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Piecewise Linear Time Series Estimation with GRASP

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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.

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Authors and Affiliations

  1. Department of Electrical Engineering, Catholic University of Rio de Janeiro, Rio de Janeiro, RJ, Brazil

    Marcelo C. Medeiros

  2. Information Sciences Research, AT&T Labs Research, Florham Park, NJ, 07932, USA.

    Mauricio G.C. Resende

  3. Department of Electrical Engineering, Catholic University of Rio de Janeiro, Rio de Janeiro, RJ, Brazil

    Alvaro Veiga

Authors
  1. Marcelo C. Medeiros
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  2. Mauricio G.C. Resende
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  3. Alvaro Veiga
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Medeiros, M.C., Resende, M.G. & Veiga, A. Piecewise Linear Time Series Estimation with GRASP. Computational Optimization and Applications 19, 127–144 (2001). https://doi.org/10.1023/A:1011238718363

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  • DOI: https://doi.org/10.1023/A:1011238718363

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