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Piecewise Linear Time Series Estimation with GRASP |
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| Authors: | Marcelo C. Medeiros Mauricio G.C. Resende Alvaro Veiga |
| Affiliation: | (1) Department of Electrical Engineering, Catholic University of Rio de Janeiro, Rio de Janeiro, RJ, Brazil;(2) Information Sciences Research, AT&T Labs Research, Florham Park, NJ, 07932, USA.;(3) Department of Electrical Engineering, Catholic University of Rio de Janeiro, Rio de Janeiro, RJ, Brazil |
| Abstract: | This paper describes a heuristic to build piecewise linear statistical models with multivariate thresholds, based on a Greedy Randomized Adaptive Search Procedure (GRASP). GRASP is an iterative randomized sampling technique that has been shown to quickly produce good quality solutions for a wide variety of optimization problems. In this paper we describe a GRASP to sequentially split an n-dimensional space in order to build a piecewise linear time series model. |
| Keywords: | nonlinear time series analysis piecewise linear models combinatorial optimization search heuristic GRASP |
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