Integrated Subset Selection and Bandwidth Estimation Algorithm for Geographically Weighted Regression

This study proposes a mathematical programming-based algorithm for the integrated selection of variable subsets and bandwidth estimation in geographically weighted regression, a local regression method that allows the kernel bandwidth and regression coefficients to vary across study areas. Unlike standard approaches in the literature, in which bandwidth and regression parameters are estimated separately for each focal point on the basis of different criteria, our model uses a single objective function for the integrated estimation of regression and bandwidth parameters across all focal points, based on the regression likelihood function and variance modeling. The proposed model further integrates a procedure to select a single subset of independent variables for all focal points, whereas existing approaches may return heterogeneous subsets across focal points. We then propose an alternative direction method to solve the nonconvex mathematical model and show that it converges to a partial minimum. The computational experiment indicates that the proposed algorithm provides competitive explanatory power with stable spatially varying patterns, with the ability to select the best subset and account for additional constraints.