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Computer Science > Learning

Title: Fitting Jump Models

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.
Comments: Accepted for publication in Automatica
Subjects: Learning (cs.LG); Systems and Control (cs.SY); Optimization and Control (math.OC)
Cite as: arXiv:1711.09220 [cs.LG]
  (or arXiv:1711.09220v2 [cs.LG] for this version)

Submission history

From: Alberto Bemporad Prof. [view email]
[v1] Sat, 25 Nov 2017 09:07:56 GMT (527kb,D)
[v2] Mon, 21 May 2018 08:36:18 GMT (452kb,D)