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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Published in | IEEE signal processing letters Vol. 24; no. 6; pp. 799 - 803 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
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01.06.2017
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Abstract | 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. |
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AbstractList | 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. |
Author | Jansson, Magnus Proutiere, Alexandre Owrang, Arash Malek-Mohammadi, Mohammadreza |
Author_xml | – sequence: 1 givenname: Arash surname: Owrang fullname: Owrang, Arash email: owrang@kth.se organization: ACCESS Linnaeus Centre, KTH R. Inst. of Technol., Stockholm, Sweden – sequence: 2 givenname: Mohammadreza surname: Malek-Mohammadi fullname: Malek-Mohammadi, Mohammadreza email: m.rezamm@yahoo.com organization: ACCESS Linnaeus Centre, KTH R. Inst. of Technol., Stockholm, Sweden – sequence: 3 givenname: Alexandre surname: Proutiere fullname: Proutiere, Alexandre email: alepro@kth.se organization: ACCESS Linnaeus Centre, KTH R. Inst. of Technol., Stockholm, Sweden – sequence: 4 givenname: Magnus surname: Jansson fullname: Jansson, Magnus email: janssonm@kth.se organization: ACCESS Linnaeus Centre, KTH R. Inst. of Technol., Stockholm, Sweden |
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Snippet | We consider the problem of offline change point detection from noisy piecewise constant signals. We propose normalized fused LASSO (FL), an extension of the... |
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SubjectTerms | Change point detection Computational complexity Computational modeling fused LASSO (FL) irrepresentable condition Noise level Noise measurement Numerical models piecewise constant Sensors |
Title | Consistent Change Point Detection for Piecewise Constant Signals With Normalized Fused LASSO |
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