set.seed(1)
n <- 1500
p_true <- 6
p <- 50
x <- mvtnorm::rmvnorm(480, rep(0, p), diag(p))
theta_0 <- rbind(
  runif(p_true, -5, -2),
  runif(p_true, -3, 3),
  runif(p_true, 2, 5),
  runif(p_true, -5, 5)
)
theta_0 <- cbind(theta_0, matrix(0, ncol = p - p_true, nrow = 4))
y <- c(
  x[1:80, ] %*% theta_0[1, ] + rnorm(80, 0, 1),
  x[81:200, ] %*% theta_0[2, ] + rnorm(120, 0, 1),
  x[201:320, ] %*% theta_0[3, ] + rnorm(120, 0, 1),
  x[321:480, ] %*% theta_0[4, ] + rnorm(160, 0, 1)
)

result <- fastcpd(
  formula = y ~ . - 1,
  data = data.frame(y = y, x = x),
  family = "lasso"
)
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summary(result)
#> 
#> Call:
#> fastcpd(formula = y ~ . - 1, data = data.frame(y = y, x = x), 
#>     family = "lasso")
#> 
#> Change points:
#> 79 202 325 
#> 
#> Cost values:
#> 185.7631 508.1195 337.1486 328.3755 
#> 
#> Parameters:
#> 50 x 4 sparse Matrix of class "dgCMatrix"
#>       segment 1  segment 2 segment 3 segment 4
#>  [1,] -1.815974 -1.5964536  3.838563 -2.399833
#>  [2,] -1.692328 -1.2734980  3.287314  2.170296
#>  [3,] -3.340743  0.8558482  4.075844  2.853726
#>  [4,] -4.075669  .          1.788200 -2.534484
#>  [5,] -3.972095  .          3.868924  2.308333
#>  [6,] -3.203743 -1.6359700  2.388598  3.302757
#>  [7,]  .         .          .         .       
#>  [8,]  .         .          .         .       
#>  [9,]  .         .          .         .       
#> [10,]  .         .          .         .       
#> [11,]  .         .          .         .       
#> [12,]  .         .          .         .       
#> [13,]  .         .          .         .       
#> [14,]  .         .          .         .       
#> [15,]  .         .          .         .       
#> [16,]  .         .          .         .       
#> [17,]  .         .          .         .       
#> [18,]  .         .          .         .       
#> [19,]  .         .          .         .       
#> [20,]  .         .          .         .       
#> [21,]  .         .          .         .       
#> [22,]  .         .          .         .       
#> [23,]  .         .          .         .       
#> [24,]  .         .          .         .       
#> [25,]  .         .          .         .       
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#> [27,]  .         .          .         .       
#> [28,]  .         .          .         .       
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#> [30,]  .         .          .         .       
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#> [32,]  .         .          .         .       
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#> [34,]  .         .          .         .       
#> [35,]  .         .          .         .       
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#> [38,]  .         .          .         .       
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#> [40,]  .         .          .         .       
#> [41,]  .         .          .         .       
#> [42,]  .         .          .         .       
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#> [44,]  .         .          .         .       
#> [45,]  .         .          .         .       
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#> [48,]  .         .          .         .       
#> [49,]  .         .          .         .       
#> [50,]  .         .          .         .