CS205: Building with Artificial Intelligence

The parameter learning task in HMMs is to find, given an output sequence or a set of such sequences, the best set of state transition and emission probabilities. The task is usually to derive the maximum likelihood estimate of the parameters of the HMM given the set of output sequences. No tractable algorithm is known for solving this problem exactly, but a local maximum likelihood can be derived efficiently using the Baum–Welch algorithm or the Baldi–Chauvin algorithm. The Baum–Welch algorithm is a special case of the expectation-maximization algorithm.

If the HMMs are used for time series prediction, more sophisticated Bayesian inference methods, like Markov chain Monte Carlo (MCMC) sampling are proven to be favorable over finding a single maximum likelihood model both in terms of accuracy and stability. Since MCMC imposes significant computational burden, in cases where computational scalability is also of interest, one may alternatively resort to variational approximations to Bayesian inference, e.g. Indeed, approximate variational inference offers computational efficiency comparable to expectation-maximization, while yielding an accuracy profile only slightly inferior to exact MCMC-type Bayesian inference.