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arXiv · 1804.07935

Best subset selection in linear regression via bi-objective mixed integer linear programming

Hadi Charkhgard·Ali Eshragh
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Abstract

We study the problem of choosing the best subset of p features in linear regression given n observations. This problem naturally contains two objective functions including minimizing the amount of bias and minimizing the number of predictors. The existing approaches transform the problem into a single-objective optimization problem. We explain the main weaknesses of existing approaches, and to overcome their drawbacks, we propose a bi-objective mixed integer linear programming approach. A computational study shows the efficacy of the proposed approach.

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Hadi Charkhgard, Ali Eshragh. 2018-04-21. Best subset selection in linear regression via bi-objective mixed integer linear programming. https://arxiv.org/abs/1804.07935

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