Low-cost scalable discretization, prediction and feature selection for complex systems

Abstract

Finding reliable discrete approximations of complex systems is a key prerequisite when applying many of the most popular modeling tools. Common discretization approaches (for example, the very popular K-means clustering) are crucially limited in terms of quality and cost. We introduce a low-cost improved-quality Scalable Probabilistic Approximation (SPA) algorithm, allowing for simultaneous data-driven optimal discretization, feature selection and prediction. Cross-validated applications of SPA to a range of large realistic data classification and prediction problems reveal drastic cost and performance improvements. For example, SPA allows the unsupervised next-day surface temperature predictions for Europe with the mean crossvalidated one-day prediction error of 0.75{degrees}C on a common PC (being around 40% better in terms of errors and five to six orders-of-magnitude cheaper than the next-day surface temperature predictions calculated on supercomputers and provided by the weather services).\n\nOne Sentence SummaryIntroduced computational tool allows obtaining drastic cost and quality gains for a broad range of science applications.