HMM alg purpose: Forward algorithm/Viterbi algorithm/Baum-Welch algorithm
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g3yangs Offline
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HMM alg purpose: Forward algorithm/Viterbi algorithm/Baum-Welch algorithm
Hey all,

Could someone explain what are the purposes for those three different algs(Forward algorithm/Viterbi algorithm/Baum-Welch algorithm) for HMM?
thanks
2016-04-17 15:45
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g3kooks Offline
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RE: HMM alg purpose: Forward algorithm/Viterbi algorithm/Baum-Welch algorithm
(2016-04-17 15:45)g3yangs Wrote:  Hey all,

Could someone explain what are the purposes for those three different algs(Forward algorithm/Viterbi algorithm/Baum-Welch algorithm) for HMM?
thanks

forward procedure allows you to determine the likelihood of a sequence of observations up until and including time t.

backward procedure is the same, except it's the sequence of observations beyond a time t up until the end of the sequence at time T.

if you put forward and backward together, you can determine the likelihood of a sequence at any given time t.

the viterbi algorithm allows you to actually find the sequence of -states- that maximize likelihood. it yields a path from some node in the trellis at time 0 to some node in the trellis at time T.

baum-welch is the expectation-maximization training algorithm tailored towards HMMs. you initialize your forward and backward values, and then you compute the expectation of 1) being in a specific state at time t given the entire observation sequence, and 2) transitioning from one state to another at time t given the entire observation sequence and the parameters you compute in 1). after you've computed those, you use MLE formulas to maximize their values given the current parameters.
2016-04-17 16:12
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