Hiroki Saishu – Optimization Online

Cutting-plane algorithm for sparse estimation of the Cox proportional-hazards model

Published: 2022/08/01

(Mixed) Integer Nonlinear Programming, Branch and Cut Algorithms, Statistics Cox model, cutting-plane algorithm, fenchel conjugate, mixed integer optimization, sparse estimation, survival analysis

Survival analysis is a family of statistical methods for analyzing event occurrence times. In this paper, we address the mixed-integer optimization approach to sparse estimation of the Cox proportional-hazards model for survival analysis. Specifically, we propose a high-performance cutting-plane algorithm based on reformulation of bilevel optimization for sparse estimation. This algorithm solves the upper-level problem … Read more

Sparse Poisson regression via mixed-integer optimization

Published: 2020/11/12

Kota Kudo

Yuichi Takano

Hiroki Saishu

Integer Programming, Statistics mixed-integer programming, piecewise linear approximation, poisson regression, sparse estimation

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 … Read more