Highest Posterior Model Computation and Variable Selection via Simulated Annealing
Volume 1, Issue 2 (2023), pp. 200–207
Pub. online: 26 June 2023
Type: Methodology Article
Open Access
Open Access
Area: Statistical Methodology
Accepted
30 May 2023
30 May 2023
Published
26 June 2023
26 June 2023
Abstract
Variable selection is widely used in all application areas of data analytics, ranging from optimal selection of genes in large scale micro-array studies, to optimal selection of biomarkers for targeted therapy in cancer genomics to selection of optimal predictors in business analytics. A formal way to perform this selection under the Bayesian approach is to select the model with highest posterior probability. The problem may be thought as an optimization problem over the model space where the objective function is the posterior probability of model. We propose to carry out this optimization using simulated annealing and we illustrate its feasibility in high dimensional problems. By means of various simulation studies, this new approach has been shown to be efficient. Theoretical justifications are provided and applications to high dimensional datasets are discussed. The proposed method is implemented in an R package sahpm for general use and is made available on R CRAN.
Supplementary material
Supplementary MaterialThe R package sahpm for the method SA-HPM is available on R CRAN . Further mathematical discussion on the convergence of this method is given in a separate supplementary material.
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