Alberto Bemporad, Valentina Breschi, Dario Piga, Stephen P. Boyd, Fitting jump models, Automatica, Volume 96, 2018, Pages 11-21, DOI: 10.1016/j.automatica.2018.06.022.
We describe a new framework for fitting jump models to a sequence of data. The key idea is to alternate between minimizing a loss function to fit multiple model parameters, and minimizing a discrete loss function to determine which set of model parameters is active at each data point. The framework is quite general and encompasses popular classes of models, such as hidden Markov models and piecewise affine models. The shape of the chosen loss functions to minimize determines the shape of the resulting jump model.