High dimensional interaction search by brute force requires a quadratic computational cost in the number of variables. The xyz algorithm provably finds strong interactions in almost linear time. For details of the algorithm see: G. Thanei, N. Meinshausen and R. Shah (2016). The xyz algorithm for fast interaction search in high-dimensional data <https://arxiv.org/pdf/1610.05108v1.pdf>.
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Summary
High dimensional interaction search by brute force requires a quadratic computational cost in the number of variables. The xyz algorithm provably finds strong interactions in almost linear time. For details of the algorithm see: G. Thanei, N. Meinshausen and R. Shah (2016). The xyz algorithm for fast interaction search in high-dimensional data <https://arxiv.org/pdf/1610.05108v1.pdf>.
Last Updated
Sep 16, 2019 at 07:37
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GPL-3
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