Scalable holistic linear regression

Abstract

We propose a new scalable algorithm for holistic linear regression building on Bertsimas & King (2016). Specifically, we develop new theory to model significance and multicollinearity as lazy constraints rather than checking the conditions iteratively. The resulting algorithm scales with the number of samples n in the 10,000s, compared to the low 100s in the previous framework. Computational results on real and synthetic datasets show it greatly improves from previous algorithms in accuracy, false detection rate, computational time and scalability.