HMM Overview
HMM Overview
Dave DeBarr
[email protected]
Overview
• General Characteristics
• Simple Example
• Speech Recognition
Andrei Markov
• Russian statistician (1856 – 1922)
• Studied temporal probability models
• Markov assumption
– Statet depends only on a bounded subset of State0:t-1
• First-order Markov process
– P(Statet | State0:t-1) = P(Statet | Statet-1)
• Second-order Markov process
– P(Statet | State0:t-1) = P(Statet | Statet-2:t-1)
Hidden Markov Model (HMM)
• Evidence can be observed, but the state is
hidden
• Three components
– Priors (initial state probabilities)
– State transition model
– Evidence observation model
• Changes are assumed to be caused by a
stationary process
– The transition and observation models do not change
Simple HMM
• Security guard resides in underground facility
(with no way to see if it is raining)
• Wants to determine the probability of rain given
whether the director brings an umbrella
• P(Rain0 = t) = 0.50
What can you do with an HMM?
• Filtering
– P(Statet | Evidence1:t)
• Prediction
– P(Statet+k | Evidence1:t)
• Smoothing
– P(Statek | Evidence1:t)
• Most likely explanation
– argmaxState1:t P(State1:t | Evidence1:t)
Filtering
(the forward algorithm)
P(Rain1 = t)
= ΣRain0 P(Rain1 = t | Rain0) P(Rain0)
=0.70 * 0.50 + 0.30 * 0.50 = 0.50
P(Rain1 = t | Umbrella1 = t)
= α P(Umbrella1 = t | Rain1 = t) P(Rain1 = t)
= α * 0.90 * 0.50 = α *0.45 ≈ 0.818
P(Rain2 = t | Umbrella1 = t)
= ΣRain1 P(Rain2 = t | Rain1) P(Rain1 | Umbrella1 = t)
= 0.70 * 0.818 + 0.30 * 0.182 ≈ 0.627