Application of Metaheuristic Approaches for the Variable Selection Problem

Variable selection is an old topic from regression models. Besides many conventional approaches, some metaheuristic approaches from the realm of optimization such as GA (genetic algorithm) or simulated annealing have been suggested to date. These methods have a considerable advantage to deal with many problems over the classical methods, but they must control relevant fine-tuning parameters associated with cross-over or mutation, which can be difficult and time-consuming. In this paper, Jaya, one of several parameter-free approaches will be suggested and explored. Several metaheuristic methods will be compared using results from a real-world dataset and a simulated dataset. The impact of using local search will be analyzed.