Consistent Change Point Detection for Piecewise Constant Signals With Normalized Fused LASSO

We consider the problem of offline change point detection from noisy piecewise constant signals. We propose normalized fused LASSO (FL), an extension of the FL, obtained by normalizing the columns of the sensing matrix of the LASSO equivalent. We analyze the performance of the proposed method, and i...

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Bibliographic Details
Published inIEEE signal processing letters Vol. 24; no. 6; pp. 799 - 803
Main Authors Owrang, Arash, Malek-Mohammadi, Mohammadreza, Proutiere, Alexandre, Jansson, Magnus
Format Journal Article
LanguageEnglish
Published IEEE 01.06.2017
Subjects
Change point detection
Computational complexity
Computational modeling
fused LASSO (FL)
irrepresentable condition
Noise level
Noise measurement
Numerical models
piecewise constant
Sensors
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Summary:We consider the problem of offline change point detection from noisy piecewise constant signals. We propose normalized fused LASSO (FL), an extension of the FL, obtained by normalizing the columns of the sensing matrix of the LASSO equivalent. We analyze the performance of the proposed method, and in particular, we show that it is consistent in detecting change points as the noise variance tends to zero. Numerical experiments support our theoretical findings.
ISSN:1070-9908
1558-2361
1558-2361
DOI:10.1109/LSP.2017.2678516