Holistic Generalized Linear Models [article]

Benjamin Schwendinger, Florian Schwendinger, Laura Vana
2022 arXiv   pre-print
Holistic linear regression extends the classical best subset selection problem by adding additional constraints designed to improve the model quality. These constraints include sparsity-inducing constraints, sign-coherence constraints and linear constraints. The package provides functionality to model and fit holistic generalized linear models. By making use of state-of-the-art conic mixed-integer solvers, the package can reliably solve GLMs for Gaussian, binomial and Poisson responses with a
more » ... ltitude of holistic constraints. The high-level interface simplifies the constraint specification and can be used as a drop-in replacement for the function.
arXiv:2205.15447v1 fatcat:z552zwu335cexjtihfazkh6i54