Best subset selection via cross-validation criterion

This paper is concerned with the cross-validation criterion for selecting the best subset of explanatory variables in a linear regression model. In contrast with the use of statistical criteria (e.g., Mallows’ $$C_p$$Cp, the Akaike information criterion, and the Bayesian information criterion), cross-validation requires only mild assumptions, namely, that samples are identically distributed and that training and validation samples are independent. For this reason, the cross-validation criterion is expected to work well in most situations involving predictive methods. The purpose of this paper is to establish a mixed-integer optimization approach to selecting the best subset of explanatory variables via the cross-validation criterion. This subset-selection problem can be formulated as a bilevel MIO problem. We then reduce it to a single-level mixed-integer quadratic optimization problem, which can be solved exactly by using optimization software. The efficacy of our method is evaluated through simulation experiments by comparison with statistical-criterion-based exhaustive search algorithms and $$L_1$$L1-regularized regression. Our simulation results demonstrate that, when the signal-to-noise ratio was low, our method delivered good accuracy for both subset selection and prediction.