Mixed integer second-order cone programming formulations for variable selection in linear regression.
European Journal of Operational Research（2015）
摘要
•AIC/BIC minimization, and adjusted R2 maximization problems are considered.•These problems are formulated as mixed integer second-order cone programming problems.•Experiments shows results of better quality than obtained by stepwise regression.
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关键词
Integer programming,Variable selection,Multiple linear regression,Information criterion,Second-order cone programming
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