Segmentation of ARX-models using sum-of-norms regularization

@article{Ohlsson2010SegmentationOA,
  title={Segmentation of ARX-models using sum-of-norms regularization},
  author={Henrik Ohlsson and Lennart Ljung and Stephen P. Boyd},
  journal={Automatica},
  year={2010},
  volume={46},
  pages={1107-1111}
}
Segmentation of time-varying systems and signals into models whose parameters are piecewise constant in time is an important and well studied problem. It is here formulated as a least-squares problem with sum-of-norms regularization over the state parameter jumps, a generalization of `1-regularization. A nice property of the suggested formulation is that it only has one tuning parameter, the regularization constant which is used to trade off fit and the number of segments. 
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