Change Point Detection Using the Fused Lasso Method

Speaker: Bo Wahlberg

Affiliation: KTH Royal Institute of Technology, Sweden

Time: Friday 14/02/2014 from 14:00 to 15:00

Venue: Access Grid UWS. Presented from Penrith (Y239), accessible from Parramatta (EB.1.32) and Campbelltown (26.1.50).

Abstract: This presentation concerns the use $L_1$ regularization for segmentation of a data with respect to changes in certain model parameters. We will analyze the problem of segmenting a time-series with respect to changes in the mean value using the fused lasso method. This problem is also referred to as total variation denoising or $L_1$-mean filtering and has many important applications. The key idea is to notice that the optimality conditions for this problem can be analysed using reflecting Brownian bridge theory. We will give conditions when and when not the $L_1$ regularization "trick" works for this sort of problems. We will also outline an alternating direction method of multipliers (ADMM) algorithm that allows for solving huge fused lasso problems in a very efficient way.

Biography: Bo Wahlberg received the M.Sc. degree in Electrical Engineering in 1983 and the Ph.D. degree in 1987 from Linköping University, Sweden. He was a postdoc at University of Newcastle, Australia in 1988. In December 1991, he became Professor of the Chair of Automatic Control at KTH Royal Institute of Technology, Stockholm, Sweden. He was a visiting professor at the Department of Electrical Engineering, Stanford University, USA, August 1997 - July 1998 and August 2009 - June 2010, and Vice President of KTH 1999 - 2001. He is a Fellow of the IEEE for his contributions to system identification using orthonormal basis functions. He is a co-founder of Centre of Autonomous Systems and the Linnaeus Center ACCESS on networked systems at KTH. His research interests include system identification, modeling and control of industrial processes, and statistical signal processing with applications in communications and autonomous systems. He is currently a visiting professor at University of Newcastle, Australia.