Toeplitz Inverse Covariance-Based Clustering of Multivariate Time Series Data

no code implementations • 10 Jun 2017 • David Hallac, Sagar Vare, Stephen Boyd, Jure Leskovec

We derive closed-form solutions to efficiently solve the two resulting subproblems in a scalable way, through dynamic programming and the alternating direction method of multipliers (ADMM), respectively.

Clustering Time Series +1