Fitting Jump Models

We describe a new framework for fitting jump models to a sequence of data. The key idea is to alternate between minimizing a loss function to fit multiple model parameters, and minimizing a discrete loss function to determine which set of model parameters is active at each data point. The framework...

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Bibliographic Details
Main Authors Bemporad, A, Breschi, V, Piga, D, Boyd, S
Format Journal Article
LanguageEnglish
Published 25.11.2017
Subjects
Computer Science - Learning
Computer Science - Systems and Control
Mathematics - Optimization and Control
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Summary:We describe a new framework for fitting jump models to a sequence of data. The key idea is to alternate between minimizing a loss function to fit multiple model parameters, and minimizing a discrete loss function to determine which set of model parameters is active at each data point. The framework is quite general and encompasses popular classes of models, such as hidden Markov models and piecewise affine models. The shape of the chosen loss functions to minimize determine the shape of the resulting jump model.
DOI:10.48550/arxiv.1711.09220