Bayesian Nonparametric Learning with semi-Markovian Dynamics

There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the ubiquitous Hidden Markov Model for learning from sequential and time-series data. However, in many settings the HDP-HMM’s strict Markovian constraints are undesirable, particularly if we wish to learn or encode non-geometric state durations. We can extend the HDPHMM to capture such structure by drawing upon explicit-duration semi-Markovianity, which has been developed in the parametric setting to allow construction of highly interpretable models that admit natural prior information on state durations. In this thesis we introduce the explicit-duration Hierarchical Dirichlet Process Hidden semi-Markov Model (HDP-HSMM) and develop posterior sampling algorithms for efficient inference. We also develop novel sampling inference for the Bayesian version of the classical explicit-duration Hidden semi-Markov Model. We demonstrate the utility of the HDP-HSMM and our inference methods on synthetic data as well as experiments on a speaker diarization problem and an example of learning the patterns in Morse code. Thesis Supervisor: Alan S. Willsky Title: Edwin Sibley Webster Professor of Electrical Engineering