A modified Baum-Welch algorithm for hidden Markov models with multiple observation spaces

A modified Baum-Welch algorithm for hidden Markov models with multiple observation spaces

In this paper, we derive an algorithm similar to the well-known Baum–Welch algorithm for estimating the parameters of a hidden Markov model (HMM). The new algorithm allows the observation PDF of each state to be defined and estimated using a different feature set. We show that estimating parameters in this manner is equivalent to maximizing the likelihood function for the standard parameterizat...

Baum - Welch Re - estimation of Hidden Markov Model

Hidden Markov Models with Multiple Observation Processes

We consider a hidden Markov model with multiple observation processes, one of which is chosen at each point in time by a policy—a deterministic function of the information state—and attempt to determine which policy minimises the limiting expected entropy of the information state. Focusing on a special case, we prove analytically that the information state always converges in distribution, and ...

Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm

We propose a new method for the estimation of parameters of hidden diffusion processes. Based on parametrization of the transition matrix, the Baum-Welch algorithm is improved. The algorithm is compared to the particle filter in application to the noisy periodic systems. It is shown that the modified Baum-Welch algorithm is capable of estimating the system parameters with better accuracy than p...

Generalized Baum-Welch Algorithm and its Implication to a New Extended Baum-Welch Algorithm

This paper describes how we can use the generalized BaumWelch (GBW) algorithm to develop better extended BaumWelch (EBW) algorithms. Based on GBW, we show that the backoff term in the EBW algorithm comes from KL-divergence which is used as a regularization function. This finding allows us to develop a fast EBW algorithm, which can reduce the time of model space discriminative training by half, ...