Sassi et al.

J Big Data (2021) 8:93

https://doi.org/10.1186/s40537-021-00485-z

RESEARCH Open Access

A graph‑based big data optimization

approach using hidden Markov model
and constraint satisfaction problem
Imad Sassi* , Samir Anter and Abdelkrim Bekkhoucha

*Correspondence:
[email protected] Abstract
Computer Science To address the challenges of big data analytics, several works have focused on big
Laboratory (LIM), FSTM,
Hassan II University, data optimization using metaheuristics. The constraint satisfaction problem (CSP) is
Casablanca, Morocco a fundamental concept of metaheuristics that has shown great efficiency in several
fields. Hidden Markov models (HMMs) are powerful machine learning algorithms that
are applied especially frequently in time series analysis. However, one issue in forecast-
ing time series using HMMs is how to reduce the search space (state and observa-
tion space). To address this issue, we propose a graph-based big data optimization
approach using a CSP to enhance the results of learning and prediction tasks of HMMs.
This approach takes full advantage of both HMMs, with the richness of their algorithms,
and CSPs, with their many powerful and efficient solver algorithms. To verify the validity
of the model, the proposed approach is evaluated on real-world data using the mean
absolute percentage error (MAPE) and other metrics as measures of the prediction
accuracy. The conducted experiments show that the proposed model outperforms
the conventional model. It reduces the MAPE by 0.71% and offers a particularly good
trade-off between computational costs and the quality of results for large datasets. It is
also competitive with benchmark models in terms of the running time and prediction
accuracy. Further comparisons substantiate these experimental findings.
Keywords: Machine learning, Big data analytics, Optimization, Metaheuristics, Time
series forecasting, Graphical modeling

Introduction
Big data refers to huge amount of heterogeneous data. Due to the growing number of
connected objects, the massive use of social networks and the advent of new generations
of mobile technologies, the volume of data generated has increased at an exponential
rate [1].
Big data has meaning and value when it is possible to derive relevant information from
the data and discover hidden links and correlations. To process a large amount of data,
there are analytical application tools that can also be called big data analytics [2]. One of
the most powerful solutions in big data analytics is machine learning [3], which can be
used to handle a large amount of data [4].

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Sassi et al. J Big Data (2021) 8:93 Page 2 of 29

Since the beginning of the era of big data, and with the increasing multiplicity and
diversity of data sources (social networks, log files, sensors, the IoT, mobile objects, etc.),
multiple challenges have emerged [5]. These challenges are related to the complex char-
acteristics of big data. The focus here is on the volume of data, which causes a great stor-
age problem, and the variety of data, which complicates the operation of collecting data
of different types that have heterogeneous formats (structured, unstructured, semistruc-
tured), without neglecting the speed of the generation, collection, processing/analysis
and sharing of data [6].
Currently, the growing interest in big data applications requiring the processing of
large amounts of heterogeneous data is bringing new opportunities to apply new optimi-
zation approaches [7, 8]. Big data optimization concerns the high dimensionality of data,
dynamic changes in data and multiobjective problems and algorithms.
In machine learning, optimization algorithms are widely used to analyze large volumes
of data and to calculate parameters of models used for prediction or classification [9].
Indeed, optimization plays an important role in the development of new approaches to
solve machine learning problems, thanks to the high efficiency of optimization solutions
and the multitude of applications that can be formulated as an optimization problem.
Although optimization algorithms are effective in many application areas, the complex
characteristics of big data, the size of the state space, and the variety of learning mod-
els require new optimization techniques and powerful methods capable of dealing with
optimization problems that cannot be addressed today [10].
In recent years, metaheuristic algorithms have been frequently used in various data
mining problems due to their ability to find optimal solutions for problems of reasonable
size [11]. Furthermore, to deal with large optimization problems, metaheuristics consti-
tute a very interesting alternative when optimality is not essential. Metaheuristics are an
indispensable approach for difficult and complex optimization problems guaranteeing
an equilibrium between the quality of the solutions and the computation time. How-
ever, despite the progress made, particularly in terms of the computation time, many
metaheuristic algorithms are less efficient when dealing with large-scale problems. Thus,
the application of metaheuristics to big data analytics problems is a challenging topic
that attracts the attention of many researchers; thus, the study of these methods is cur-
rently in full development [12].
Some powerful machine learning algorithms are hidden Markov models (HMMs),
which are commonly used in several machine learning problems [13]. HMMs have been
applied successfully to speech recognition [14], face detection [15], bioinformatics [16],
finance analysis [17], etc. The use of HMMs for big data applications (i.e., a high number
of states and a high number of observations) is growing rapidly, which explains the focus
of researchers on new methods of adapting HMMs to the big data context and improv-
ing their performance.
In this paper, we propose a new big data optimization method based on the use of
the constraint satisfaction problem, one of the fundamental concepts of metaheuris-
tics [18]. It is a CSP graph-based approach that is put into practice to reduce the state
space of hidden Markov models to improve learning and prediction tasks using HMMs.
In this approach, HMMs are treated as a CSP but are not limited to a formalism (i.e.,
constrained HMMs, as in some works), which explains the use of CSP solver algorithms

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to solve such problems. Furthermore, this concept can be applied not only to states or
observations but also to both at the same time, unlike in other works. In addition, this
approach is specifically designed for big data, but it is also suited to small standard data.
The main contributions of this work are as follows:

• The phenomenon of big data and the emergence of big data analytics are introduced,
supporting the need for new machine learning algorithms to take advantage of this
huge amount of data.
• A general overview of related works that focus on the application of machine learn-
ing to financial time series is provided; in particular, the use of HMMs is discussed,
followed by the main approaches for the optimization of HMMs.
• We propose a new big data optimization method based on the use of the constraint
satisfaction problem, consisting of a graph-based approach to enhance the learning
and prediction tasks using HMMs.
• We experimentally evaluate the proposed approach on a real-world dataset and com-
pare it to the conventional HMM and to the reference models using the complexity,
running time, and MAPE and other metrics as measures of the prediction accuracy.

The remainder of the paper is organized as follows: “Problem formulation” section clari-
fies the problem statements. “Related work” section offers a general overview of recent
related works. “Background” section provides some required background knowledge and
establishes some basic notation used in HMM theory and then discusses big data opti-
mization techniques and fundamental metaheuristics concepts. The proposed approach
is presented in “Research methodology” section. In “Experiments and results” section,
we describe the experiments and results for evaluating the proposed approach. Finally,
in “Conclusion and future directions” section, we give conclusions, and we present some
directions for future work in this area.

