Optimal learning in linear regression with combinatorial feature selection

DOI10.1287/IJOC.2016.0709zbMATH Open1397.62250OpenAlexW2524816779MaRDI QIDQ2960366FDOQ2960366

Authors:

Publication date: 8 February 2017

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/260ea316a1ba5a9403c2001cd59adfc56192f127

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zbMATH Keywords

ranking and selectionsimulation optimizationBayesian linear regressionoptimal learningsequential information collection

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical ranking and selection procedures (62F07) Sequential statistical analysis (62L10)

Cites Work

• Efficient global optimization of expensive black-box functions
• Title not available (Why is that?)
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• An explicit equivalent positive semidefinite program for nonlinear 0-1 programs
• Improved approximation algorithms for maximum cut and satisfiability problems using semidefinite programming
• A branch and bound method for stochastic global optimization
• The knowledge-gradient policy for correlated normal beliefs
• Technical note: Mathematical properties of the optimal product line selection problem using choice-based conjoint analysis
• Optimal quadratic quantization for numerics: the Gaussian case
• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Faster MIP solutions via new node selection rules
• The knowledge-gradient algorithm for sequencing experiments in drug discovery
• A Knowledge-Gradient Policy for Sequential Information Collection
• Semidefinite programming and integer programming
• Simulation allocation for determining the best design in the presence of correlated sampling
• An efficient simulation budget allocation method incorporating regression for partitioned domains
• Interior-point methods for optimization
• Learning to optimize via posterior sampling
• Gift Exchange in the Field
• On the complexity of semidefinite programs
• Linearly parameterized bandits
• Sequential sampling to myopically maximize the expected value of information
• Optimal information blending with measurements in the \(L^{2}\) sphere
• Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization

Cited In (4)

• Convexification of Queueing Formulas by Mixed-Integer Second-Order Cone Programming: An Application to a Discrete Location Problem with Congestion
• Title not available (Why is that?)
• Feature Selection for Ridge Regression with Provable Guarantees
• Complete expected improvement converges to an optimal budget allocation

Uses Software

• MILANO
• EGO

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