Scalable Holistic Linear Regression

DOI10.1016/J.ORL.2020.02.008MaRDI QIDQ6313821arXivFDO

Authors Dimitris Bertsimas, Michael Lingzhi Li

Publication date 8 February 2019

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.ORL.2020.02.008

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Mixed integer programming (90C11)

arXiv classification

cs.LGmath.OCstat.ML

Abstract: We propose a new scalable algorithm for holistic linear regression building on Bertsimas & King (2016). Specifically, we develop new theory to model significance and multicollinearity as lazy constraints rather than checking the conditions iteratively. The resulting algorithm scales with the number of samples $n$ in the 10,000s, compared to the low 100s in the previous framework. Computational results on real and synthetic datasets show it greatly improves from previous algorithms in accuracy, false detection rate, computational time and scalability.

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