An L0-Norm Regularized Method for Multivariate Time Series Segmentation

被引：1
|
作者：
Li, Min [1 ]
Huang, Yu-Mei [1 ]
机构：
[1] Lanzhou Univ, Ctr Data Sci, Sch Math & Stat, Lanzhou 730000, Peoples R China
来源：
EAST ASIAN JOURNAL ON APPLIED MATHEMATICS | 2022年 / 12卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Multivariate time series; segmentation; L-0-norm; dynamic programming; HIDDEN MARKOV-MODELS; CHANGE-POINTS; PRECONDITIONERS; CHANGEPOINTS; ALGORITHM;
D O I：
10.4208/eajam.180921.050122
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A multivariate time series segmentation model based on the minimization of the negative log-likelihood function of the series is proposed. The model is regularized by the L-0-norm of the time series mean change and solved by an alternating process. We use a dynamic programming algorithm in order to determine the breakpoints and the cross-validation method to find the parameters of the model. Experiments show the efficiency of the method for segmenting both synthetic and real multivariate time series.
引用
收藏
页码：353 / 366
页数：14
相关论文
共 50 条
  • [21] Multivariate time series segmentation for generalized description of dynamic systems operation
    Mishulina, O.A.
    Sukonkin, I.N.
    Optical Memory and Neural Networks (Information Optics), 2012, 21 (02): : 94 - 104
  • [22] Sparse Index Tracking With K-Sparsity or ε-Deviation Constraint via l0-Norm Minimization
    Li, Xiao Peng
    Shi, Zhang-Lei
    Leung, Chi-Sing
    So, Hing Cheung
    IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS, 2023, 34 (12) : 10930 - 10943
  • [23] Similarity Measure of Multivariate Time Series Based on Segmentation
    Li, Zhengxin
    Liu, Jia
    Zhang, Xiaofeng
    ICMLC 2020: 2020 12TH INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND COMPUTING, 2018, : 47 - 51
  • [24] GNSSseg, a Statistical Method for the Segmentation of Daily GNSS IWV Time Series
    Quarello, Annarosa
    Bock, Olivier
    Lebarbier, Emilie
    REMOTE SENSING, 2022, 14 (14)
  • [25] Robust Low-Rank Matrix Recovery as Mixed Integer Programming via l0-Norm Optimization
    Shi, Zhang-Lei
    Li, Xiao Peng
    Li, Weiguo
    Yan, Tongjiang
    Wang, Jian
    Fu, Yaru
    IEEE SIGNAL PROCESSING LETTERS, 2023, 30 : 1012 - 1016
  • [26] Group-Sparse SVD Models via L1- and L0-norm Penalties and their Applications in Biological Data
    Min, Wenwen
    Liu, Juan
    Zhang, Shihua
    IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING, 2021, 33 (02) : 536 - 550
  • [27] An l0-Norm Blind Decision Feedback Equalization with Adaptive Zero Attractor for Sparse Underwater Acoustic Channel
    Liu, Zhiyong
    Jiang, Ling
    Wang, Long
    Ke, Miao
    IWCMC 2021: 2021 17TH INTERNATIONAL WIRELESS COMMUNICATIONS & MOBILE COMPUTING CONFERENCE (IWCMC), 2021, : 1977 - 1981
  • [28] Hybrid dynamic learning mechanism for multivariate time series segmentation
    Wang, Ling
    Li, Kang
    Ma, Qian
    Lu, YanRong
    STATISTICAL ANALYSIS AND DATA MINING, 2020, 13 (02) : 165 - 177
  • [29] Model for smoothing and segmentation of texture images using L0 norm
    Badshah, Noor
    Shah, Hassan
    IET IMAGE PROCESSING, 2018, 12 (02) : 285 - 291
  • [30] Segmentation of multivariate time series with factor model and dynamic programming
    Wang L.
    Xu P.-P.
    Peng K.-X.
    Kongzhi yu Juece/Control and Decision, 2020, 35 (01): : 35 - 44
12345