Quotation Schwendinger, Florian, Grün, Bettina, Hornik, Kurt. 2021. A comparison of optimization solvers for log binomial regression including conic programming. Computational Statistics.


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Abstract

Relative risks are estimated to assess associations and effects due to their ease of interpretability, e.g., in epidemiological studies. Fitting log-binomial regression models allows to use the estimated regression coefficients to directly infer the relative risks. The estimation of these models, however, is complicated because of the constraints which have to be imposed on the parameter space. In this paper we systematically compare different optimization algorithms to obtain the maximum likelihood estimates for the regression coefficients in log-binomial regression. We first establish under which conditions the maximum likelihood estimates are guaranteed to be finite and unique, which allows to identify and exclude problematic cases. In simulation studies using artificial data we compare the performance of different optimizers including solvers based on the augmented Lagrangian method, interior-point methods including a conic optimizer, majorize-minimize algorithms, iteratively reweighted least squares and expectation-maximization algorithm variants. We demonstrate that conic optimizers emerge as the preferred choice due to their reliability, lack of requirement to tune hyperparameters and speed.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Computational Statistics
Citation Index SCI
WU-Journal-Rating new FIN-A
Language English
Title A comparison of optimization solvers for log binomial regression including conic programming
Year 2021
URL https://link.springer.com/article/10.1007%2Fs00180-021-01084-5
DOI https://doi.org/10.1007/s00180-021-01084-5
Open Access Y
Open Access Link https://https://link.springer.com/article/10.1007/s00180-021-01084-5.org/10.1007/s00180-021-01084-5

Associations

People
Schwendinger, Florian (Former researcher)
Grün, Bettina (Details)
Hornik, Kurt (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1104 Applied mathematics (Details)
1105 Computer software (Details)
1121 Operations research (Details)
1162 Statistics (Details)
1165 Stochastics (Details)
5361 Financial management (Details)
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