lmSubsets: Exact Variable-Subset Selection in Linear Regression for R

Marc Hofmann, Cristian Gatu, Erricos J. Kontoghiorghes, Ana Colubi, Achim Zeileis

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An R package for computing the all-subsets regression problem is presented. The proposed algorithms are based on computational strategies recently developed. A novel algorithm for the best-subset regression problem selects subset models based on a predetermined criterion. The package user can choose from exact and from approximation algorithms. The core of the package is written in C++ and provides an efficient implementation of all the underlying numerical computations. A case study and benchmark results illustrate the usage and the computational efficiency of the package.

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