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DHSCH 3 Part 3

This document summarizes key aspects of hidden Markov models from chapter 3 of the book Pattern Classification. It discusses that a hidden Markov model extends Markov chains to model systems with visible and hidden states. It then outlines the three main problems associated with hidden Markov models: 1) evaluating the probability of an observed sequence, 2) decoding to find the most likely hidden state sequence, and 3) learning model parameters through iterative procedures like Baum-Welch to maximize the probability of observations.

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Nesma Ebrahim Elsayd
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9 views9 pages

DHSCH 3 Part 3

This document summarizes key aspects of hidden Markov models from chapter 3 of the book Pattern Classification. It discusses that a hidden Markov model extends Markov chains to model systems with visible and hidden states. It then outlines the three main problems associated with hidden Markov models: 1) evaluating the probability of an observed sequence, 2) decoding to find the most likely hidden state sequence, and 3) learning model parameters through iterative procedures like Baum-Welch to maximize the probability of observations.

Uploaded by

Nesma Ebrahim Elsayd
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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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
Chapter 3 (Part 3):
Maximum-Likelihood and Bayesian
Parameter Estimation (Section 3.10)

• Hidden Markov Model: Extension of


Markov Chains
3

• 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)
4

• The evaluation problem


It is the probability that the model produces a
sequence VT of visible states. It is:
rmax
P ( V T )   P ( V T |  rT )P ( rT )
r 1

where each r indexes a particular sequence


 rT   ( 1 ), ( 2 ),..., ( T ) of T hidden states.
t T
(1) P ( V T |  rT )   P ( v ( t ) |  ( t ))
t 1
t T
(2) P(  )   P (  ( t ) |  ( t  1 ))
T
r
t 1
Pattern Classification, Chapter 3 (Part 3)
5
Using equations (1) and (2), we can write:
rmax t T
P ( V )   P ( v ( t ) |  ( t )) P (  ( t ) |  ( t  1 )
T

r 1 t 1

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)


6
v1 v2 v3
First possibility:
1 2 3
(t = 1) (t = 2) (t = 3)

v1 v2 v3
Second Possibility:

2 3 1
(t = 1) (t = 2) (t = 3)

P({v1, v2, v3}) = P(2).P(v1 | 2).P(3 | 2).P(v2 | 3).P(1 | 3).P(v3 | 1) + …+

Therefore:
t 3
P ({ v 1 , v 2 , v 3 })  
possible sequence
 P ( v ( t ) |  ( t )).P (  ( t ) |  ( t  1 ))
t 1
of hidden states

Pattern Classification, Chapter 3 (Part 3)


7

• 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)
ˆ ( 1 ),ˆ ( 2 ),...,ˆ ( T ) such that :
ˆ ( 1 ),ˆ ( 2 ),...,ˆ ( T )  arg max P  ( 1 ), ( 2 ),..., ( T ), v ( 1 ), v ( 2 ),...,V ( T ) |  
 ( 1 ), ( 2 ),..., ( T )

Note that the summation disappeared, since we want to find


Only one unique best case !
Pattern Classification, Chapter 3 (Part 3)
8

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)
9

• 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
ˆ  [ ˆ , Â , B̂ ]
Such that to maximize the probability of the observation
sequence:
Max P ( V |  )
T

We use an iterative procedure such as Baum-Welch or


Gradient to find this local optimum

Pattern Classification, Chapter 3 (Part 3)

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