Auction code front end

Alpha Investing on line (by Bob Stine and Dean Foster)

Speed (number of variables to try)

tiny (10)
fast (100)
medium (1000)
slow (10000)

patience (100k)
Forever (1M)

Pick your file to analyze

File:
Download your data
bankruptcy data
digits (0 vs other)
baseball
Boston Housing
Philadelphia Housing (crime)
Hadamard
Larger Hadamard

Prep'ing your data

Here are guidelines for preparing your data: To do cross validation:

Under the hood

Papers

The sample data sets

The bankruptcy data is discussed in our JASA paper.

The baseball data is from here. It has no particular significance, except I was discussing it in class when I wrote this page.

The Hadamard data set (simulated) is motivated by Manfred's paper, Leaving the span. He argues that linear methods can't find the fit here. So if our code find it, we must be non-linear! (We search the space of linear models, but our method is clearly non-linear.)

Code

If you want the code, please email either Bob or Dean. We will try to keep a .tgz file on line and upto date, but it is best to email for a fresh copy.

What happens: