Ben Van Roy, Stanford University

Event Details
  • Date/Time:
    • Tuesday February 9, 2010
      10:00 am - 11:00 am
  • Location: TBD
  • Phone:
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  • Fee(s):
    N/A
  • Extras:
Contact

Ton Dieker
ISyE
Contact Ton Dieker
404-385-3140

Summaries

Summary Sentence: Directed Regression

Full Summary: Directed Regression

Speaker
Ben Van Roy
Stanford University

Abstract
When used to guide decisions, linear regression analysis typically involves estimation of regression coefficients via ordinary least squares and their subsequent use in an optimization problem. When features are not chosen perfectly, it can be beneficial to account for the decision objective when computing regression coefficients. Empirical optimization does so but sacrifices performance when features are well-chosen or training data are insufficient. We propose directed regression, an efficient algorithm that combines merits of ordinary least squares and empirical optimization. We demonstrate through computational studies that directed regression generates performance gains over either alternative. We also develop a theory that motivates the algorithm.

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Categories
Seminar/Lecture/Colloquium
Keywords
directed regression
Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Feb 18, 2010 - 9:31am
  • Last Updated: Oct 7, 2016 - 9:49pm