Greedy and Relaxed Approximations to Model Selection : A simulation study

The Minimum Description Length (MDL) principle is an important tool for retrieving knowledge from data as it embodies the scientific strife for simplicity in describing the relationship among variables. As MDL and other model selection criteria penalize models on their dimensionality, the estimation problem involves a combinatorial search over subsets of predictors and quickly becomes computationally cumbersome. Two approximation frameworks are: convex relaxation and greedy algorithms. In this article, we perform extensive simulations comparing two algorithms for generating candidate models that mimic the best subsets of predictors for given sizes (Forward Stepwise and the Least Absolute Shrinkage and Selection Operator LASSO). From the list of models determined by each method, we consider estimates chosen by two different model selection criteria (AICc and the generalized MDL criterion gMDL). The comparisons are made in terms of their selection and prediction performances. In terms of variable selection, we consider two different metrics. For the number of selection errors, our results suggest that the combination Forward Stepwise+gMDL has a better performance over different sample sizes and sparsity regimes. For the second metric of rate of true positives among the selected variables, LASSO+gMDL seems more appropriate for very small sample sizes, while Forward Stepwise+gMDL has a better performance for sample sizes at least as large as the number of factors being screened. Moreover, we found that, asymptotically, Zhao and Yu’s ((1)) irrepresentibility condition (index) has a larger impact on the selection performance of Lasso than on Forward Stepwise. In what refers to prediction performance, LASSO+AICc results in good predictive models over a wide range of sample sizes and sparsity regimes. Last but not least, these simulation results reveal that one method often can not serve for both selection and prediction purposes.