oboulant / block-coordinate-descent

Implementation in C of the exact solution by Block Coordinate Descent for fast detection of multiple change-points

block-coordinate-descent

Implementation in C of the exact solution by Block Coordinate Descent for fast detection of multiple change-points.

It follows the following paper :

• J.-P. Vert and K. Bleakley, "Fast detection of multiple change-points shared by many signals using group LARS", In J. Lafferty, C. K. I. Williams, J. Shawe-Taylor, R.S. Zemel and A. Culotta (Eds), Advances in Neural Information Processing Systems 23 (NIPS), p.2343-2351, 2010. [paper] [supplementary informations] [poster]

The Matlab implementation by the authors can be found here.

Details about the pseudo code by the same authors can be found here.

Examples

Clean and Compile

> make clean all

Run

> ./main

Change input data

There are two files in the folder ./data/ :

• test1.txt
• test2.txt

If you want to change input data file, please

• edit ./examples/main.c with the proper file path,
• change nb_lines and nb_cols in accordance with you data.

Tests

Clean and Compile

> make clean test

Run

> ./test