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Hidden Markov Models

Hidden Markov models (HMMs) are statistical models where an underlying process with unknown ("hidden") parameters generates a sequence of observed outputs. HMMs have three main problems: evaluation, decoding, and learning. The forward-backward algorithm solves evaluation by calculating observation probabilities. Viterbi algorithm solves decoding by finding the most likely hidden state sequence. Baum-Welch algorithm solves learning by estimating transition and emission probabilities from data. HMMs are widely used in applications like speech recognition, machine translation, and activity recognition.

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39 views26 pages

Hidden Markov Models

Hidden Markov models (HMMs) are statistical models where an underlying process with unknown ("hidden") parameters generates a sequence of observed outputs. HMMs have three main problems: evaluation, decoding, and learning. The forward-backward algorithm solves evaluation by calculating observation probabilities. Viterbi algorithm solves decoding by finding the most likely hidden state sequence. Baum-Welch algorithm solves learning by estimating transition and emission probabilities from data. HMMs are widely used in applications like speech recognition, machine translation, and activity recognition.

Uploaded by

Dipta Biswas
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Hidden Markov Models

Overview

• Markov models

• Hidden Markov models(HMM)

• Issues Regarding HMM

• Algorithmic approach to Issues of HMM


Markov Models

• A Markov model is a finite state machine with N distinct states


begins at (Time t = 1) in initial state .

• It moves from current state to Next state according to the transition


probabilities associated with the Current state

• This kind of system is called Finite or Discrete Markov model.


Markov Property

• Markov Property : The Current state of the system depends only on


the previous state of the system (Memory Less)

• The State of the system at Time [ T+1 ] depends on the state of the
system at time T.

Xt=1 Xt=2 Xt=3 Xt=4 Xt=5


Discrete Markov Model : Example

• A Discrete Markov Model with 5 states.

• Each aij represents the probability of moving from state ‘ i’ to state


’j’.
Example

• The probability to start in a given state I is πi.

• The Vector π represents the start probabilities.

• To define Markov model, the following probabilities have to be


specified: transition probabilities aij = P(Si | Sj ) and
initial probabilities

πi = P( Si )
Hidden Markov Models

• A Hidden Markov model is a statistical model in which the system


being modelled is assumed to be markov process with unobserved
hidden states.

• In Regular Markov models the state is clearly visible to others in


which the state transition probabilities are the parameters only
where as in HMM the state is not visible but the output is visible.
Description

• It consists of set of states : S1,S2,S3…….sn.


• Process moves from One state to another state generating a
sequence of states Si1,Si2,….Sik…
• Markov chain property: probability of each subsequent state
depends only on what was the previous state
P( Sik | Sk1,Si2,……..Sik-1) = P ( Sik | Sik-1)
• States are not visible, but each state randomly generates one of M
observations (or visible states)
V = { v1,v2,v3…..vk…..}
Essentials

• To define hidden Markov model, the following probabilities have to


be specified: matrix of transition probabilities A=(aij), aij= P(si |
sj) , matrix of observation probabilities
B=(bi (vm )), bi(vm )= P(vm | si) and a vector of initial
probabilities =(i), i = P(si) . Model is represented by
M=(A, B, ).
Hidden Markov model
( Probabilistic finite state automata )
• The Scenarios where states cannot be directly observed.
• We need an extension i.e, Hidden Markov Models

a11 a22 a33 a44

a12 a23 a34


b11 b14
b13
b12
4
1
2 3
Hidden Markov model

• aij are state transition probabilities.


• bik are observation (output) probabilities.

• b11 + b12 + b13 + b14 = 1,


• b21 + b22 + b23 + b24 = 1.
Hidden Markov Models - HMM

• Hidden variables

H1 H2 Hi HL-1 HL

X1 X2 Xi XL-1 XL

Observed data
Main issues ?

• Evaluation problem: Given the HMM


M = { A, B,  } and observation sequence
O = o1,o2 ……ok, Caluculate the probability that model m has
generated sequence O.

• Decoding problem : : Given the HMM


M = { A, B,  } and observation sequence
O = o1,o2 ……ok, Caluculate the most likely sequence of hidden
states Si that generated sequence O.
Problems ?

• Learning Problem : Given some training observation sequences O =


o1,o2 ……ok, and general structure of HMM( visible and hidden
states) Determine HMM parameters that best fit the training data.
Solutions to evaluation problem ?

• Evaluation problem: For this problem We use an Forward- Backward


algorithm
• This algorithm mainly consists of defining a forward or backward
variable as the joint probability of partial state sequence such as
O = o1, o2, …..ok and the hidden state Si at time k is αk(i) = p(o1 o2
o3…ok, Qk = Si).
• The three states in this algorithm are initilaisation, forward recursion
and termination.
Solutions to learning problem

• The solution to this problem is to estimate parameters.


• The parameters that need to be estimated are Transmission
probabilities and emission probabilities. Since they sum upto 1, only
2 transmission and 2 estimation parameters are to be found.
• More parameter estimation be done using
Baun-Welch algorithm
Solution to decoding problem ?

• Decoding problem: Viterbi Algorithm


• In this algorithm we go through the observations from start to end
referring a state of hidden machine for each observation.
• We also record the values of Overall Probability,
Viterbi path (sequence of states) and the viterbi probability(
Probability of observed state sequences in viterbi path )
• The probability of possible step given its corresponding observation
is probability of transmission times the emission probability.
Viterbi algorithm

• Overall Probability : Multiply each new probability with the old one.

• Viterbi probability : Take the highest next step probability and


multiply with the next step viterbi probability.

• Viterbi path : Add the next step path to viterbi path.


Viterbi algorithm with example

• A person basically does 3 activities walk, clean and shop depending


on the weather conditions?

• Possibility of weather conditions are ‘Rainy’ and ‘sunny’.

• In this example weather condition states are hidden and we will


know the weather condition by her activities.
Viterbi algorithm with example

• As we discussed in earlier slides for every hidden markov model (


HMM ) we need an Transition probabilities and Emission
probabilities.
• The transition probabilities are :
P( R ---> R) (Rainy stays rainy) = 0.7
P( R ---> S) ( Rainy turns into Sunny ) = 0.3
P ( S ---> S) ( Sunny stays into sunny ) = 0.6
P ( S----> R) (Sunny turns into rainy ) = 0.4
Viterbi algorithm with example

• The Observations of her activities is


If it is Rainy the behaviour is
Walk = 0.1
Clean = 0.5
Shop = 0.4
• If it is Sunny the behaviour is
Walk = 0.6
Clean = 0.3
Shop = 0.1
Viterbi algorithm with example
Viterbi algorithm with example

• If the observations are WCSW

• Then according to algorithm find the overall prob, vit Prob, vit_path.

• In vi_path you get the sequence of states which need to compare


with the original states in order to know the accuracy

• Through many examples the accuracy varies between 80-90%


Applications of HMM

• Cryptanalysis

• Speech Recognition

• Pattern Recognition

• Activity Recognition

• Machine Translation
References

• http://en.wikipedia.org/wiki/Hidden_Markov_model
• www.evl.uic.edu/shalini/coursework/hmm
• www.cedar.buffalo.edu/~govind/CS661/Lec12.ppt
• www.bios.niu.edu/johns/bioinf.../Hidden%20Markov%20Models.ppt
• www.ece.drexel.edu/gailr/ECE-S690-503/markov_models.ppt.pdf
Thank you

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