Fast State Discovery for HMM Model Selection and Learning


Sajid M. Siddiqi, Geogrey J. Gordon, Andrew W. Moore ;
Proceedings of the Eleventh International Conference on Artificial Intelligence and Statistics, PMLR 2:492-499, 2007.


Choosing the number of hidden states and their topology (model selection) and estimating model parameters (learning) are important problems for Hidden Markov Models. This paper presents a new state-splitting algorithm that addresses both these problems. The algorithm models more information about the dynamic context of a state during a split, enabling it to discover underlying states more effectively. Compared to previous top-down methods, the algorithm also touches a smaller fraction of the data per split, leading to faster model search and selection. Because of its efficiency and ability to avoid local minima, the state-splitting approach is a good way to learn HMMs even if the desired number of states is known beforehand. We compare our approach to previous work on synthetic data as well as several real-world data sets from the literature, revealing significant improvements in efficiency and test-set likelihoods. We also compare to previous algorithms on a sign-language recognition task, with positive results.

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