CRIO

Classification and Regression via Integer Optimization. CRIO separates data points in different polyhedral regions. In classification each region is assigned a class, while in regression each region has its own distinct regression coefficients. Computational experimentation with real data sets shows that CRIO is comparable to and often outperforms the current leading methods in classification and regression. The second part describes our cardinality-constrained quadratic mixed-integer optimization algorithm, used to solve subset selection in regression and portfolio selection in asset allocation.