tabu search

Finding the Best Subset of a GAM using Tabu Search and Visualizing It in R

Finding the best subset of variables for a regression is a very common task in statistics and machine learning. There are statistical methods based on asymptotic normal theory that can help you decide whether to add or remove a variable at a time. The problem with this is that it is a greedy approach and you can easily get stuck in a local mode. Another approach is to look at all possible subsets of the variables and see which one maximizes an objective function (accuracy on a test set, for example).