Convex Regression with Interpretable Sharp Partitions.

We consider the problem of predicting an outcome variable on the basis of a small number of covariates, using an interpretable yet non-additive model. We propose (CRISP) for this task. CRISP partitions the covariate space into blocks in a data-adaptive way, and fits a mean model within each block. Unlike other partitioning methods, CRISP is fit using a non-greedy approach by solving a convex optimization problem, resulting in low-variance fits. We explore the properties of CRISP, and evaluate its performance in a simulation study and on a housing price data set.