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Identification of Hidden Markov Models Using Spectral Learning with Likelihood Maximization
KTH, School of Electrical Engineering (EES), Automatic Control.
KTH, School of Electrical Engineering (EES), Automatic Control.ORCID iD: 0000-0003-0355-2663
KTH, School of Electrical Engineering (EES), Automatic Control.
2017 (English)In: 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017, Institute of Electrical and Electronics Engineers (IEEE), 2017, p. 5859-5864Conference paper, Published paper (Refereed)
Abstract [en]

In this paper, we consider identifying a hidden Markov model (HMM) with the purpose of computing estimates of joint and conditional (posterior) probabilities over observation sequences. The classical maximum likelihood estimation algorithm (via the Baum-Welch/expectation-maximization algorithm), has recently been challenged by methods of moments. Such methods employ low-order moments to provide parameter estimates and have several benefits, including consistency and low computational cost. This paper aims to reduce the gap in statistical efficiency that results from restricting to only low-order moments in the training data. In particular, we propose a two-step procedure that combines spectral learning with a single Newton-like iteration for maximum likelihood estimation. We demonstrate an improved statistical performance using the proposed algorithm in numerical simulations.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2017. p. 5859-5864
Series
IEEE Conference on Decision and Control, ISSN 0743-1546
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-223860DOI: 10.1109/CDC.2017.8264545ISI: 000424696905103Scopus ID: 2-s2.0-85046135167ISBN: 978-1-5090-2873-3 OAI: oai:DiVA.org:kth-223860DiVA, id: diva2:1187896
Conference
IEEE 56th Annual Conference on Decision and Control (CDC), DEC 12-15, 2017, Melbourne, Australia
Funder
Swedish Research Council, 2016-06079
Note

QC 20180306

Available from: 2018-03-06 Created: 2018-03-06 Last updated: 2018-06-01Bibliographically approved

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Mattila, RobertRojas, Cristian R.

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CiteExportLink to record
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