Hidden Markov Model: Extension of Markov Chains

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Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John.

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Pattern Classification All materials in these slides were taken from Pattern Classification (2nd ed) by R. O. Duda, P. E. Hart and D. G. Stork, John Wiley & Sons, 2000 with the permission of the authors and the publisher

Hidden Markov Model: Extension of Markov Chains Chapter 3 (Part 3): Maximum-Likelihood and Bayesian Parameter Estimation (Section 3.10) Hidden Markov Model: Extension of Markov Chains

bjk= 1 for all j where bjk=P(Vk(t) | j(t)). Hidden Markov Model (HMM) Interaction of the visible states with the hidden states bjk= 1 for all j where bjk=P(Vk(t) | j(t)). 3 problems are associated with this model The evaluation problem The decoding problem The learning problem Pattern Classification, Chapter 3 (Part 3)

The evaluation problem It is the probability that the model produces a sequence VT of visible states. It is: where each r indexes a particular sequence of T hidden states. Pattern Classification, Chapter 3 (Part 3)

Using equations (1) and (2), we can write: Interpretation: The probability that we observe the particular sequence of T visible states VT is equal to the sum over all rmax possible sequences of hidden states of the conditional probability that the system has made a particular transition multiplied by the probability that it then emitted the visible symbol in our target sequence. Example: Let 1, 2, 3 be the hidden states; v1, v2, v3 be the visible states and V3 = {v1, v2, v3} is the sequence of visible states P({v1, v2, v3}) = P(1).P(v1 | 1).P(2 | 1).P(v2 | 2).P(3 | 2).P(v3 | 3) +…+ (possible terms in the sum= all possible (33= 27) cases !) Pattern Classification, Chapter 3 (Part 3)

First possibility: Second Possibility: Therefore: v1 v2 v3 First possibility: Second Possibility: P({v1, v2, v3}) = P(2).P(v1 | 2).P(3 | 2).P(v2 | 3).P(1 | 3).P(v3 | 1) + …+ Therefore: 1 (t = 1) 2 (t = 2) 3 (t = 3) v1 v2 v3 2 (t = 1) 3 (t = 2) 1 (t = 3) Pattern Classification, Chapter 3 (Part 3)

The decoding problem (optimal state sequence) Given a sequence of visible states VT, the decoding problem is to find the most probable sequence of hidden states. This problem can be expressed mathematically as: find the single “best” state sequence (hidden states) Note that the summation disappeared, since we want to find Only one unique best case ! Pattern Classification, Chapter 3 (Part 3)

 = P((1) = ) (initial state probability) Where:  = [,A,B]  = P((1) = ) (initial state probability) A = aij = P((t+1) = j | (t) = i) B = bjk = P(v(t) = k | (t) = j) In the preceding example, this computation corresponds to the selection of the best path amongst: {1(t = 1),2(t = 2),3(t = 3)}, {2(t = 1),3(t = 2),1(t = 3)} {3(t = 1),1(t = 2),2(t = 3)}, {3(t = 1),2(t = 2),1(t = 3)} {2(t = 1),1(t = 2),3(t = 3)} Pattern Classification, Chapter 3 (Part 3)

The learning problem (parameter estimation) This third problem consists of determining a method to adjust the model parameters  = [,A,B] to satisfy a certain optimization criterion. We need to find the best model Such that to maximize the probability of the observation sequence: We use an iterative procedure such as Baum-Welch or Gradient to find this local optimum Pattern Classification, Chapter 3 (Part 3)