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Learning Sparse Penalties for Change-point Detection using Max Margin Interval Regression

Toby Hocking, Guillem Rigaill, Jean-Philippe Vert, Francis Bach
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JMLR W&CP 28 (3) : 172–180, 2013

Abstract

In segmentation models, the number of change-points is typically chosen using a penalized cost function. In this work, we propose to learn the penalty and its constants in databases of signals with weak change-point annotations. We propose a convex relaxation for the resulting interval regression problem, and solve it using accelerated proximal gradient methods. We show that this method achieves state-of-the-art change-point detection in a database of annotated DNA copy number profiles from neuroblastoma tumors.

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