Multifactor Modelling with Regularization
In this paper a multifactor modeling software system is described for building of a polynomial formula by a genetic algorithm. Thus a target variable is modeled by a subset of available explanatory variables represented as discrete time series. The proposed approach is improved by regularization in order to avoid the problem of overfitting.
KeywordsMultifactor Polynomial formula Basis functions Genetic algorithm Least squares regression Regularization
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