A Note on Exact Computation of Max Weighted Score Estimators by Mixed Integer Programming
22 Pages Posted: 16 Aug 2007 Last revised: 8 Dec 2008
Date Written: August 1, 2007
We show that exact computation of a family of 'max weighted score' estimators, including Manski's max score estimator, can be achieved efficiently by reformulating them as mixed integer programs (MIP) with disjunctive constraints. The advantage of our MIP formulation is that estimates are exact and can be computed using widely available solvers in reasonable time. In a classic work-trip mode choice application our method delivers exact estimates that lead to a different economic interpretation of the data than previous heuristic estimates. In a small Monte Carlo study we find that our approach is computationally efficient for usual estimation problem sizes.
Keywords: maximum score, mixed integer programming, estimator computation, work-trip mode choice
JEL Classification: C25, C61, C63 , C87
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