We present the group fused Lasso for detection of multiple change-points
shared by a set of co-occurring one-dimensional signals. Change-points are
detected by approximating the original signals with a constraint on the
multidimensional total variation, leading to piecewise-constant approximations.
Fast algorithms are proposed to solve the resulting optimization problems,
either exactly or approximately. Conditions are given for consistency of both
algorithms as the number of signals increases, and empirical evidence is
provided to support the results on simulated and array comparative genomic
hybridization data
