We present a mixed-integer optimization (MIO) approach to sparse Poisson regression. The MIO approach to sparse linear regression was first proposed in the 1970s, but has recently received renewed attention due to advances in optimization algorithms and computer hardware. In contrast to many sparse estimation algorithms, the MIO approach has the advantage of finding the best subset of explanatory variables with respect to various criterion functions. In this paper, we focus on a sparse Poisson regression that maximizes the weighted sum of the log-likelihood function and the L2-regularization term. For this problem, we derive a mixed-integer quadratic optimization (MIQO) formulation by applying a piecewise-linear approximation to the log-likelihood function. Optimization software can solve this MIQO problem to optimality. Moreover, we propose two methods for selecting a limited number of tangent lines effective for piecewise-linear approximations. We assess the efficacy of our method through computational experiments using synthetic and real-world datasets. Our methods for selecting tangent lines provide better log-likelihood values than do conventional greedy algorithms. In addition, our MIQO formulation delivers better out-of-sample prediction performance than do forward stepwise selection and L1-regularized estimation, especially in low-noise situations.
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