Selection of time instants and intervals with Support Vector Regression for multivariate functional data

Rafael Blanquero, Emilio Carrizosa, Asunción Jiménez-Cordero, Belen Martin-Barragan

Research output: Contribution to journalArticlepeer-review

Abstract

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 languageEnglish
Article number15050
JournalComputers and Operations Research
Volume123
Early online date19 Jul 2020
DOIs
Publication statusPublished - Nov 2020

Keywords

  • machine learning
  • functional regression
  • Support Vector Regression
  • time interval selection

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