Integer programming methods for normalisation and variable selection in mathematical programming discriminant analysis models

J J Glen ()
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J J Glen: The University of Edinburgh

Journal of the Operational Research Society, 1999, vol. 50, issue 10, 1043-1053

Abstract: Abstract Mathematical programming discriminant analysis models must be normalised to prevent the generation of discriminant functions in which the variable coefficients and the constant term are zero. This normalisation requirement can cause difficulties, and unlike statistical discriminant analysis, variables cannot be selected in a computationally efficient way with mathematical programming discriminant analysis models. Two new integer programming normalisations are proposed in this paper. In the first, binary variables are used to represent the constant term, but with this normalisation functions with a zero constant term cannot be generated and the variable coefficients are not invariant under origin shifts. These limitations are overcome by using integer programming methods to constrain the sum of the absolute values of the variable coefficients to a constant. These new normalisations are extended to allow variable selection with mathematical programming discriminant analysis models. The use of these new applications of integer programming is illustrated using published data.

Keywords: discriminant analysis; integer programming; mathematical programming (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (10)

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DOI: 10.1057/palgrave.jors.2600804

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