Problem formulation
The use of HMMs in financial time series applications faces a range of challenges.
Researchers have been working on the main problems in connection with HMMs. Thus,
many works have focused on the improvement of existing approaches or the search for
new solutions to the prediction problem (using the Viterbi algorithm [19]) or the evalu-
ation problem (using forward-backward or Viterbi training). The proposed approaches
aim to find solutions to four problems: (1) the choice of model topology (e.g., the num-
ber of hidden states and observations and type of connections); (2) the search for the
initial parameters; (3) the search for the model parameters; and (4) the reduction of the
search space. Despite the progress made, these works nevertheless face multiple obsta-
cles that hamper their speed and efficiency.
In the real world, a main challenge for hidden Markov model problems (e.g., stock
market prediction) is the high dimensionality of the state space (N) and/or observation
space (M). The objective is to provide a solution quickly enough that the system can give
a result in a reasonable time without losing accuracy.
This paper addresses this problem by developing a complete approach, which is
inspired by heuristic methods, that can provide solutions to a given big data problem.

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The objective of this big data optimization approach is to reduce the state and/or the
observation space so that this approach can be used in a big data context. The approach
is based on treating the problem of dimensionality optimization as a constraint optimi-
zation problem, thus taking advantage of the power of CSP solvers, by giving a solution
with a quality depending on the time allocated for computation. It consists of using an
AC3 [20] variant of the arc consistency algorithm with added external constraints and a
backtracking method for solving the CSP to:

• reject the nodes that cannot be reached under certain constraints and thereby reduce
the state space dimension.
• delete unnecessary arcs between nodes and thereby reduce the transition probability
matrix.
• speed up the learning process using the Baum-Welch algorithm while maintaining a
very high level of accuracy.

Related work
There is a vast amount of published research involving the application of machine learn-
ing and deep learning techniques to related problems of time series [21], especially
financial time series analysis. For example, [22–25] investigated the application of deep
learning for stock market prediction. Many approaches based on the use of the support
vector machine technique have also been proposed for stock price forecasting or stock
trend prediction [26–29]. In some articles, artificial neural networks have been applied
for stock price prediction in combination with genetic algorithms or metaheuristics
[30–33]. [34–36] studied the implementation of dimensionality reduction techniques for
forecasting the stock market. [37] presented an evaluation of ensemble learning tech-
niques for stock market prediction. It is also noted that the graph-based technique [38]
is an approach that has found a place in this field.
In comparison, there has been relatively little research focusing on applying HMMs
to financial scenarios. In their work, the authors of [39] build a dynamic asset allocation
(DAA) system using HMMs for regime detection. Then, they extend the DAA system by
incorporating a feature saliency HMM algorithm that performs feature selection simul-
taneously with the training of the HMM to improve regime identification. Experiments
across multiple combinations of smart beta strategies and the resulting portfolios show
an improvement in risk-adjusted returns. Another work, [40], used an HMM to predict
economic regimes, on the basis of which global stocks are evaluated and selected for
optimizing the portfolio. In this study, they established a multistep procedure for using
an HMM to select stocks from the global stock market. The results showed that global
stock trading based on the HMM outperformed trading portfolios based on all stocks in
ACWI, a single stock factor, or the equal-weighted method of five stock factors. Finally,
[41] studied the use of HMMs to model the market situation, performed feature analysis
on the hidden state of the model input, estimated the market situation, and proposed
the Markov situation estimation trading strategy. The experimental data showed that the
hidden Markov model estimates the trading strategy’s overall return and is better than
the double moving average strategy.

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Additionally, different techniques and approaches have been studied with the aim of
optimizing HMMs to adapt to the complexity of big data characteristics so that they can
be used in different applications that deal with large amounts of heterogeneous and mul-
tisource data.
[42] demonstrates that it is possible to improve the training of HMMs by applying a
constrained Baum–Welch algorithm along with a model selection scheme that imposes
constraints on the possible hidden state paths in calculating the expectation. This pro-
posed method has two main advantages. First, it enables the partial labels to be lever-
aged in the training sequences, thus increasing the log-likelihood of the given training
sequences. Second, in each iteration of the constrained Baum–Welch algorithm, the
decoding accuracy for the partially labeled training sequence can be calculated and fac-
tored into model selection.
In [43], the maximum mutual information (MMI) criterion combined with 4-fold
cross-validation was used to optimize HMM hyperparameters. This paper further
explored the use of a hand movement recognition framework based on an ergodic HMM
that can model myoelectric activity transitions with multichannel sEMG signals. The
experimental results showed that using MMI as the optimization criterion for hyperpa-
rameters significantly improved the average recognition accuracy.
[44] introduced the use of a genetic algorithm to optimize the parameters of an HMM
and used the improved HMM in the identification and diagnosis of photovoltaic (PV)
inverter faults. Thus, a genetic algorithm was used to optimize the initial value and to
achieve global optimization. The experimental results showed that the correct PV
inverter fault recognition rate achieved by the HMM was approximately 10% higher than
that of traditional methods. Using the GHMM, the correct recognition rate was further
increased by approximately 13%, and the diagnosis time was greatly reduced.
In recent years, another work of Bravzenas et al. [45], proposed three different EM-
based fitting procedures that can take advantage of parallel hardware, such as graphics
processing units, to reduce the computational complexity of fitting Markov arrival pro-
cesses with the expectation-maximization (EM) algorithm. The performance evaluation
showed that the proposed algorithms are orders of magnitude faster than the standard
serial procedure.
In our recent paper [46], we presented two newly improved algorithms for Gauss-
ian continuous HMMs and a mixture of Gaussian continuous HMMs for solving the
learning problem for large-scale multidimensional data. These are parallel distributed
versions of classical algorithms based on Spark as the main framework. The proposed
solution enables the management of heterogeneous data in real time. The algorithms
presented in this paper have two main advantages, a high computational time efficiency
and a high scalability, since it is possible to add several nodes in a very simple way. In
addition, this solution is easy to integrate into big data frameworks.
However, these alternatives present many disadvantages. In some proposed solu-
tions, for higher accuracy, it is necessary to choose an HMM with the correct topol-
ogy and apply the approach to data with special characteristics. An important issue
is that the accuracy varies from one application to another because the efficiency of
the final solution is strongly affected by the choice of the initial parameters. Other
approaches with independent feature extraction algorithms have a major drawback;

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their optimization criteria could lead to inconsistency between feature extraction and
the classification steps of a pattern recognition tool and thereby degrade the perfor-
mance of the classifiers. Moreover, from the viewpoint of the constrained optimiza-
tion problem, the optimization criteria do not consider the intrinsic and extrinsic
constraints and are limited to the constraints induced by repeated experiments.
Another disadvantage of the preceding solutions is that the required computation
time is often prohibitive in practice and the learning time can increase considerably.
The accuracy is certainly improved, but the complexity increases considerably, and in
the best case, it keeps the same values as those of the classic model. For some solu-
tions, the running time increases dramatically. In addition, the application areas of
most of the proposed implementations are limited because they perform better only
in specific use cases. Generally, the previous approaches focused only on HMM situ-
ations with a low number of states and observations, but they did not give any feasi-
ble solution for the estimation of HMM parameters with a high number of states or
observations. The optimization of the hyperparameters primarily involves choosing
the number of hidden states and the number of observations.

