Fitting Jump Models
Machine Learning
2018-05-22 v2 Systems and Control
Optimization and Control
Abstract
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.
Cite
@article{arxiv.1711.09220,
title = {Fitting Jump Models},
author = {A. Bemporad and V. Breschi and D. Piga and S. Boyd},
journal= {arXiv preprint arXiv:1711.09220},
year = {2018}
}
Comments
Accepted for publication in Automatica