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  • 1.
    Mazhar, Othmane
    et al.
    KTH, School of Electrical Engineering and Computer Science (EECS), Automatic Control.
    Rojas, Cristian R.
    KTH, School of Electrical Engineering and Computer Science (EECS), Automatic Control.
    Fischione, Carlo
    KTH, School of Electrical Engineering and Computer Science (EECS), Network and Systems engineering. KTH, School of Electrical Engineering and Computer Science (EECS), Centres, ACCESS Linnaeus Centre.
    Hesamzadeh, Mohammad Reza
    KTH, School of Electrical Engineering and Computer Science (EECS), Electric Power and Energy Systems.
    Bayesian model selection for change point detection and clustering2018In: 35th International Conference on Machine Learning, ICML 2018, International Machine Learning Society (IMLS) , 2018, p. 5497-5520Conference paper (Refereed)
    Abstract [en]

    We address a generalization of change point detection with the purpose of detecting the change locations and the levels of clusters of a piece- wise constant signal. Our approach is to model it as a nonparametric penalized least square model selection on a family of models indexed over the collection of partitions of the design points and propose a computationally efficient algorithm to approximately solve it. Statistically, minimizing such a penalized criterion yields an approximation to the maximum a-posteriori probability (MAP) estimator. The criterion is then ana-lyzed and an oracle inequality is derived using a Gaussian concentration inequality. The oracle inequality is used to derive on one hand conditions for consistency and on the other hand an adaptive upper bound on the expected square risk of the estimator, which statistically motivates our approximation. Finally, we apply our algorithm to simulated data to experimentally validate the statistical guarantees and illustrate its behavior.

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