Background
Hidden Markov models
A hidden Markov model is a directed graph S, A with vertices representing states
S = {s1 , s2 , ..., sN } and arcs A = {�i, j� | si , sj ∈ S} showing transitions between states
(see Fig. 1). Each arc i, j is labeled with a probability aij of transitioning from state
si to state sj . At any time t, one state is designated as the current state qt . At time t,
the probability of any future transitions depends only on st and no other earlier states
(first-order HMM).
An HMM consists of states, transitions, observations and probabilistic behavior and
is formally defined by the elements presented in Table 1. We may completely specify

Fig. 1 Graphical representation of a hidden Markov model. A hidden Markov model consists mainly of
hidden states (vertices si ), transition probabilities (arcs aij ), observations (ot ) and emission probabilities

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Table 1 Explanation of the elements of an HMM

Element Description

 DHMM model,  = (A, B, �) or CHMM model,  = (A, cjm , µjm , �jm , �).
S The state vectors of the HMM S = {s1 , s2 , ..., sN }, (N states).
V the observation V = {v1 , v2 , ..., vM }, (M observations).
O The observation sequence O = {o1 , o2 , ..., oT }.
Q The hidden state sequence Q = {q1 , q2 , ..., qT }, qt ∈ S.
A The transition matrix A = {aij }, aij = P(qt+1 = sj | qt = si ), where 1 ≤ i, j ≤ N . qt is the state at time t.
aij is the transition probability from state si to state sj . For every state si , Nj=1 aij = 1and aij ≥ 0.
B The observation matrix B = {bj (ot )}, bj (ot ) = P(ot | qt = sj ) is the probability of the
t th observation, which is observed in state sj . For continuous observation, bj (ot ) is a
probability density function (pdf ) or a mixture ofcontinuous pdfs. ot is the observa-
tion feature vectorrecorded at time t. bj (ot ) = M m=1 cjm N(ot , µjm , �jm ), where
M −1
N(O, µjm , �jm ) = m=1 cjm ((2π)d |� |)1/2 exp − 12 (ot − µjm )�jm
1
(ot − µjm )T . M is the total
number of mixtures and d is the dimension of ot . For every state sj , Tt=1 bj (ot ) = 1.
jm 

 The stochastic initial distribution vector � = {πi }, 

where πi is the probability of si being the first state
of a state sequence. πi = P(q1 = si ), 1 ≤ i ≤ N . Ni=1 πi = 1.
P(O | ) The probability that a given sequence of observations O = {o1 , o2 , ..., oT } are generated by a model 
with a given HMM.
αt (i) forward variable, defined as αt (i) = P(o1 , o2 , ..., ot , qt = si | ).
βt (i) Backward variable, defined as βt (i) = P(ot+1 ot+2 ...oT | qt = si , ).
γt (i) The probability of being in state si at time t given  and O. γt (i) = P(qt = si | O, ).
ξt (i, j) The probability of being in state si at time t and in state sj at time t + 1given the model parameter 
and the observation sequence O. ξt (i, j) = P(qt = si , qt+1 = sj | O, ).
γt (j, m) The probability that given the model parameter , the observation ot is generated from state sj and
accounted for by the mth component of the Gaussian mixture density of state sj.
µjm The mean of the mth mixture in state sj.
jm The covariance matrix of the mth mixture in state sj.
cjm mth Mixture weights in state sj , where M
m=1 cjm = 1and cjm ≥ 0.


δt (i) The likelihood score of the optimal (most likely) sequence of hidden states of length
t (ending in state si ) that produce the first t observations for the given model.
δt (i) = max P(q1 , q2 , ..., qt−1 , qt = si , o1 , o2 , ..., ot−1 | ).
q1 ,q2 ,...,qt−1
ψt (i) The array of back pointers that stores the node of the incoming arc that led to this most probable
path.

an HMM by its parameters  = (A, B, �), where A is the state transition probability
matrix, B is the state emission probability matrix, and  is the initial state probability
matrix.
HMMs have been applied successfully to speech recognition, bioinformatics,
finance analysis, etc. They are often used in machine learning problems. The use of
HMMs in classification is a generative method of first training a model (Baum-Welch
algorithm [46]) (see Algorithm 1) and then, for a given observation sequence, deter-
mining which model is, among those previously established, the most likely to pro-
duce this observation sequence.
In addition, for a given model, it is possible to find the sequence of hidden states
that are the most likely to produce the observation sequence in question (Viterbi
algorithm) (see Algorithm 2).

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HMMs make it possible to model discrete or continuous observation sequences.

They solve three main problems:

• Evaluation: Given a hidden Markov model  and an observation sequence O, find

P(|O), the probability that the sequence O was generated by the model .

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• Decoding (searching for the most likely path): Given a hidden Markov model  and
an observation sequence O, find the state sequence Q that maximizes the probability
of observing this sequence, P(|O).
• Learning: Given a hidden Markov model  with unspecified transition/emission
probabilities and a set of observation sequences, find the parameters A and B of the
hidden Markov model to maximize the probabilities of these sequences, P(|O).

Big data
Features of big data
A well-known definition of big data was proposed by the International Data Corporation
(IDC) as follows: “big data technologies describe a new generation of technologies and
architectures, designed to economically extract the value from very large volumes of a
wide variety of data, allowing a high speed of capture, discovery and/or analysis” [6].
Big data is mainly characterized by:

(1) Volume: With the digitization of our lives and the advent of the Internet of Things,
the data volume continues to grow exponentially. The amount of digital data will
quadruple, from 45 zettabytes in 2019 to 175 zettabytes by 2025, and 49% of data
will be stored in public cloud environments (see Fig. 2). However, with this large
amount of data, studies show that only a tiny fraction of the digital universe has
been explored for value analysis [47].
(2) Variety: Big data are available in three types: structured, semistructured and
unstructured. However, 90% of current data, from sources such as social media and
other user-generated content, are unstructured.
(3) Velocity: Due to recent technological developments, speed has increased signifi-
cantly. The rate of generation, collection and sharing of big data reaches very high
thresholds. This high speed requires that big data be processed and analyzed at a
speed corresponding to the speed of their production.

Fig. 2 Growth of digital data between 2005 and 2020 in exabytes. This figure shows the exponential increase
in data volume according to the IDC

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Big data challenges

In the literature, several studies have focused on big data issues [48, 49]. To solve
these issues, there are many challenges that need to be addressed to improve the per-
formance of machine learning algorithms:

• accelerating data processing and analysis as much as possible to reduce the com-
putation time.
• developing new methods that can scale to big data and deal with heterogeneous
and loosely structured data and with high computational complexity.
• performing efficient synchronization between different systems and overcoming
bottlenecks at system binding points.
• proposing effective security solutions to increase the level of security and protect
the privacy and information of individuals and companies, as security vulnerabili-
ties can multiply with data proliferation.
• improving the efficiency of algorithms in managing the large amount of data stor-
age required.
• producing real-time results by enabling real-time analysis of data flows from dif-
ferent sources, which gives more value to knowledge.
• improving the management and manipulation of multidimensional data to over-
come the problem of incomplete or noisy information.
• reinforcing big data analytics.
• exploiting advances in computer hardware in the development of increasingly rich
classes of models.
• taking full advantage of new approaches to distributed parallel processing (e.g.,
MapReduce, Spark [50], and GPGPUs) to effectively improve machine learning
algorithms for big data [51–54].

