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A difference of convex optimization algorithm for piecewise linear regression. (English) Zbl 1438.65121
Summary: The problem of finding a continuous piecewise linear function approximating a regression function is considered. This problem is formulated as a nonconvex nonsmooth optimization problem where the objective function is represented as a difference of convex (DC) functions. Subdifferentials of DC components are computed and an algorithm is designed based on these subdifferentials to find piecewise linear functions. The algorithm is tested using some synthetic and real world data sets and compared with other regression algorithms.

65K05 Numerical mathematical programming methods
90C26 Nonconvex programming, global optimization
Full Text: DOI
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