public class SimulatedAnealingMinimizer extends Object
A cost minimizer which will fit a MovAvgModel to the data. This optimizer uses naive simulated annealing. Random solutions in the problem space are generated, compared against the last period of data, and the least absolute deviation is recorded as a cost. If the new cost is better than the old cost, the new coefficients are chosen. If the new solution is worse, there is a temperature-dependent probability it will be randomly selected anyway. This allows the algo to sample the problem space widely. As iterations progress, the temperature decreases and the algorithm rejects poor solutions more regularly, theoretically honing in on a global minimum.
Method SummaryModifier and TypeMethodDescription
static MovAvgModelRuns the simulated annealing algorithm and produces a model with new coefficients that, theoretically fit the data better and generalizes to future forecasts without overfitting.
minimizeRuns the simulated annealing algorithm and produces a model with new coefficients that, theoretically fit the data better and generalizes to future forecasts without overfitting.
model- The MovAvgModel to be optimized for
train- A training set provided to the model, which predictions will be generated from
test- A test set of data to compare the predictions against and derive a cost for the model
- A new, minimized model that (theoretically) better fits the data