Metaheuristics and big data optimization

Metaheuristics are approximate methods and techniques adaptable to a very
large number of combinatorial problems, specifically large-scale problems [11]. A
metaheuristic is a set of fundamental concepts used to solve data mining problems.
They have proven to be very effective in providing good quality approximate solutions
for many classical optimization problems and large real-world applications. There-
fore, metaheuristics can be used for big data problems that induce complex data char-
acteristics, i.e., data volume, data velocity, data variety, data veracity and data value.

Optimization problem
An optimization problem is defined by a set of instances. Each instance is associated
with a discrete set of solutions S, where S = 0 represents the search space, a subset X
of S representing the admissible (achievable) solutions and an objective function f (fit-
ness function) which assigns to each solution x ∈ X the real (or integer) number f(x)
[55].

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We define an instance I of a minimization problem by a pair (X, f) where X ⊆ S is a

finite set of admissible solutions, and f an objective function to be minimized, defined
as:

f : X →R (1)

Solving this problem (more precisely this instance of the problem) consists of finding a
solution x∗ ∈ X that optimizes the value of the objective function f. The problem is to
find x∗ ∈ X such that for any element x ∈ X :

f (x∗ )  f (x), x ∈ X (2)

This solution is called an optimal solution or a global optimum.

Optimization problems vary depending on the domain in which S belongs. Thus, an
optimization problem can be binary if S ⊆ B∗, integer if S ⊆ N∗, continuous if S ⊆ R∗,
or heterogeneous if S ⊆ (B ∪ N ∪ R)∗.
There are several types of optimization methods. To solve a combinatorial optimi-
zation problem, the choice of the method depends on its complexity. A polynomial
optimization algorithm is used to solve P class problems. For NP class problems, two
approaches are used: heuristic and exact approaches. The essential principle of an exact
method generally consists of enumerating, often implicitly, all the solutions of the search
space. Metaheuristics are powerful heuristic algorithms capable of solving combinatorial
optimization problems. They are a very interesting alternative to deal with large opti-
mization problems if optimality is not essential. They offer an acceptable solution in a
reasonable computation time for complex problems.

Metaheuristics concepts
The main concepts of metaheuristics are linked to the methods that are required to solve
an optimization problem.

• Representation/encoding: The encoding of possible solutions to an optimization

problem is a very important concept when designing metaheuristics. For each prob-
lem, it is necessary to choose the suitable operators and optimization functions so
that the encoding is efficient, and then to check if this encoding respects a set of
properties to be achievable.
• Constraint satisfaction: The solution to an optimization problem can be described
by assigning values to the variables of this problem and defining a set of constraints
to be respected. Therefore, a solution is achievable if it respects all these constraints,
which are generally difficult to formulate according to the studied problem and the
chosen optimization criterion.
• Optimization criterion/objective function: To formulate a data mining task as an
optimization problem, it is necessary to identify the optimization criterion and to
carefully define the objective function. Correctly choosing these two basic concepts
ensures the development of an efficient optimization method and guarantees a very
good quality of the solutions.
• Performance analysis: Another fundamental concept that requires careful study is
the performance analysis of metaheuristics. It is necessary to set the objectives of

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the experiments, then to choose the appropriate performance measures and finally,
depending on the purpose of the experiments, to identify and calculate the indicators
in order to evaluate the quality of the solutions.

Constraint satisfaction problem

A constraint satisfaction problem (or CSP) is a triple X, D, C, where X consists of a
finite set of variables X = {x1 , x2 , ..., xn }, D is an associated set of discrete-valued domains
D = {D1 , D2 , ..., Dn } that list the possible values of each variable Di = {v1 , v2 , ..., vk } and C
is a set of constraints C = {C1 , C2 , ..., Cm }. Each constraint Ci is a relation Ri defined on
a subset of variables Si , Si ⊆ X , it specifies which combinations of values are compatible
for the variables of Si . Each relation denotes the simultaneous legal assignments of a set
of variables. A constraint Ci is a pair (Si , Ri ), where Ri is a subset of the Cartesian prod-
uct Di1 × ... × Dik , Ri ⊆ Di1 × ... × Dik defined on a subset of variables Si = {xi1 , ..., xik }
called the scope of Ci , Si = scope(Ci ), consisting of all tuples of values of {xi1 , ..., xik } that
are compatible with each other.
A solution to the CSP consists of choosing, for each variable xi ( xi ∈ X ), a value ai ,
chosen in its domain Di , such that each constraint Cj , in which xi participates, is sat-
isfied. The set of solutions S is therefore represented by the Cartesian product of the
domains D1 × ... × Dn.
A constraint satisfaction problem can be represented by a constraint graph that con-
tains a node for each variable and has an arc between two nodes if the corresponding
variables participate in the same constraint (see Fig. 3).

Research methodology
To solve the problem defined above, the proposed approach is carried out in a cascad-
ing manner. The first phase consists of using CSP solvers to reduce the state space of the
HMM. In the second phase, the resulting HMM is used as an initial model to estimate
the optimal parameters and then to forecast the stock market.

Fig. 3 Graphical representation of a constraint satisfaction problem. A constraint satisfaction problem is

defined by a set of variables ( xi ), the corresponding set of domains (Di ) of the possible values of each variable
and a set of constraints (Ci)

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Sassi et al. J Big Data (2021) 8:93 Page 13 of 29

Link between the HMM and CSP

Given their power and their excellent performance in several applications, the use of
HMMs in the big data context is common. However, to obtain good results, new meth-
ods must be found to optimize these algorithms. We are particularly interested in two
characteristics of HMMs: the high number of states and the high number of observa-
tions. In this approach, we propose an optimization technique using metaheuristics
based on the CSP. Treating a problem as a CSP confers several important benefits [56].
CSP resolution methods can be applied to reduce the state space of an HMM since the
representation of a CSP conforms to a standard HMM model, i.e., a set of variables
(states) with assigned values and a set of containers (state transitions and/or other exter-
nal constraints). The use of CSPs to reduce the number of states or observations and
therefore improve the performance of HMMs is justified by the power of their solver
algorithms and because HMMs and CSPs can be seen and treated in the same way
from a graphical point of view. Thus, the structure of the constraint graph can be used
to simplify the solution process, in many cases conferring an exponential reduction in
complexity and making it possible to improve the learning and prediction phases using
HMMs.
The link between HMMs and CSPs can be explained as follows:

• Variables (states or nodes): {st1 , st2 , ..., stp }, where t1 , t2 , ..., tp are fixed sequences of
time. t1 is the current time, and tp is the time for which we want to predict the state of
the system.
• Domains (state values): {D1 , D2 , ..., Dp }, where Dk = {s1 , s2 , ..., sN } for k = 1, 2, ..., p.
• Constraints (state transitions, arcs or edges):
N
j=1 Pr{st = si | st+1 = sj } = 1, Pr{st = si | st+1 = sj } ≥ 0 for i, j = 1, 2, ..., N .

