How it works¶
This paper explains how this library works in detail.
This is based on a formulation of a piecewise linear least squares fit, where the user must specify the location of break points. See this post which goes through the derivation of a least squares regression problem if the break point locations are known. Alternatively check out Golovchenko (2004).
Global optimization is used to find the best location for the user defined number of line segments. I specifically use the differential evolution algorithm in SciPy. I default the differential evolution algorithm to be aggressive, and it is probably overkill for your problem. So feel free to pass your own differential evolution keywords to the library. See this example.