Mixed-Integer Programming for Change-point Detection
arXiv:2602.11947v1 Announce Type: cross Abstract: We present a new mixed-integer programming (MIP) approach for offline multiple change-point detection by casting the problem as a globally optimal piecewise linear (PWL) fitting problem. Our main contribution is a family of strengthened MIP formulations whose linear programming (LP) relaxations admit integral projections onto the segment assignment variables, which encode the segment membership of each data point. This property yields provably tighter relaxations than existing formulations for offline multiple change-point detection. We […]