Piecewise Linear Time Series Estimation with GRASP

  • Authors:

  • Marcelo C. Medeiros;Mauricio G. C. Resende;Alvaro Veiga

  • Affiliations:

  • Department of Electrical Engineering, Catholic University of Rio de Janeiro, Rio de Janeiro, RJ, Brazil. mcm@ele.puc-rio.br;Information Sciences Research, AT&T Labs Research, Florham Park, NJ 07932, USA. mgcr@research.att.com;Department of Electrical Engineering, Catholic University of Rio de Janeiro, Rio de Janeiro, RJ, Brazil. alvf@ele.puc-rio.br

  • Venue:
  • Computational Optimization and Applications
  • Year:
  • 2001

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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.