Subset selection in multiple linear regression: a new mathematical programming approach

@article{Eksioglu2005SubsetSI,
  title={Subset selection in multiple linear regression: a new mathematical programming approach},
  author={Burak Eksioglu and Riza Demirer and Ismail Capar},
  journal={Computers & Industrial Engineering},
  year={2005},
  volume={49},
  pages={155-167}
}
We address the so-called subset selection problem in multiple linear regression where the objective is to select a minimal subset of predictor variables without sacrificing any explanatory power. A new mathematical programming model is proposed for this purpose. A parametric solution of this model yields a number of efficient subsets. To obtain this solution, we repeatedly use an exact or one of two heuristic algorithms. The subsets generated in this way are compared with the ones generated by… CONTINUE READING

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