K-plane regression

In this paper, we present a novel algorithm for piecewise linear regression which can learn continuous as well as discontinuous piecewise linear functions. The main idea is to repeatedly partition the data and learn a linear model in each partition. The proposed algorithm is similar in spirit to k-means clustering algorithm. We show that our algorithm can also be viewed as a special case of an EM algorithm for maximum likelihood estimation under a reasonable probability model. We empirically demonstrate the effectiveness of our approach by comparing its performance with that of the state of art algorithms on various datasets.