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A Splicing Approach to Best Subset of Groups Selection

Author

Listed:
  • Yanhang Zhang

    (School of Statistics, Renmin University of China, Beijing 100872, China; Southern China Center for Statistical Science, Department of Statistical Science, School of Mathematics, Sun Yat-Sen University, Guangzhou 510275, China)

  • Junxian Zhu

    (Saw Swee Hock School of Public Health, National University of Singapore, 117549 Singapore)

  • Jin Zhu

    (Southern China Center for Statistical Science, Department of Statistical Science, School of Mathematics, Sun Yat-Sen University, Guangzhou 510275, China)

  • Xueqin Wang

    (Department of Statistics and Finance/International Institute of Finance, School of Management, University of Science and Technology of China, Hefei 230026, China)

Abstract

Best subset of groups selection (BSGS) is the process of selecting a small part of nonoverlapping groups to achieve the best interpretability on the response variable. It has attracted increasing attention and has far-reaching applications in practice. However, due to the computational intractability of BSGS in high-dimensional settings, developing efficient algorithms for solving BSGS remains a research hotspot. In this paper, we propose a group-splicing algorithm that iteratively detects the relevant groups and excludes the irrelevant ones. Moreover, coupled with a novel group information criterion, we develop an adaptive algorithm to determine the optimal model size. Under certain conditions, it is certifiable that our algorithm can identify the optimal subset of groups in polynomial time with high probability. Finally, we demonstrate the efficiency and accuracy of our methods by comparing them with several state-of-the-art algorithms on both synthetic and real-world data sets.

Suggested Citation

  • Yanhang Zhang & Junxian Zhu & Jin Zhu & Xueqin Wang, 2023. "A Splicing Approach to Best Subset of Groups Selection," INFORMS Journal on Computing, INFORMS, vol. 35(1), pages 104-119, January.
    • Handle: RePEc:inm:orijoc:v:35:y:2023:i:1:p:104-119
    DOI: 10.1287/ijoc.2022.1241
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    References listed on IDEAS

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