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.

sisal

Overview

Input selection with SISAL, originally developed by Tikka and Hollmén. It is a sequential backward selection algorithm which uses a linear model in a cross-validation setting.

Installation

The latest release version of sisal is installed from CRAN as follows:

install.packages("sisal")

The development version can be installed with devtools (install.packages("devtools")):

devtools::install_github("mvkorpel/sisal")