Particle swarm stepwise (PaSS) algorithm for information criteria-based variable selections
Journal
Journal of Statistical Computation and Simulation
Journal Volume
91
Journal Issue
11
Pages
2211-2226
Date Issued
2021
Author(s)
Abstract
A new stochastic search algorithm is proposed for solving information-criterion-based variable selection problems. The idea behind the proposed algorithm is to search for the best model for the previously specified information criterion using multiple search particles. These particles simultaneously explore the candidate model space and communicate with each other to share search information. A new stochastic stepwise procedure is proposed to update the model during the search for the best model by adding or deleting variables. The proposed algorithm can also be used to generate variable selection ensembles efficiently. Several examples are used to demonstrate the performances of the proposed algorithm. A parallel version of the proposed algorithm is also introduced to accelerate the performance in terms of computation time. ? 2021 Informa UK Limited, trading as Taylor & Francis Group.
Subjects
Information criterion
optimization
parallel computing
variable selection ensemble
SDGs
Type
journal article