Resolution algorithm
The resolution algorithm is described by the steps below.

Data extraction
The data were extracted from the Yahoo Finance website.

Feature selection
Feature selection is a preprocessing method to select a feature subset from all the input
features to make the constructed model better. Generally, in machine learning applica-
tions, the quantity of features is often very large; there may be irrelevant features, or the
features may depend on each other. There are many benefits of feature selection, such
as reducing the training time, storage needs and effects of the curse of dimensionality.
However, effective data features can also improve the quality and performance, such as
through redundancy reduction, noise elimination, improvement of the processing speed
and even facilitation of data modeling. There are three major categories of feature selec-
tion: wrapper, filter, and embedded methods [57]. In our case, feature selection is imple-
mented before the model training process to determine the most relevant stock market

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Sassi et al. J Big Data (2021) 8:93 Page 14 of 29

index variables for stock market prediction. This process determines features that are
highly correlated with the index closing price but exhibit low correlation with each other
[58]. Hence, we obtain a dataset of samples with 7 attributes.

Problem modeling
Topology selection: We consider an ergodic (fully connected state transition) topology
for transitions between states. The number of states (N) and the number of mixture
components per state (M) are chosen as fixed values initially. In our case, we construct
an HMM with Gaussian mixtures as the observation density function. The HMM has
8 states ( N = 8). Each state is associated with a Gaussian mixture that has 7 Gaussian
probability distributions ( M = 7).
Model parameter initialization: It is important to obtain good initial parameters so
that the reestimation reaches the global maximum or is as close as possible to it. There-
fore, we must first define the parameters of the initial model: the initial transition matrix,
initial observation probability matrix and initial prior probability matrix. In general, sev-
eral approaches are used to choose the initial parameters: (1) Choosing a random initial
model: an initial model is chosen uniformly at random in the space of all possible mod-
els. For example, we can try several initial models to find different local likelihood max-
ima. (2) Choosing an informed initial model: an informed model allows us to obtain
optimized initial values of the HMM parameters so that, after training, the HMM is the
model best suited to the prediction phase. Here, we use a hybrid approach to initialize
the model parameters. The initial state probabilities and state transition probabilities are
chosen randomly so that they satisfy the criteria N
N
i=1 πi = 1 and j=1 aij = 1. An ade-


quate choice for  and A is the uniform distribution when an ergodic model is used.
Then, we used K-means to find the optimal initial parameters for the HMM with a
Gaussian mixture. To initialize N mixtures each having M components, the training
dataset X is fed into a K-means clustering algorithm, producing a clustering of the data
into K (= NM) groups. Thus, the training dataset is partitioned into K clusters {C11, C12,
..., C1M , C21, ..., CNM }. Let xi denote the mean of cluster Cjm and njm denote the number of
instances in Cjm. Clustering is performed by choosing the cluster in such a way that the
criterion value SSE = N
 M 
j=1 m=1 xi ∈Cjm �xi − µjm � is minimized, where
µjm = njm xi ∈Cjm. We recompute the centroids µjm by taking the mean of the vectors
1 

that belong to each centroid. The mean value of each cluster is considered the initial
cluster center. Once we obtain the initial cluster centers, K-means clustering is per-
formed to obtain the final clusters. Finally, we obtain the initial parameters for the mix-
tures by calculating, for each cluster Cjm, the mean µjm, the covariance matrix jm and
n
cjm calculated by cjm =  jmn .
m jm

HMM state space optimization using the CSP approach

In this step, we formulate the modeled problem using HMMs in the form of CSPs
by exploiting the link between the two approaches, as previously described. We start
with the hypothesis that we have a fully connected HMM; i.e., at the beginning, in
the graph, all the transitions between the states are possible. The objective is to reject
inaccessible nodes and reduce the transition matrix if possible, and ideally to obtain
a diagonal matrix. Arc consistency verification can be applied as a preprocessing step

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Sassi et al. J Big Data (2021) 8:93 Page 15 of 29

before the beginning of the search process. To do this, we use a procedure based on
the AC3 Arc consistency algorithm, namely, CSP_Space_Reducer(csp), which takes
a CSP as input and returns a CSP with possibly reduced domains, hence an HMM
with a reduced transition matrix. In a given CSP, the arc ( xi , xj ) is arc consistent if
and only if for any value v ∈ Di that satisfies the unary constraint regarding xi , there
is a value w ∈ Dj that satisfies the unary constraint regarding xj and is such that the
restriction between xi and xj is satisfied. Given discrete domains Di and Dj , for two
variables xi and xj that are node consistent, if v ∈ Di and there is no w ∈ Dj that satis-
fies the restriction between xi and xj , then v can be deleted from Di . When this has
been done for each v ∈ Di , arc ( xi , xj ) (but not necessarily ( xj , xi )) is consistent [20].
To be able to eliminate, or not, a value from the domain of each variable, we perform
a backtrack search. We choose a node and instantiate the corresponding variable as
an occurrence belonging to its domain. Subsequently, we can discard the remaining
values from its domain and run arc consistency algorithms to restore consistency.
If the network succeeds, we fix an occurrence on another variable and run the local
consistency algorithms again until each occurrence is fixed on the domain of each
variable in the network. We obtain a solution corresponding to the set of occurrences
fixed on the domain of each variable. If the network fails at some point, we backtrack
and choose another occurrence on the domain of the last selected variable. By making
the constraint graph arc-consistent, it is often possible to reduce the search space. For
example, if D1 = 1, 2, 3, 4 and D2 = 1, 2, 3, 4 and the constraint is x1 > x2 , what can
be eliminated? We can eliminate the values of a domain that are not in any solution.
In this example, we can eliminate 1 from D1 and 4 from D2. Thus, at a given instant
t, the possible states of the system are only those that satisfy all the constraints, and
therefore, the number of transitions from and to the state concerned is reduced. In
addition to the constraint of the model, we inject the CSP solver with constraints
from a sentiment dataset created by considering a financial news dataset and Presi-
dent Trump’s tweets. Both the tweets and news are collected for the studied period,
and a sentiment analysis algorithm is applied. The sentiments of the tweets and news,
according to a binary classification, are integrated daily. AC3 runs in O(d 3 n2 ) time,
with n being the number of nodes and d being the maximum number of elements in a
domain.
In summary, to predict the direction of the index closing price movement on day
p, we proceed as follows: for the first day t1, we choose the initial parameters of the
models as previously described (i.e., the hybrid approach with a random and informed
model), and for the next day, we take as the initial HMM parameters the result of
the HMM parameter estimation of the day before, and so on. Initially, we consider
a fully connected HMM, which means that in the constraint graph (i.e., the HMM
modeled as a CSP), every node participates with other nodes in at least one constraint
( ∀ nodek , nodel ∈ Gcsp (X, D, C) ∃ Ci ∈ C , where Ci is a relation Ri defined in the sub-
set {nodek , nodel } ⊆ X ). On the first day, all the variables’ domains have the same ele-
ments (i.e., all states), and we have a dense transition matrix. That is, we start with
a dense transition matrix, and, by following the CSP-based optimization procedure
operating according to the snowball principle (iterating the optimization procedure),
we end with a sparse transition matrix, ideally a diagonal transition matrix.

