sisal
Sequential Input Selection Algorithm
Implements the SISAL algorithm by Tikka and Hollmén. It is a sequential backward selection algorithm which uses a linear model in a cross-validation setting. Starting from the full model, one variable at a time is removed based on the regression coefficients. From this set of models, a parsimonious (sparse) model is found by choosing the model with the smallest number of variables among those models where the validation error is smaller than a threshold. Also implements extensions which explore larger parts of the search space and/or use ridge regression instead of ordinary least squares.
- Version0.49
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- sisal citation info
- Last release10/26/2024
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Team
Mikko Korpela
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- Imports6 packages
- Suggests1 package