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opttspart

version 1.0.0 (3.16 KB) by Sachit Butail
opttspart optimally partitions time series data into successive blocks that maximize a fitness function

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Updated 16 Jan 2019

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opttspart will optimally partition multivariate time series data into successive partitions according to a fitness function [1]. This function for example can be used to detect changes in time series by separating the parts before and after a change that maximize a additive function of the time series. For example, a square wave that has positive and negative parts, can be partitioned by a fitness function that chooses the maximum value between the sum of elements or negative sum of elements; if the partition has only negative elements then a negative sum is more and if it has a mix of negative and positive elements then it is better to move the partition it until you get a larger maximum value. Using cells to first section the time series speeds up the function [2].

[1] Jackson, B., Scargle, J. D., Barnes, D., Arabhi, S., Alt, A., Gioumousis, P., ... & Tsai, T. T. (2005). An algorithm for optimal partitioning of data on an interval. IEEE Signal Processing Letters, 12(2), 105-108

[2] Butail, S. and Porfiri, M. Detecting switching leadership in collective motion, Chaos, 29, 011102, 2019.

Cite As

Sachit Butail (2021). opttspart (https://www.mathworks.com/matlabcentral/fileexchange/70010-opttspart), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2018b
Compatible with any release
Platform Compatibility
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