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Sassi et al. J Big Data (2021) 8:93 Page 16 of 29

Fig. 4 Transition matrix reduction. The figure shows the principle of optimization

The principle of optimization can be schematized as in Fig. 4.

Learning step using the Baum‑Welch Algorithm

Now that the state space is reduced, we apply the Baum-Welch algorithm for the estima-
tion of the model parameters. Baum-Welch runs in O(N 2 (T − 1)) time, with N being the
number of states in the model and T being the length of the observation sequence.

Prediction step using the Viterbi Algorithm

After the training step, we use the Viterbi algorithm to predict the direction of the price
movement. The Viterbi algorithm has a time complexity of O(TN 2 ).

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Sassi et al. J Big Data (2021) 8:93 Page 17 of 29

Fig. 5 Schematic representation of the proposed approach. The figure presents the steps of the proposed
CSP-based approach for HMM optimization

Model evaluation
To evaluate the model, we perform experiments using real data. We evaluate the pro-
posed algorithm compared to the conventional algorithm in terms of the computational
complexity, running time, accuracy, recall, precision, and f-measure. To verify whether
the result is significant, we use the McNemar test. The proposed approach is also com-
pared with the main benchmark models for more meaningful evaluation.
An overview of the proposed approach is presented in Fig. 5.
The optimized algorithm cascaded with the algorithm of the learning and prediction
phases of an HMM is described in Algorithm 3.
Here, in Algorithm 3, Gcsp (X, D, C) represents the constraint graph with the param-
eters X (set of variables), D (set of variable domains) and C (set of constraints). Backtrack
search is a common backtracking algorithm used for solving CSPs. Ckl denotes a set of
constraints defined on the subset of variables {nodek , nodel }.

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Sassi et al. J Big Data (2021) 8:93 Page 18 of 29

Experiments and results

Case study
To evaluate the proposed approach, we put it into practical use in a real case of finan-
cial time series analysis: stock market forecasting. The objective is to predict the
direction of the price movement.
In this study, we considered the following states and observations:

• States: very small rise (0≤Variation<0.1%), small rise (0.1% ≤Variation<1%), large
rise (1% ≤Variation<2%), very large rise (Variation≥2%), very small drop (– 0.1% <
Variation≤0), small drop (– 1% <Variation≤– 0.1%), large drop (– 2% <Variation≤–
1%), and very large drop (Variation≤-2%), where Variation = Close price(t+1)-Close
price(t).

Fig. 6 Representation of the closing price of the three stock market indices, the Dow Jones Industrial
Average (DJIA), NASDAQ and S&P 500, during the period between January 20, 2017 and January 20, 2020

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Sassi et al. J Big Data (2021) 8:93 Page 19 of 29

Fig. 7 Daily change in each stock of the three stock market indices, the Dow Jones Industrial Average (DJIA),
NASDAQ and S&P 500, during the period between January 20, 2017 and January 20, 2020

Table 2 Part of DJIA index daily prices data

Date Open High Low Close Adjusted Volume

Jan 20, 2017 19795.0605 19843.9394 19759.1406 19827.2500 19827.2500 435260000

Jan 23, 2017 19794.7890 19833.9804 19732.3593 19799.8496 19799.8496 326690000
Jan 16, 2020 29131.9492 29300.3203 29131.9492 29297.6406 29297.6406 252110000
Jan 17, 2020 29313.3105 29373.6191 29289.9101 29348.0996 29348.0996 321820000

• Observations: djia-close-price, djia-high, djia-low, djia-variation, djia-volume, nas-

daq-high, nasdaq-low, nasdaq-variation, nasdaq-volume, s&p500-high, s&p500-low,
and s&p500-variation, s&p500-volume.

We construct an HMM with Gaussian mixtures as the observation density function. The
HMM has 8 states. Each state is associated with a Gaussian mixture that has 10 Gaussian
probability distributions. The HMM is a fully connected trellis, and each of the transi-
tion probabilities is assigned a real value at random between 0 and 0.125. The initial state
probability distribution probabilities πi are assigned a set of random values between
0 and 0.125. We used k-means algorithm to find the optimal initial parameters of the
initial mixture weights cjm, the initial covariance jm and the initial mean µjm of each
Gaussian mixture component, as described previously.

Test data
In this work, we use historical daily data of three stock market indices: the Dow
Jones Industrial Average (DJIA), NASDAQ, and S&P 500 during the period between
January 20, 2017 (beginning of term of the American president Donald Trump) and
January 20, 2020 obtained from the Yahoo Finance website [59] (Fig. 6). After data
preprocessing, the dataset contains 2262 (754∗3) samples and has 7 attributes (date,

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Sassi et al. J Big Data (2021) 8:93 Page 20 of 29

Table 3 Computational complexity comparison

Algorithms Computational Complexity
Original algorithm CSP-
Optimized
algorithm

Baum-Welch O(N 2 (T − 1)) O(N ′ 2 (T − 1))

Viterbi O(N 2 (T − 1)) O(N ′ 2 (T − 1))

open price, high price, low price, closing price, adjusted closing price and volume).
The aim of the model is to combine observations from the three indices to predict the
movement of the closing price of the Dow Jones Industrial Average Index.
The entire dataset is divided into two categories. The training dataset is 80% of the
data (from 20 January 2017 to 13 June 2019), and the testing dataset is 20% of the data
(from 14 June 2019 to 17 January 2020).
Fig. 7 shows the correlation between the three stock market indices used in this work.
Some of the data used in this paper are shown in Table 2.

Experimental setup
The experiments were performed on Ubuntu Linux 18.04.5 LTS with Linux Kernel 5.4.
All tests were conducted using the same hardware: an Acer Aspire 5551G-P324G32Mnkk
laptop with an AMD Athlon II Dual Core Processor P320, 2.3 GHz, 4Go DDR4 on an
Integrated ATi Radeon HD5470 512Mo graphics card based on the Park XT graphics
processor. All the programs were coded in the Python programming language. First, we
performed experiments without optimization techniques. Then, we treated the HMM
model as a CSP, specifically, as a constraint optimization problem, to reduce the state
space by adding external constraints to the internal constraints of the model. Thus, we
carried out experiments by adding constraints related to the economic and political situ-
ation of the United States of America at the time of prediction.

Table 4 Running time comparison of Viterbi algorithm

Algorithm Running time (s)
Original algorithm CSP-Optimized algorithm

Viterbi 0,1 0,08

Table 5 Running time comparison of Baum-Welch algorithm

Iterations number Running time (s)
Original Baum-Welch CSP-
Optimized
Baum-Welch

100000 2580 2520

10000 2054 1987
1000 1976 1933
600 1820 1768

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Sassi et al. J Big Data (2021) 8:93 Page 21 of 29

Computational complexity
The computational complexity of both the original Baum-Welch and Viterbi algorithms is
O(N 2 (T − 1)), where N is the number of states and T is the observation sequence length.
For the improved algorithms using the CSP optimization approach, the time complexity is
reduced to O(N ′ 2 (T − 1)), where N ′ < N (see Table 3).

