Structured Output Regression for Time Series Prediction
- Structured Output Regression for Time Series Prediction
- 2018-04-25 14:00-15:00
In this talk, I will introduce a novel approach to robust time series prediction, which is formulated as a structured output regression problem by simultaneously considering the prediction error and the shape of the predicted sequence in model training. I also show that a simplified version of the generic model employing linear regression and PCA leads to a single optimization problem with convex objective function and globally optimal solution.