It is difficult to handle the extraordinary data volume generated in many fields with current computational resources and techniques. This is very challenging when applying conventional statistical methods to big data. A common approach is to partition full data into smaller subdata for purposes such as training, testing, and validation. The primary purpose of training data is to represent the full data. To achieve this goal, the selection of training subdata becomes pivotal in retaining essential characteristics of the full data. Recently, several procedures have been proposed to select "optimal design points" as training subdata under pre-specified models, such as linear regression and logistic regression. However, these subdata will not be "optimal" if the assumed model is not appropriate. Furthermore, such subdata cannot be useful to build alternative models because it is not an appropriate representative sample of the full data. In this article, we propose a novel algorithm for better model building and prediction via a process of selecting a "good" training sample. The proposed subdata can retain most characteristics of the original big data. It is also more robust that one can fit various response model and select the optimal model. Supplementary materials for this article are available online.
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