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Exact and heuristic algorithms for variable selection: Extended Leaps and Bounds

Author

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  • A. Pedro Duarte Silva

    () (Faculdade de Economia e Gestão - Universidade Católica Portuguesa - Porto)

Abstract

An implementation of enhanced versions of the classical Leaps and Bounds algorithm for variable selection is provided. Features of this implementation include: (i) The availability of general routines capable of handling many different statistical methodologies and comparison criteria. (ii) Routines designed for exact and heuristic searches. (iii) The possibility of dealing with problems with more variables than observations. The implementation is supplied in two different ways: i) as a C++ library with abstract classes that can be specialized to different problems and criteria. ii) as a console application ready to be applied to searches according to some of the most important comparison criteria proposed to date. The code of the C++ library and console application described here, can be freely obtained by sending an email to the author.

Suggested Citation

  • A. Pedro Duarte Silva, 2009. "Exact and heuristic algorithms for variable selection: Extended Leaps and Bounds," Working Papers de Economia (Economics Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  • Handle: RePEc:cap:wpaper:012009
    as

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    References listed on IDEAS

    as
    1. Duarte Silva, António Pedro, 2001. "Efficient Variable Screening for Multivariate Analysis," Journal of Multivariate Analysis, Elsevier, vol. 76(1), pages 35-62, January.
    2. Cadima, Jorge & Cerdeira, J. Orestes & Minhoto, Manuel, 2004. "Computational aspects of algorithms for variable selection in the context of principal components," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 225-236, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Variable Selection Algorithms; All-Subsets; Heuristics;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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