A collection of functions which (i) assess the quality of variable subsets as surrogates for a full data set, in either an exploratory data analysis or in the context of a multivariate linear model, and (ii) search for subsets which are optimal under various criteria. Theoretical support for the heuristic search methods and exploratory data analysis criteria is in Cadima, Cerdeira, Minhoto (2003, <doi:10.1016/j.csda.2003.11.001>). Theoretical support for the leap and bounds algorithm and the criteria for the general multivariate linear model is in Duarte Silva (2001, <doi:10.1006/jmva.2000.1920>). There is a package vignette "subselect", which includes additional references.
Package details 


Author  Jorge Orestes Cerdeira [aut], Pedro Duarte Silva [aut], Jorge Cadima [aut, cre], Manuel Minhoto [aut] 
Maintainer  Jorge Cadima <jcadima@isa.ulisboa.pt> 
License  GPL (>= 2) 
Version  0.15.2 
Package repository  View on CRAN 
Installation 
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