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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 127-144 |
| Number of pages | 18 |
| Journal | Computational Optimization and Applications |
| Volume | 19 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jul 2001 |
| Externally published | Yes |
Keywords
- Combinatorial optimization
- Nonlinear time series analysis
- Piecewise linear models
- Search heuristic GRASP
ASJC Scopus subject areas
- Control and Optimization
- Computational Mathematics
- Applied Mathematics