Choosing the best set of variables in regression analysis using integer programming

Hiroshi Konno, Rei Yamamoto

Research output: Contribution to journalArticle

19 Citations (Scopus)

Abstract

This paper is concerned with an algorithm for selecting the best set of s variables out of k(> s) candidate variables in a multiple linear regression model. We employ absolute deviation as the measure of deviation and solve the resulting optimization problem by using 0-1 integer programming methodologies. In addition, we will propose a heuristic algorithm to obtain a close to optimal set of variables in terms of squared deviation. Computational results show that this method is practical and reliable for determining the best set of variables.

Original languageEnglish
Pages (from-to)273-282
Number of pages10
JournalJournal of Global Optimization
Volume44
Issue number2
DOIs
Publication statusPublished - 2009 Jun 1
Externally publishedYes

Keywords

  • 0-1 integer programming
  • Cardinality constraint
  • Least absolute deviation
  • Linear regression
  • Variable selection

ASJC Scopus subject areas

  • Computer Science Applications
  • Management Science and Operations Research
  • Control and Optimization
  • Applied Mathematics

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