M.C. Medeiros, M.G.C. Resende, A. Veiga
Computational Optimization and Applications, vol. 19, pp. 127-144, 2001
This paper describes a heuristic to build piecewise
linear statistical models with multivariate thresholds, based on a
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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