An Algorithm for Optimal Partitioning of Data on an Interval

Details An Algorithm for Optimal Partitioning of Data on an Interval An Algorithm for Optimal Partitioning of Data on an Interval

2003-09-17

arxiv.org/abs/math/0309285v2

Mathematics

Numerical Analysis

3 pages, 1 figure, submitted to IEEE Signal Processing Letters, revised version with added references

Scientific paper

Many signal processing problems can be solved by maximizing the fitness of a segmented model over all possible partitions of the data interval. This letter describes a simple but powerful algorithm that searches the exponentially large space of partitions of $N$ data points in time $O(N^2)$. The algorithm is guaranteed to find the exact global optimum, automatically determines the model order (the number of segments), has a convenient real-time mode, can be extended to higher dimensional data spaces, and solves a surprising variety of problems in signal detection and characterization, density estimation, cluster analysis and classification.

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