Bayesian Nonparametric Hidden Semi-Markov Models
Name
Johnson-2013-Bayesian Nonparametric Hidden Semi-Markov Models.pdf
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Author(s)
Johnson, Matthew James
Willsky, Alan S.
Date Issued
February 2013
Journal
Journal of Machine Learning Research
Publisher
Association for Computing Machinery (ACM)
Citation
Johnson, Matthew James; Willsky, Alan S. "Bayesian Nonparametric Hidden Semi-Markov Models." Journal of Machine Learning Research 14 (2013): 673-701.
Version
Final published version
Abstract
There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the ubiquitous Hidden Markov Model for learning from sequential and time-series data. However, in many settings the HDP-HMM's strict Markovian constraints are undesirable, particularly if we wish to learn or encode non-geometric state durations. We can extend the HDP-HMM to capture such structure by drawing upon explicit-duration semi-Markov modeling, which has been developed mainly in the parametric non-Bayesian setting, to allow construction of highly interpretable models that admit natural prior information on state durations.
In this paper we introduce the explicit-duration Hierarchical Dirichlet Process Hidden semi-Markov Model (HDP-HSMM) and develop sampling algorithms for efficient posterior inference. The methods we introduce also provide new methods for sampling inference in the finite Bayesian HSMM. Our modular Gibbs sampling methods can be embedded in samplers for larger hierarchical Bayesian models, adding semi-Markov chain modeling as another tool in the Bayesian inference toolbox. We demonstrate the utility of the HDP-HSMM and our inference methods on both synthetic and real experiments.
MIT Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Massachusetts Institute of Technology. Laboratory for Information and Decision Systems
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DOI of Published Version
http://jmlr.org/papers/v14/johnson13a.html
