Simulations to investigate the fused lasso for "Approximate Recovery in Changepoint Problems, from \ell_2 Estimation Error Rates"

The code to run the simulations and plot all the figures in the named paper.

Dependencies

The follow R packages are required (listed in "source_header.R")

• genlasso: For computing the fused lasso estimate
• assertthat: For assertations to maintain code correctness
• doMC: For parallel computation
• foreach: For parallel computation

How to run:

The scripts to run are in the "main.simulation" folder with the prefix "final". There are three seperate simulation pipelines.

• Computing the fused lasso for a wide range of n values: Run "final_simulation.R" (to generate a file called "final...RData") to be used in "fig3_filter-example.R", "fig4_haus.R" and "fig7_rates.R".
• Computing the fused lasso for n=774 and exploring the reduced filter: Run "final_simulation_roc.R" (to generate a file called "final-ROC...RData") followed by "final_simulation_roc2.R" (to generate a file called "final-ROC2...RData") to be used in "fig5_filter-dist.R" and "fig7_rates.R"
• Computing the fused lasso over the 2d graph: Run "final_2dgraph.R" (to generate a file prefixed "graph-dim") followed by "final_2dgraph_part2.R" (to generate a file called "graph-dim-...reduced.RData") to be used in "fig8_graph.R".

The remaining figures, generated in "fig1_intersim.R" and "fig2_data.R", can be generated independently.