria and statistical modeling.
• OR Forum—An Algorithmic Approach to Linear Regression
• Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
• Selection of the order of an autoregressive model by Akaike's information criterion
• Minimization of Akaike's information criterion in linear regression analysis via mixed integer nonlinear program
• Sparse Approximate Solutions to Linear Systems
• A Limited Memory Algorithm for Bound Constrained Optimization
• A Mixed-Integer Fractional Optimization Approach to Best Subset Selection
• High Dimensional Thresholded Regression and Shrinkage Effect
• Piecewise linear time series estimation with GRASP
• Benchmarking optimization software with performance profiles.
• A new look at the statistical model identification

This page was built for publication: An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series