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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

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Chapter 3 (Part 3): Maximum-Likelihood and Bayesian Parameter Estimation (Section 3.10) Hidden Markov Model: Extension of Markov Chains

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Pattern Classification, Chapter 3 (Part 3) 2

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3 Hidden Markov Model (HMM) Interaction of the visible states with the hidden states b jk = 1 for all j where b jk =P(V k (t) | j (t)). 3 problems are associated with this model The evaluation problem The decoding problem The learning problem

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Pattern Classification, Chapter 3 (Part 3) 4 The evaluation problem It is the probability that the model produces a sequence V T of visible states. It is: where each r indexes a particular sequence of T hidden states.

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Pattern Classification, Chapter 3 (Part 3) 5 Using equations (1) and (2), we can write: Interpretation: The probability that we observe the particular sequence of T visible states V T is equal to the sum over all r max 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; v 1, v 2, v 3 be the visible states and V 3 = {v 1, v 2, v 3 } is the sequence of visible states P({v 1, v 2, v 3 }) = P( 1 ).P(v 1 | 1 ).P( 2 | 1 ).P(v 2 | 2 ).P( 3 | 2 ).P(v 3 | 3 ) +…+ (possible terms in the sum= all possible (3 3 = 27) cases !)

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Pattern Classification, Chapter 3 (Part 3) 6 First possibility: Second Possibility: P({v 1, v 2, v 3 }) = P( 2 ).P(v 1 | 2 ).P( 3 | 2 ).P(v 2 | 3 ).P( 1 | 3 ).P(v 3 | 1 ) + …+ Therefore: 1 (t = 1) 2 (t = 2) 3 (t = 3) v1v1 v2v2 v3v3 2 (t = 1) 1 (t = 3) 3 (t = 2) v3v3 v2v2 v1v1

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Pattern Classification, Chapter 3 (Part 3) 7 Evaluation HMM forward HMM backward Example 3. HMM Forward

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Pattern Classification, Chapter 3 (Part 3) 8

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Pattern Classification, Chapter 3 (Part 3) 11 Left-to-Right model (speech recognition)

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Pattern Classification, Chapter 3 (Part 3) 12 The decoding problem (optimal state sequence) Given a sequence of visible states V T, 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) Note that the summation disappeared, since we want to find Only one unique best case !

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Pattern Classification, Chapter 3 (Part 3) 13 Where: = [ ,A,B] = P( (1) = ) (initial state probability) A = a ij = P( (t+1) = j | (t) = i) B = b jk = 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)}

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Pattern Classification, Chapter 3 (Part 3) 14 Decoding HMM decoding Example 4 Might have invalid path

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Pattern Classification, Chapter 3 (Part 3) 15

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Pattern Classification, Chapter 3 (Part 3) 16 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 Such that to maximize the probability of the observation sequence: We use an iterative procedure such as Baum-Welch or Gradient to find this local optimum

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Pattern Classification, Chapter 3 (Part 3) 17 Learning The Forward-Backward Algorithm Baum-Welch Algorithm

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Pattern Classification, Chapter 3 (Part 3) 18 by Eq. 140 by Eq. 141

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