Performance evaluation
Running time
We compared the running time of both the conventional and optimized Baum-Welch and
Viterbi algorithms. Tables 4 and 5 show an improvement in terms of the running time of
the optimized algorithms compared to that of the original algorithms. We also note that the
improvement in the running time remains almost the same as the variation in the number
of iterations.

Quality of prediction
We compared the quality of prediction of the two decoding algorithms in the standard and
optimized versions using the occurrences of the direction of the index closing price move-
ment that were correctly predicted. To investigate the prediction quality, we compared the
decoding and the true hidden state (i.e., the state of the direction of the daily closing price
movement) in the test set. In this paper, the performance metrics, namely, recall, precision,
F-measure, accuracy, and mean absolute percentage error (MAPE), were considered to
evaluate the performance of the proposed approach. Because these measures require binary
data, we converted the obtained decoding results to binary data by classifying all closing
price variation increases (i.e., very small rise, small rise, large rise, and very large rise) as a
price increase and all closing price variation drops (i.e., very small drop, small drop, large
drop, and very large drop) as a price decrease.
Depending on the obtained results, each predicted direction of the daily closing price
movement can be classified as a true positive (TP) if it is predicted by the HMMs as a rise
and it is truly a rise, a true negative (TN) if it is predicted by the HMMs as a drop and it is
actually a drop, a false positive (FP) if it is predicted as a rise when it is not actually a rise
and finally as a false negative (FN) if it is predicted as a drop and it is actually a rise. Using
the total number of true positives, true negatives, false positives, and false negatives, we cal-
culated the recall, precision, F-measure, accuracy and MAPE, defined as follows:
Recall, also known as sensitivity, is the fraction of relevant instances that are retrieved.
Recall represents how sensitive the predictor is and serves as a measurement of predictor
completeness. It is computed as follows:

TP
Recall = (3)
TP + FN

Precision is the fraction of retrieved instances that are relevant. Precision indicates the
exactness of the predictor. It is calculated as:

TP
Precision = (4)
TP + FP

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Table 6 Accuracy comparison

Iterations number Accuracy of algorithms (%)
Standard HMM CSP-
Optimized
HMM

100000 96.15 96.86

10000 94.36 94.36
1000 91.05 89.45
600 87.08 85.12

The F-measure, also known as the F-score or F1 score, can be interpreted as a weighted
average of the precision and recall. It measures the weighted harmonic mean of the pre-
cision and recall, where the F-measure reaches the best value at 1 and the worst at 0. It is
defined as:

2 ∗ Recall ∗ Precision
F − measure = (5)
Recall + Precision

Accuracy reflects the percentage of correctly predicted closing price directions with
respect to the total number of predictions. It is estimated using:

TP + TN
Accuracy = (6)
TP + TN + FP + FN

The mean absolute percentage error (MAPE) is the percentage of accurate predicted val-
ues with respect to the computed actual values. The MAPE is defined as the sum of the
differences between the actual values and the predicted data divided by the total number
of test data. It is given by the following equation:

Table 7 Recall values comparison

Iterations number Recall Value of algorithms (%)
Standard HMM CSP-
Optimized
HMM

100000 91.85 90.93

10000 87.30 86.60
1000 87.40 87.95
600 84.50 86.20

Table 8 Precision values comparison

Iterations number Precision Value of algorithms (%)
Standard HMM CSP-
Optimized
HMM

100000 87.40 88.30

10000 85.90 86.07
1000 86.40 86.16
600 78.60 76.83

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Sassi et al. J Big Data (2021) 8:93 Page 23 of 29

Table 9 F-measure values comparison

Iterations number F-measure Value of algorithms (%)
Standard HMM CSP-
Optimized
HMM

100000 89.56 89.59

10000 86.59 86.33
1000 86.89 87.04
600 81.44 81.24

Table 10 Mean absolute percentage error (MAPE) of prediction accuracy comparison

Iterations number MAPE of prediction accuracy of algorithms (%)
Standard HMM CSP-Optimized HMM

100000 03.85 03.14

n
| AiA−F i
|
MAPE =
i i
∗ 100 (7)
n

where Fi is the forecast direction of the closing price movement on day i, Ai is the actual
direction of the closing price movement on day i and n is the total number of test data.
Table 6 shows the accuracy of the standard and optimized HMMs. The first row
shows the number of iterations, and the second and third rows show the accuracy
statistics for the two compared algorithms. In terms of accuracy, we note that the
optimized HMM using the CSP surpasses the standard HMM for a high number
of iterations, while it presents almost the same performance for a small number of
iterations.
In Table 7, the recall of the results is shown when the HMMs are trained with dif-
ferent numbers of iterations. A global view of the result shows that the recall value is
not affected significantly by the optimization approach. Additionally, as the number
of iterations increases, the recall increases. This recall improvement occurs because
the increase in the number of iterations improves the learning of the optimal HMM
parameters and consequently the quality of prediction.
Table 8 illustrates the results of the algorithm precision comparison. This table
shows the impact of the CSP optimization on the precision of the algorithm. We note
a clear improvement for high values of the number of iterations.
In Table 9, the results of the F-measure statistics for the standard and optimized
HMM are illustrated. As this expresses the weighted average of the precision and
recall, it also presents good results for a high number of iterations, especially for the
optimized algorithms.
In Table 10, the result of the comparison of the mean absolute percentage error
of the prediction accuracy is illustrated with only the best number of iterations for
HMM learning (i.e., 100000 iterations). The overall MAPE of the optimized HMM for
a number of iterations of 100000 is 03.14%, and it improved only slightly compared to
the standard HMM for the same number of iterations.

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Sassi et al. J Big Data (2021) 8:93 Page 24 of 29

