Subset selection by Mallows’ Cp: A mixed integer programming approach

作者：

Highlights：

• A subset selection problem with respect to Mallows’ is considered.

• The problem is formulated as a mixed integer quadratic programming problem.

• For small instances, the MIQP approach provides optimal solutions in a few seconds.

• For large instances, the MIQP approach is faster than stepwise regression methods.

摘要

•A subset selection problem with respect to Mallows’ is considered.•The problem is formulated as a mixed integer quadratic programming problem.•For small instances, the MIQP approach provides optimal solutions in a few seconds.•For large instances, the MIQP approach is faster than stepwise regression methods.

论文关键词：Subset selection,Mixed integer programming,Mallows’ ,Linear regression model

论文评审过程：Available online 9 August 2014.

论文官网地址：https://doi.org/10.1016/j.eswa.2014.07.056