Hidden Markov Model: Tutorial Benyamin Ghojogh
[email protected] Department of Electrical and Computer Engineering, Machine Learning Laboratory, University of Waterloo, Waterloo, ON, Canada Fakhri Karray
[email protected] Department of Electrical and Computer Engineering, Centre for Pattern Analysis and Machine Intelligence, University of Waterloo, Waterloo, ON, Canada Mark Crowley
[email protected] Department of Electrical and Computer Engineering, Machine Learning Laboratory, University of Waterloo, Waterloo, ON, Canada Abstract emitted observation symbols (Rabiner, 1989). HMM mod- This is a tutorial paper for Hidden Markov Model els the the probability density of a sequence of observed (HMM). First, we briefly review the background symbols (Roweis, 2003). on Expectation Maximization (EM), Lagrange This paper is a technical tutorial for evaluation, estima- multiplier, factor graph, the sum-product algo- tion, and training in HMM. We also explain some applica- rithm, the max-product algorithm, and belief tions for HMM. There exist many different applications for propagation by the forward-backward procedure. HMM. One of the most famous applications is in speech Then, we introduce probabilistic graphical mod- recognition (Rabiner, 1989; Gales et al., 2008) where an els including Markov random field and Bayesian HMM is trained for every word in the speech (Rabiner & network. Markov property and Discrete Time Juang, 1986). Another application of HMM is in action Markov Chain (DTMC) are also introduced. We, recognition (Yamato et al., 1992) because an action can then, explain likelihood estimation and EM in be seen as a sequence or times series of poses (Ghojogh HMM in technical details. We explain evalua- et al., 2017; Mokari et al., 2018).