Time Series Forecasting with Machine Learning

The Master of Science in Signal Theory and Communications (MSTC)-Signal Processing and Mchine Learning for Big Datais a multi-disciplinary programme designed to provide graduate students with the knowledge and skills on fast evolvieng AI technologies and applications.

MSTC AI Master Program

Time series forecasting with a learning algorithm: an approximate dynamic programming approach
We consider the basic problem of re-fitting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future outcomes.
We design lookahead dynamic methods for the solution of our Markov decision process. By recursively applying this idea over a range of future time periods, look-ahead dynamic programming methods effectively react to changes in the data and consider the stream of future outcomes obtained from our model decisions.
These techniques give rise to models calibrated to historical data which at any point in time would be optimally positioned to react to possible future data stream.
 
<H4>Thursday 12th December 2019 (17:00 - 18:30)</H4>
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Speaker:
Germán G. Creamer, Ph.D.
Associate Professor of Finance and Business Analytics
School of Business, Stevens Institute of Technology
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Where:
ETSI Telecomunicación
UNIVERSIDAD POLITÉCNICA DE MADRID
Avda. Complutense 30
A Building (Salón de Grados) 
 
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<H4 CLASS="MsoNormal">This Seminar is joinly organized by: </H4>
<A HREF="http://www.mstc.ssr.upm.es/big-data-track" TARGET="_blank" DATA-MSYS-CLICKTRACK="0" REL="nofollow noopener noreferrer">MSTC Master Program: Signal Processing and Machine Learning for Big Data</A>
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