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A variable selection method based on Tabu search for logistic regression models

Author

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  • Pacheco, Joaquín
  • Casado, Silvia
  • Núñez, Laura

Abstract

A Tabu search method is proposed and analysed for selecting variables that are subsequently used in Logistic Regression Models. The aim is to find from among a set of m variables a smaller subset which enables the efficient classification of cases. Reducing dimensionality has some very well-known advantages that are summarized in literature. The specific problem consists in finding, for a small integer value of p, a subset of size p of the original set of variables that yields the greatest percentage of hits in Logistic Regression. The proposed Tabu search method performs a deep search in the solution space that alternates between a basic phase (that uses simple moves) and a diversification phase (to explore regions not previously visited). Testing shows that it obtains significantly better results than the Stepwise, Backward or Forward methods used by classic statistical packages. Some results of applying these methods are presented.

Suggested Citation

  • Pacheco, Joaquín & Casado, Silvia & Núñez, Laura, 2009. "A variable selection method based on Tabu search for logistic regression models," European Journal of Operational Research, Elsevier, vol. 199(2), pages 506-511, December.
    • Handle: RePEc:eee:ejores:v:199:y:2009:i:2:p:506-511
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    References listed on IDEAS

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    1. Cristian Gatu & Erricos Kontoghiorghes, 2005. "Efficient strategies for deriving the subset VAR models," Computational Management Science, Springer, vol. 4(4), pages 253-278, November.
    2. Fred Glover, 1989. "Tabu Search---Part I," INFORMS Journal on Computing, INFORMS, vol. 1(3), pages 190-206, August.
    3. Pacheco, Joaquin & Casado, Silvia & Nunez, Laura & Gomez, Olga, 2006. "Analysis of new variable selection methods for discriminant analysis," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1463-1478, December.
    4. Meiri, Ronen & Zahavi, Jacob, 2006. "Using simulated annealing to optimize the feature selection problem in marketing applications," European Journal of Operational Research, Elsevier, vol. 171(3), pages 842-858, June.
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    Citations

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    Cited by:

    1. Brusco, Michael J. & Steinley, Douglas, 2011. "Exact and approximate algorithms for variable selection in linear discriminant analysis," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 123-131, January.
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    3. Pacheco, Joaquín & Casado, Silvia & Porras, Santiago, 2013. "Exact methods for variable selection in principal component analysis: Guide functions and pre-selection," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 95-111.
    4. Aytug, Haldun, 2015. "Feature selection for support vector machines using Generalized Benders Decomposition," European Journal of Operational Research, Elsevier, vol. 244(1), pages 210-218.
    5. García-Alonso, Carlos R. & Torres-Jiménez, Mercedes & Hervás-Martínez, César, 2010. "Income prediction in the agrarian sector using product unit neural networks," European Journal of Operational Research, Elsevier, vol. 204(2), pages 355-365, July.
    6. Unler, Alper & Murat, Alper, 2010. "A discrete particle swarm optimization method for feature selection in binary classification problems," European Journal of Operational Research, Elsevier, vol. 206(3), pages 528-539, November.
    7. Casado Yusta, Silvia & Nœ–ez Letamendía, Laura & Pacheco Bonrostro, Joaqu’n Antonio, 2018. "Predicting Corporate Failure: The GRASP-LOGIT Model || Predicci—n de la quiebra empresarial: el modelo GRASP-LOGIT," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 294-314, Diciembre.
    8. Ortelli, Nicola & Hillel, Tim & Pereira, Francisco C. & de Lapparent, Matthieu & Bierlaire, Michel, 2021. "Assisted specification of discrete choice models," Journal of choice modelling, Elsevier, vol. 39(C).
    9. Fouskakis, D., 2012. "Bayesian variable selection in generalized linear models using a combination of stochastic optimization methods," European Journal of Operational Research, Elsevier, vol. 220(2), pages 414-422.
    10. Brusco, Michael J., 2014. "A comparison of simulated annealing algorithms for variable selection in principal component analysis and discriminant analysis," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 38-53.
    11. Toshiki Sato & Yuichi Takano & Ryuhei Miyashiro & Akiko Yoshise, 2016. "Feature subset selection for logistic regression via mixed integer optimization," Computational Optimization and Applications, Springer, vol. 64(3), pages 865-880, July.
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    13. Paz, Alexander & Arteaga, Cristian & Cobos, Carlos, 2019. "Specification of mixed logit models assisted by an optimization framework," Journal of choice modelling, Elsevier, vol. 30(C), pages 50-60.

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