Segmentation of ARX-Models Using Sum-of-Norms Regularization
H. Ohlsson, L. Ljung, and S. Boyd
Automatica, 46(6):1107-1111, June 2010.
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 
-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.