A pruned dynamic programming algorithm to recover the best segmentations with 1 to K_(max) change-points

A common computational problem in multiple change-point models is to recover the segmentations with $1$ to $K_{max}$ change-points of minimal cost with respect to some loss function. Here we present an algorithm to prune the set of candidate change-points which is based on a functional representation of the cost of segmentations. We study the worst case complexity of the algorithm when there is a unidimensional parameter per segment and demonstrate that it is at worst equivalent to the complexity of the segment neighbourhood algorithm: $\mathcal{O}(K_{max} n^2)$. For a particular loss function we demonstrate that pruning is on average efficient even if there are no change-points in the signal. Finally, we empirically study the performance of the algorithm in the case of the quadratic loss and show that it is faster than the segment neighbourhood algorithm.