Online Prediction under Model Uncertainty Via Dynamic Model Averaging: Application to a Cold Rolling Mill
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F10%3A00342595" target="_blank" >RIV/67985556:_____/10:00342595 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Online Prediction under Model Uncertainty Via Dynamic Model Averaging: Application to a Cold Rolling Mill
Original language description
We consider the problem of online prediction when it is uncertain what the best prediction model to use is. We develop a method called Dynamic Model Averaging (DMA) in which a state space model for the parameters of each model is combined with a Markov chain model for the correct model. This allows the /correct" model to vary over time. The state space and Markov chain models are both specied in terms of forgetting, leading to a highly parsimonious representation. As a special case, when the model and parameters do not change, DMA is a recursive implementation of standard Bayesian model averaging, which we call recursive model averaging (RMA). The method is applied to the problem of predicting the output strip thickness for a cold rolling mill, where the output is measured with a time delay.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BC - Theory and management systems
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Technometrics
ISSN
0040-1706
e-ISSN
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Volume of the periodical
Volume 52
Issue of the periodical within the volume
Number 1
Country of publishing house
US - UNITED STATES
Number of pages
15
Pages from-to
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UT code for WoS article
000275920200006
EID of the result in the Scopus database
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