Minimization of Akaike's information criterion in linear regression analysis via mixed integer nonlinear program
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Abstract: Akaike's information criterion (AIC) is a measure of the quality of a statistical model for a given set of data. We can determine the best statistical model for a particular data set by the minimization of the AIC. Since we need to evaluate exponentially many candidates of the model by the minimization of the AIC, the minimization is unreasonable. Instead, stepwise methods, which are local search algorithms, are commonly used to find a better statistical model though it may not be the best. We propose a branch and bound search algorithm for a mixed integer nonlinear programming formulation of the AIC minimization by Miyashiro and Takano (2015). More concretely, we propose methods to find lower and upper bounds, and branching rules for this minimization. We then combine them with SCIP, which is a mathematical optimization software and a branch-and-bound framework. We show that the proposed method can provide the best statistical model based on AIC for small-sized or medium-sized benchmark data sets in UCI Machine Learning Repository. Furthermore, we show that this method finds good quality solutions for large-sized benchmark data sets.
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Cites work
- 10.1162/153244303322753616
- A new look at the statistical model identification
- Algorithm for cardinality-constrained quadratic optimization
- Best subset selection via a modern optimization lens
- Constraint Pairing In Integer Programming
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- LAPACK Users' Guide
- Mixed integer nonlinear program for minimization of Akaike's information criterion
- Mixed integer second-order cone programming formulations for variable selection in linear regression
- SCIP: global optimization of mixed-integer nonlinear programs in a branch-and-cut framework
- SCIP: solving constraint integer programs
Cited in
(7)- Best subset selection via cross-validation criterion
- An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series
- Mixed integer quadratic optimization formulations for eliminating multicollinearity based on variance inflation factor
- Mixed integer nonlinear program for minimization of Akaike's information criterion
- A Mixed-Integer Fractional Optimization Approach to Best Subset Selection
- Sparse and smooth signal estimation: convexification of \(\ell_0\)-formulations
- Application of a mixed integer nonlinear programming approach to variable selection in logistic regression
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