Piecewise linear time series estimation with GRASP

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 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.

PostScript file of full paper

PDF file of full paper
Go back
Mauricio G.C. Resende's Home Page
Last modified: 28 June 2002

Copyright Notice