A polynomial algorithm for best-subset selection problem.

Abstract

Best-subset selection aims to find a small subset of predictors, so that the resulting linear model is expected to have the most desirable prediction accuracy. It is not only important and imperative in regression analysis but also has far-reaching applications in every facet of research, including computer science and medicine. We introduce a polynomial algorithm, which, under mild conditions, solves the problem. This algorithm exploits the idea of sequencing and splicing to reach a stable solution in finite steps when the sparsity level of the model is fixed but unknown. We define an information criterion that helps the algorithm select the true sparsity level with a high probability. We show that when the algorithm produces a stable optimal solution, that solution is the oracle estimator of the true parameters with probability one. We also demonstrate the power of the algorithm in several numerical studies.