Piecewise linear time series estimation with GRASP

Authors
Medeiros, MC Resende, MGC Veiga, A
Citation
Mc. Medeiros et al., Piecewise linear time series estimation with GRASP, COMPUT OP A, 19(2), 2001, pp. 127-144
Citations number
11
Categorie Soggetti
Engineering Mathematics
Journal title
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
ISSN journal
09266003 → ACNP
Volume
19
Issue
2
Year of publication
2001
Pages
127 - 144
Database
ISI
SICI code
0926-6003(2001)19:2<127:PLTSEW>2.0.ZU;2-N
Abstract
This paper describes a heuristic to build piecewise linear statistical mode ls with multivariate thresholds, based on a Greedy Randomized Adaptive Sear ch Procedure (GRASP). GRASP is an iterative randomized sampling technique t hat has been shown to quickly produce good quality solutions for a wide var iety of optimization problems. In this paper we describe a GRASP to sequent ially split an n-dimensional space in order to build a piecewise linear tim e series model.