Hidden Markov Models. Implementing the forward-, backward- and Viterbi-algorithms using log-space and scaling

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1 Hidden Markov Models Implementing the forward-, backward- and Viterbi-algorithms using log-space and scaling

2 The Viterbi Algorithm ω(z n is the probability of the most likely sequence of states z 1,...,z n generating the observations x 1,...,x n Takes time O(K 2 N and space O(KN using memorization

3 The Viterbi Algorithm ω(z nk ω(z n is the probability of the most likely sequence of states z 1,...,z n generating the observations k x 1,...,x n 1 n N Takes time O(K 2 N and space O(KN using memorization

4 The Viterbi Algorithm ω(z nk ω(z n is the probability of the most likely sequence of states z 1,...,z n generating the observations k x 1,...,x n 1 n N Problem: The values ω(z nk can come very close to zero, by multiplying them we potentially exceed the precision of double precision floating points Takes time O(K 2 N and space O(KN using memorization

5 The Viterbi Algorithm ω(z nk ω(z n is the probability of the most likely sequence of states z 1,...,z n generating the observations k x 1,...,x n 1 n N Problem: The values ω(z nk can come very close to zero, by multiplying them we potentially exceed the precision of double precision floating points Solution: Because log (max f = max log f, we can work in log-space Takes time which O(K 2 N turns and multiplications space O(KN using into additions memorization...

6 The Viterbi Algorithm in log-space ω(z n is the probability of the most likely sequence of states z 1,...,z n generating the observations x 1,...,x n

7 The Viterbi Algorithm ŵ(z in log-space nk ω(z n is the probability of the most likely sequence of states z 1,...,z n generating the observations k x 1,...,x n 1 n N

8 The Viterbi Algorithm ŵ(z in log-space nk ω(z n is the probability of the most likely sequence of states z 1,...,z n generating the observations k x 1,...,x n 1 n N Still takes time O(K 2 N and space O(KN using memorization, and the most likely sequence of states can be found be backtracking

9 z[1..n] = undef z[n] = arg max k ω[k][n] Backtracking for n = N-1 to 1: z[n] = arg max k ( p(x[n+1] z[n+1] * ω[k][n] * p(z[n+1] k print z[1..n] z[1..n] = undef Pseudocode for backtracking not using log-space: Pseudocode for backtracking using log-space: z[n] = arg max k ω^[k][n] for n = N-1 to 1: z[n] = arg max k ( log p(x[n+1] z[n+1] + ω^[k][n] + log p(z[n+1] k print z[1..n] Takes time O(NK but requires the entire ω- or ω^-table in memory

10 A problem with log-space? What if p(x n z n or p(z n z n-1 is 0? Then the product of probabilities becomes 0, but what should it be in log-space?

11 A problem with log-space? What if p(x n z n or p(z n z n-1 is 0? Then the product of probabilities becomes 0, but what should it be in log-space? It should be some representation of minus infinity // Pseudo code for computing w^[k][n] for some n>1 w^[n][k] = undef if p(x[n] k!= 0: for j = 1 to K: if p(k j!= 0: w^[n][k] = max(w^[k][n], log(p(x[n] k + w^[j][n-1] + log(p(k j

12 The Forward Algorithm α(z n is the joint probability of observing x 1,...,x n and being in state z n Takes time O(K 2 N and space O(KN using memorization

13 The Forward Algorithm α(z nk α(z n is the joint probability of observing x 1,...,x n and being in state z n k 1 n N Takes time O(K 2 N and space O(KN using memorization

14 The Forward Algorithm α(z nk α(z n is the joint probability of observing x 1,...,x n and being in state z n k 1 n N Problem: The values α(z nk can come very close to zero, by multiplying them we potentially loose exceed precision the precision when of using double floating precision points floating points Another problem: Because log (Σ f Σ (log f, we cannot use Takes the time log-space O(K 2 N trick and space... O(KN using memorization

15 Forward algorithm using scaled values α(z n is the joint probability of observing x 1,...,x n and being in state z n This normalized version α(z n is a probability distribution over K variables, and we expect it to behave numerically well because The normalized values can not all become arbitrary small...

16 Forward algorithm using scaled values We can modify the forward-recursion to use scaled values

17 Forward algorithm using scaled values We can modify the forward-recursion to use scaled values If we know c n then we have a recursion using the normalized values

18 Forward algorithm using scaled values We can modify the forward-recursion to use scaled values If we know c n then we have a recursion using the normalized values

19 Forward algorithm using scaled values We can modify the forward-recursion to use scaled values In step n compute and store temporarily the K values δ(z n1,..., δ(z nk Compute and store c n as Compute and store

20 Forward algorithm using scaled values We can modify the forward-recursion to use kscaled values In step n compute and store temporarily the K values δ(z n1,..., δ(z nk 1 n N c 1... c n α^(z nk Compute and store c n as Compute and store

21 Forward algorithm using scaled values We can modify the forward-recursion to use kscaled values In step n compute and store temporarily the K values δ(z n1,..., δ(z nk 1 n N c 1... c n α^(z nk Compute and store c n as Compute and store Takes time O(K 2 N and space O(KN using memorization

22 The Backward Algorithm β(z n is the conditional probability of future observation x n+1,...,x N assuming being in state z n Takes time O(K 2 N and space O(KN using memorization

23 Backward algorithm using scaled values We can modify the backward-recursion to use scaled values In step n compute and store temporarily the K values ε(z n1,..., ε(z nk Using c n+1 computed during the forward-recursion, compute and store

24 β^(z nk Backward algorithm using scaled values We can modify the backward-recursion to use k scaled values In step n compute and store temporarily the K values ε(z n1,..., ε(z nk 1 n N Using c n+1 computed during the forward-recursion, compute and store Takes time O(K 2 N and space O(KN using memorization

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