Brief paper: Segmentation of ARX-models using sum-of-norms regularization

Authors:
Henrik Ohlsson;Lennart Ljung;Stephen Boyd
Affiliations:
Department of Electrical Engineering, Linköping University, SE-581 83 Linköping, Sweden;Department of Electrical Engineering, Linköping University, SE-581 83 Linköping, Sweden;Department of Electrical Engineering, Stanford University, Stanford, CA 94305, USA
Venue:
Automatica (Journal of IFAC)
Year:
2010

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Abstract

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 @?"1-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.