Segmentation of ARX-Models using Sum-of-Norms Regularization
2010 (English)Report (Other academic)
Segmentation of time-varying systems and signals into models whose parameters are piecewise constant in time is an important and well studied problem. Here it is formulated as a least-squares problem with sum-of-norms regularization over the state parameter jumps. a generalization of L1-regularization. A nice property of the suggested formulation is that it only has one tuning parameter, the regularization constant which is used to trade-off fit and the number of segments.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2010. , 9 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2941
Segmentation, Regularization, ARX-models
IdentifiersURN: urn:nbn:se:liu:diva-97555ISRN: LiTH-ISY-R-2941OAI: oai:DiVA.org:liu-97555DiVA: diva2:648408