Learning Hidden Markov Models Using Nonnegative Matrix Factorization

DOI10.1109/TIT.2011.2132490MaRDI QIDQ5273649zbMATH OpenOpenAlexFDO

Authors George Cybenko, Valentino Crespi

Publication date 12 July 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.4086

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) General topics in artificial intelligence (68T01)

Abstract: The Baum-Welsh algorithm together with its derivatives and variations has been the main technique for learning Hidden Markov Models (HMM) from observational data. We present an HMM learning algorithm based on the non-negative matrix factorization (NMF) of higher order Markovian statistics that is structurally different from the Baum-Welsh and its associated approaches. The described algorithm supports estimation of the number of recurrent states of an HMM and iterates the non-negative matrix factorization (NMF) algorithm to improve the learned HMM parameters. Numerical examples are provided as well.

Cited in

(7)

• Recursive estimation of multivariate hidden Markov model parameters
• Quantum learning of classical stochastic processes: the completely positive realization problem
• A New Method for Learning Imprecise Hidden Markov Models
• A spectral algorithm for learning hidden Markov models
• Hidden Markov Model-Based Failure Prognosis for Permanent Magnet Synchronous Machine
• Superposition, reduction of multivariable problems, and approximation
• Generating hidden Markov models from process models through nonnegative tensor factorization

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