An algorithm for estimating time-varying commodity price models.
Boris I. GodoyGraham C. GoodwinJuan C. AgüeroAlejandro J. RojasPublished in: CDC (2009)
Keyphrases
- detection algorithm
- high accuracy
- times faster
- cost function
- learning algorithm
- computational complexity
- improved algorithm
- convergence rate
- optimal solution
- preprocessing
- classification algorithm
- monte carlo
- probabilistic model
- linear programming
- parametric models
- clustering method
- computational cost
- k means
- experimental evaluation
- dynamic programming
- multiple models
- bayesian networks
- reinforcement learning
- objective function
- bayesian framework
- kalman filter
- significant improvement
- np hard
- parameter estimation
- computationally efficient
- em algorithm
- expectation maximization
- maximum likelihood
- input data
- machine learning