The optimized model achieves an overall accuracy of 96.86%, a recall of 90.93% and a
precision of 88.30% with an F-measure of 89.59% for a number of iterations of 100000.
The proposed model was compared to the main models proposed in the literature in
terms of complexity, accuracy and speedup. The results show that the new model out-
performs those of Li et al. [42] and Wen et al. [43] in terms of computational complexity;
this can be explained by the efficiency of the optimization approach, which allows us to
considerably reduce the state space and obtain better performance. Moreover, because
there are fundamental differences in the setup of the experiments between the studies,
we calculated the best percentage improvement in terms of accuracy instead of directly
measuring the accuracy. Our approach has the worst result compared to those of Wen
et al. [43] and Zheng et al. [44] since both models improved the accuracy of the classi-
cal HMM by 5.44% and 11.59%, respectively. This can be explained by the fact that the
proposed model needs to be iterated several times to yield good results. In addition, the
proposed approach is specifically designed for HMMs with large state spaces. Concern-
ing speedup, we computed the relative speedup between the conventional algorithm and
the proposed algorithm in each study and compared it with the other versions. The pro-
posed optimization approach allows a significantly higher speedup of 3.73% compared
to that of Zheng et al. [44], which drops dramatically by 4.40%.
Even though the proposed approach is effective compared to other optimization solu-
tions, there are some limitations regarding the applicability, the characteristics of the
model and the CSP concept.
The main drawback of the proposed big data optimization approach is that it does not
improve the accuracy of the classic model when it is iterated a small number of times.
The proposed model must be iterated several times for better results. This is primarily
because forecasting the stock market is very challenging, especially under the fluctua-
tion and instability of financial markets due to economic, political, and social factors. In
addition, this approach does not seem to be efficient for low numbers of iterations in a
relatively small state space because the rejection of even one node can significantly affect
the accuracy of the model. Another main limitation of the model is its memoryless prop-
erty since it allows the rejection of certain states without keeping a history of the initial
structure of the model. Furthermore, the CSP paradigm on which this approach is based
implies that the constraints used must be selected carefully; otherwise, the accuracy may
deteriorate.
On the other hand, the proposed model allows an acceptable level of accuracy and
precision. It is even faster when the number of iterations is high for a large state space.
When the dimension of the state space increases, the acceleration of the model increases
while keeping the accuracy close to that of the classical model. In addition, unlike other
HMM optimization approaches that optimize either the initial parameters or the topol-
ogy used, the approach presented here is complete. It aims to address the core of HMM
problems in the big data context. It seeks to reduce the state transition matrix and the
observation probability matrix.
This study’s first concern is to improve the model so that it works well with big data.
Generally, in the big data context, we are interested in a high number of iterations with
a large state space. This leads us to conclude that the result obtained for a small number
of iterations does not affect the efficiency of the proposed approach because even if we

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Sassi et al. J Big Data (2021) 8:93 Page 25 of 29

Table 11 The contingency table of the McNemar test

CSP-Optimezed HMM Correct Predictions CSP-Optimized HMM
Incorrect Predictions

Standard HMM Correct Predic- a=714 (number of (Yes/Yes)) b=12 (number of (Yes/No))
tions
Standard HMM Incorrect Predic- c=25 (number of (No/Yes)) d=03 (number of (No/No))
tions

increase the number of iterations, we always keep an acceptable running time because
the state space is considerably reduced compared to that of conventional HMMs. Nev-
ertheless, the drawbacks discussed previously need to be addressed in future research to
improve our model. This motivates us to work on other alternative convergence criteria
to overcome the problem of the results for a low number of iterations. We focus on a
new graph-based HMM similarity measure to replace the number-of-iterations criterion
with a more efficient convergence criterion.

Result validation
To validate the proposed model, we used the McNemar test [60] to compare the predic-
tive accuracy of the two models to certify the fact that the results of the prediction accu-
racy are significant and are due mainly to the proposed approach and not to chance. In
terms of comparing two algorithms, the test concerns whether the two models disagree
in the same way. It does not concern whether one model is more or less accurate or error
prone than another.
To run the McNemar test, we calculate the correct predictions of the two models daily.
The results are placed into a 2 × 2 contingency table (see Table 11), with the cell fre-
quencies equaling the number of pairs. The rows represent the correct predictions and
incorrect predictions, respectively, of the standard HMM model, and the columns rep-
resent the correct predictions and incorrect predictions, respectively, of the CSP-opti-
mized HMM model. For example, the intersection of the first row and the first column
is the total number of instances where both models have correct predictions (Yes/Yes).
Using cells b and c, called “discordant” cells, the McNemar test calculates:

(b − c)2
χ2 = (8)
b+c

In the McNemar test, we formulate the null hypothesis of marginal homogeneity, that
the two marginal probabilities for each outcome p(b) and p(c) are the same, or in other
words, neither of the two models performs better than the other. Thus, the null and
alternative hypotheses are:

H0 : p(b) = p(c) (9)

H1 : p(b) �= p(c) (10)

With one degree of freedom and an alpha risk (Type I error) α = 0.05, the critical value
of χ 2 from the chi-square table is χ 2 α=0.05,dl=1 = 3.841.
Given that

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Sassi et al. J Big Data (2021) 8:93 Page 26 of 29

(12 − 25)2
χ2 = = 4.567 (11)
12 + 25

and since χ 2 ≥ χ 2 α=0.05,dl=1, we can reject the null hypothesis H0. Finally, we can say
that the result of the proposed approach is significant.

Conclusion and future directions

In this paper, a big data optimization approach for the refinement of hidden Markov
models is proposed. To enhance the results of the learning and prediction tasks of
HMMs, we present a graph-based approach using a constraint satisfaction prob-
lem to reduce the state and/or observation space. The accuracy of the Baum-Welch
and Viterbi algorithms is optimized through a dimension-reduction optimization
approach. This hybrid approach allows us to improve the performance of hidden
Markov models. The complexity of the learning and prediction phases is remark-
ably improved. The experimental results indicate the superiority of the proposed
approach, which exhibits notable strengths over the classical algorithms and shows
competitiveness compared to other benchmark algorithms in terms of the mean abso-
lute percentage error, running time and computational complexity. The results dem-
onstrate that the proposed algorithm reaches a comparable accuracy, although the
conventional algorithm performs slightly better for a low number of iterations.
To deal with low numbers of iterations, we are interested in a new graph-based
HMM similarity measure to replace the number-of-iterations criterion with another
more efficient convergence criterion.
Future work will involve deeper analysis of the most important HMM problems,
mainly the parameters of learning and prediction tasks. This approach can be adapted
and applied to other real cases, and it will be interesting to use other metrics for a
good evaluation.
To improve this approach, we will focus on parallel and/or distributed hidden
Markov models using metaheuristics since they are parallelizable and can therefore
be used with different big data technologies in a cloud environment.

Abbreviations
CSP: Constraint Satisfaction Problem; HMM: Hidden Markov Models; EM: Expectation Maximization; AC3: Arc Consistency
Algorithm 3; IDC: International Data Corporation; GPGPUs: General-Purpose Graphics Processing Unit; DJIA: Dow Jones
Industrial Average; NASDAQ: National Association of Securities Dealers Automated Quotations; S&P: Standard & Poor’s;
MAPE: Mean Absolute Percentage Error.

Acknowledgements
Not applicable.

Authors’ contributions
IS was the main contributor of this work. He has done an initial literature review, data generation, experiments, prepare
results, and drafted the manuscript. The other authors worked closely with IS to review, analyze and prepare the manu-
script. All authors read and approved the final manuscript.

Funding
Not applicable.

Availability of data and materials

The datasets used and/or analyzed during the current study are available from the corresponding author on reasonable
request.

Content courtesy of Springer Nature, terms of use apply. Rights reserved.

Sassi et al. J Big Data (2021) 8:93 Page 27 of 29

Declarations
Ethics approval and consent to participate
Not applicable.

Consent for publication

Not applicable.

Competing interests
The authors declare that they have no competing interests.

Received: 23 January 2021 Accepted: 17 June 2021

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