Estimating the optimal linear combination of predictors using spherically constrained optimization

Priyam Das, Debsurya De, Raju Maiti, Mona Kamal, Katherine A. Hutcheson, Clifton D. Fuller, Bibhas Chakraborty & Christine B. Peterson
Abstract Background In the context of a binary classification problem, the optimal linear combination of continuous predictors can be estimated by maximizing the area under the receiver operating characteristic curve. For ordinal responses, the optimal predictor combination can similarly be obtained by maximization of the hypervolume under the manifold (HUM). Since the empirical HUM is discontinuous, non-differentiable, and possibly multi-modal, solving this maximization problem requires a global optimization technique. Estimation of the optimal coefficient vector...
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