Projects per year
Abstract / Description of output
When continuously monitoring processes over time, data is collected along a whole period, from which only certain time instants and certain time intervals may play a crucial role in the data analysis. We develop a method that addresses the problem of selecting a finite and small set of short intervals (or instants)able to capture the information needed to predict a response variable from multivariate functional data using Support Vector Regression (SVR).In addition to improving interpretability, storage requirements, and monitoring cost, feature selection can potentially reduce overfitting by mitigating data autocorrelation. We propose a continuous optimization algorithm to t the SVR parameters and select intervals and instants. Our approach takes advantage of the functional nature of the data by formulating a new bilevel optimization problem that integrates selection of intervals and instants, tuning of some key SVR parameters and fitting the SVR. We illustrate the usefulness of our proposal in some benchmark data sets.
Original language | English |
---|---|
Article number | 15050 |
Journal | Computers and Operations Research |
Volume | 123 |
Early online date | 19 Jul 2020 |
DOIs | |
Publication status | Published - Nov 2020 |
Keywords / Materials (for Non-textual outputs)
- machine learning
- functional regression
- Support Vector Regression
- time interval selection
Fingerprint
Dive into the research topics of 'Selection of time instants and intervals with Support Vector Regression for multivariate functional data'. Together they form a unique fingerprint.Projects
- 1 Finished
Activities
- 1 Participation in conference
-
CRC Credit Scoring and Credit Control XVI conference
Belen Martin-Barragan (Presenter)
28 Aug 2019 → 30 Aug 2019Activity: Participating in or organising an event types › Participation in conference
Profiles
-
Belen Martin-Barragan
- Business School - Reader in Management Science
- Management Science and Business Economics
- Edinburgh Strategic Resilience Initiative
- Credit Research Centre
- Management Science
- Edinburgh Centre for Financial Innovations
Person: Academic: Research Active