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arXiv 1007.3435math.OC
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隐马尔可夫模型近似实现的两步非负矩阵分解算法

Two-step Nonnegative Matrix Factorization Algorithm for the Approximate Realization of Hidden Markov Models

L. Finesso, A. Grassi, P. Spreij

摘要:

我们提出了一个两步算法的隐马尔可夫模型(HMM)的建设分配的大小,即基数的状态空间的底层马尔可夫链,其$n$维分布是最接近的发散到一个给定的分布。该算法是基于一个伪汉克尔矩阵的因式分解,定义在给定的分布,到一个高和宽的非负矩阵的产品。该实现是基于非负矩阵分解(NMF)算法。为了评估我们的算法的性能,我们产生了一些数值模拟的背景下,HMM降阶。

英文摘要:

We propose a two-step algorithm for the construction of a Hidden Markov Model (HMM) of assigned size, i.e. cardinality of the state space of the underlying Markov chain, whose $n$-dimensional distribution is closest in divergence to a given distribution. The algorithm is based on the factorization of a pseudo Hankel matrix, defined in terms of the given distribution, into the product of a tall and a wide nonnegative matrix. The implementation is based on the nonnegative matrix factorization (NMF) algorithm. To evaluate the performance of our algorithm we produced some numerical simulations in the context of HMM order reduction.

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