docs: improve penalties landing page

docs/source/api_reference/penalties.rst

@@ -2,6 +2,11 @@
 
 Penalties
 =========
+Penalties govern the trade-off between the number of change points and the fit of the
+model. They are used by all detectors in ``skchange``.
+
+Base
+----
 
 .. currentmodule:: skchange.penalties
 
@@ -10,15 +15,56 @@ Penalties
     :template: class.rst
 
     BasePenalty
+
+Constant penalties
+------------------
+The penalty for each additional change point in the model is constant.
+
+.. autosummary::
+    :toctree: auto_generated/
+    :template: class.rst
+
     ConstantPenalty
     BICPenalty
     ChiSquarePenalty
+
+
+Linear penalties
+------------------
+The penalty for each additional change point in the model is linear in the number of
+variables affected by the change.
+Only relevant for multivariate data and detectors supporting variable identification.
+
+.. autosummary::
+    :toctree: auto_generated/
+    :template: class.rst
+
     LinearPenalty
     LinearChiSquarePenalty
+
+Nonlinear penalties
+------------------
+The penalty for each additional change point in the model is non-linear in the number of
+variables affected by the change.
+Only relevant for multivariate data and detectors supporting variable identification.
+
+.. autosummary::
+    :toctree: auto_generated/
+    :template: class.rst
+
     NonLinearPenalty
     NonLinearChiSquarePenalty
+
+Composition
+-----------
+
+.. autosummary::
+    :toctree: auto_generated/
+    :template: class.rst
+
     MinimumPenalty
 
+
 Utility functions
 -----------------