Differentiable Algorithm for Marginalising Changepoints

@inproceedings{Lim2020DifferentiableAF,
  title={Differentiable Algorithm for Marginalising Changepoints},
  author={Hyoung-Jin Lim and Gwonsoo Che and Wonyeol Lee and Hongseok Yang},
  booktitle={AAAI},
  year={2020}
}
  • Hyoung-Jin Lim, Gwonsoo Che, +1 author Hongseok Yang
  • Published in AAAI 2020
  • Computer Science, Mathematics
  • We present an algorithm for marginalising changepoints in time-series models that assume a fixed number of unknown changepoints. Our algorithm is differentiable with respect to its inputs, which are the values of latent random variables other than changepoints. Also, it runs in time O(mn) where n is the number of time steps and m the number of changepoints, an improvement over a naive marginalisation method with O(n^m) time complexity. We derive the algorithm by identifying quantities related… CONTINUE READING

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