BeSS: An R Package for Best Subset Selection in Linear, Logistic and Cox Proportional Hazards Models

BeSS: An R Package for Best Subset Selection in Linear, Logistic and Cox Proportional Hazards Models

best subset selection, primal dual active set, model selection, variable selection, R,
C++, Rcpp

We introduce a new R package, BeSS, for solving the best subset selection problem
in linear, logistic and Cox’s proportional hazard (CoxPH) models. It utilizes a highly
efficient active set algorithm based on primal and dual variables, and supports sequential
and golden search strategies for best subset selection. We provide a C++ implementation
of the algorithm using an Rcpp interface. We demonstrate through numerical experiments based on enormous simulation and real datasets that the new BeSS package has
competitive performance compared to other R packages for best subset selection purposes

Canhong Wen

https://www.jstatsoft.org/article/view/v094i04

University of Science
and Technology of China
Sun Yat-sen University

June 2020

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