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Minimization of Akaike's Information Criterion in Linear Regression Analysis via Mixed Integer Nonlinear Program

Keiji Kimura (k-kimura***at***math.kyushu-u.ac.jp)
Hayato Waki (waki***at***imi.kyushu-u.ac.jp)

Abstract: Akaike's information criterion (AIC) is a measure of the quality of a statistical model for a given set of data. We can determine the best statistical model for a particular data set by the minimization of the AIC. Since we need to evaluate exponentially many candidates of the model by the minimization of the AIC, the minimization is unreasonable. Instead, stepwise methods, which are local search algorithms, are commonly used to find a better statistical model though it may not be the best. We formulate this AIC minimization as a mixed integer nonlinear programming problem and propose a method to find the best statistical model. In particular, we propose ways to find lower and upper bounds, and branching rules for this minimization. We then combine them with SCIP, which is a mathematical optimization software and a branch-and-bound framework. We show that the proposed method can provide the best statistical model based on AIC for small-sized or medium-sized benchmark data sets in UCI Machine Learning Repository. Furthermore, we show that this method finds good quality solutions for large-sized benchmark data sets.

Keywords: Mixed integer nonlinear program, branch-and-bound, SCIP and Akaike’s information criterion

Category 1: Integer Programming ((Mixed) Integer Nonlinear Programming )

Citation:

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Entry Submitted: 06/15/2016
Entry Accepted: 06/16/2016
Entry Last Modified: 06/24/2016

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