Piecewise Linear Time Series Estimation with GRASP
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- Comp. Opt. and Appl.
دوره 19 شماره
صفحات -
تاریخ انتشار 2001