Learning hidden Markov models from aggregate observations

DOI10.1016/J.AUTOMATICA.2021.110100zbMATH Open1493.62504arXiv2011.11236OpenAlexW3110501142MaRDI QIDQ2071943FDOQ2071943

Yongxin Chen, Qinsheng Zhang, Rahul Singh

Publication date: 31 January 2022

Published in: Automatica (Search for Journal in Brave)

Abstract: In this paper, we propose an algorithm for estimating the parameters of a time-homogeneous hidden Markov model from aggregate observations. This problem arises when only the population level counts of the number of individuals at each time step are available, from which one seeks to learn the individual hidden Markov model. Our algorithm is built upon expectation-maximization and the recently proposed aggregate inference algorithm, the Sinkhorn belief propagation. As compared with existing methods such as expectation-maximization with non-linear belief propagation, our algorithm exhibits convergence guarantees. Moreover, our learning framework naturally reduces to the standard Baum-Welch learning algorithm when observations corresponding to a single individual are recorded. We further extend our learning algorithm to handle HMMs with continuous observations. The efficacy of our algorithm is demonstrated on a variety of datasets.

Full work available at URL: https://arxiv.org/abs/2011.11236

zbMATH Keywords

expectation-maximization algorithmhidden Markov modelsparameter learningaggregate observations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Mathematical geography and demography (91D20)

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Cited In (3)

• A New Method for Learning Imprecise Hidden Markov Models
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• Learning hidden Markov models with unknown number of states

Uses Software

• PMTK
• PRMLT

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