Piecewise-linear approximation for feature subset selection in a sequential logit model

DOI10.15807/JORSJ.60.1MaRDI QIDQ5267563zbMATH OpenOpenAlexFDO

Authors Toshiki Sato, Yuichi Takano, Ryuhei Miyashiro

Publication date 13 June 2017

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.05417

zbMATH Keywords

feature subset selectioninformation criterionoptimizationpiecewise-linear approximationsequential logit modelstatistics

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Mixed integer programming (90C11) Quadratic programming (90C20)

Abstract: This paper concerns a method of selecting a subset of features for a sequential logit model. Tanaka and Nakagawa (2014) proposed a mixed integer quadratic optimization formulation for solving the problem based on a quadratic approximation of the logistic loss function. However, since there is a significant gap between the logistic loss function and its quadratic approximation, their formulation may fail to find a good subset of features. To overcome this drawback, we apply a piecewise-linear approximation to the logistic loss function. Accordingly, we frame the feature subset selection problem of minimizing an information criterion as a mixed integer linear optimization problem. The computational results demonstrate that our piecewise-linear approximation approach found a better subset of features than the quadratic approximation approach.

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