Binary segmentation

Description

Binary change point detection is used to perform fast signal segmentation and is implemented in ruptures.detection.BinSeg. It is a sequential approach: first, one change point is detected in the complete input signal, then series is split around this change point, then the operation is repeated on the two resulting sub-signals. See for instance [BSBai97] and [BSFry14] for a theoretical and algorithmic analysis of ruptures.detection.BinSeg. The benefits of binary segmentation includes low complexity (of the order of \(\mathcal{O}(n\log n)\), where \(n\) is the number of samples), the fact that it can extend any single change point detection method to detect multiple changes points and that it can work whether the number of regimes is known beforehand or not.

Schematic view of the binary segmentation algorithm

Schematic view of the binary segmentation algorithm.

Usage

Start with the usual imports and create a signal.

import numpy as np
import matplotlib.pylab as plt
import ruptures as rpt
# creation of data
n = 500  # number of samples
n_bkps, sigma = 3, 5  # number of change points, noise standart deviation
signal, bkps = rpt.pw_constant(n, dim, n_bkps, noise_std=sigma)

To perform a binary segmentation of a signal, initialize a ruptures.detection.BinSeg instance.

# change point detection
model = "l2"  # "l1", "rbf", "linear", "normal", "ar"
algo = rpt.Binseg(model=model).fit(signal)
my_bkps = algo.predict(n_bkps=3)

# show results
rpt.show.display(signal, bkps, my_bkps, figsize=(10, 6))
plt.show()

In the situation in which the number of change points is unknown, one can specify a penalty using the 'pen' parameter or a threshold on the residual norm using 'epsilon'.

my_bkps = algo.predict(pen=np.log(n)*dim*sigma**2)
# or
my_bkps = algo.predict(epsilon=3*n*sigma**2)

See also

Change point detection: a general formulation for more information about stopping rules of sequential algorithms.

For faster predictions, one can modify the 'jump' parameter during initialization. The higher it is, the faster the prediction is achieved (at the expense of precision).

algo = rpt.Binseg(model=model, jump=10).fit(signal)

Code explanation

class ruptures.detection.Binseg(model='l2', custom_cost=None, min_size=2, jump=5, params=None)[source]

Binary segmentation.

__init__(model='l2', custom_cost=None, min_size=2, jump=5, params=None)[source]

Initialize a Binseg instance.

Parameters
  • model (str, optional) – segment model, [“l1”, “l2”, “rbf”,…]. Not used if 'custom_cost' is not None.

  • custom_cost (BaseCost, optional) – custom cost function. Defaults to None.

  • min_size (int, optional) – minimum segment length. Defaults to 2 samples.

  • jump (int, optional) – subsample (one every jump points). Defaults to 5 samples.

  • params (dict, optional) – a dictionary of parameters for the cost instance.

Returns

self

fit(signal)[source]

Compute params to segment signal.

Parameters

signal (array) – signal to segment. Shape (n_samples, n_features) or (n_samples,).

Returns

self

fit_predict(signal, n_bkps=None, pen=None, epsilon=None)[source]

Fit to the signal and return the optimal breakpoints.

Helper method to call fit and predict once

Parameters
  • signal (array) – signal. Shape (n_samples, n_features) or (n_samples,).

  • n_bkps (int) – number of breakpoints.

  • penalty (float) – penalty value (>0)

  • epsilon (float) – reconstruction budget (>0)

Returns

sorted list of breakpoints

Return type

list

predict(n_bkps=None, pen=None, epsilon=None)[source]

Return the optimal breakpoints.

Must be called after the fit method. The breakpoints are associated with the signal passed to fit(). The stopping rule depends on the parameter passed to the function.

Parameters
  • n_bkps (int) – number of breakpoints to find before stopping.

  • penalty (float) – penalty value (>0)

  • epsilon (float) – reconstruction budget (>0)

Returns

sorted list of breakpoints

Return type

list

References

BSBai97

J. Bai. Estimating multiple breaks one at a time. Econometric Theory, 13(3):315–352, 1997.

BSFry14

P. Fryzlewicz. Wild binary segmentation for multiple change-point detection. The Annals of Statistics, 42(6):2243–2281, 2014. doi:10.1214/14-AOS1245.