hmmtrain.m with unknown state sequence (Baum-Welch)

9 vues (au cours des 30 derniers jours)
Matlab2010
Matlab2010 le 18 Oct 2012
Réponse apportée : amani le 18 Juin 2015
I have a vector of observations Y. I do not know the state sequence of the latents. I wish to find the the transistion and emission matrices hence I want Baum-Welch.
My Min Working example is here:
T = 1000; % Number of timesteps
Y= 1000+cumsum(randn(T,1));
K = 200; %number of states
beta = 0.5;
TRGUESS = get_stateTransitionMatrix(K, beta); %flat start model
N = 2;
EMITGUESS = (1/N) .* ones(K,N);
[TRANS,EMIS] = hmmtrain(Y,TRGUESS,EMITGUESS);
function TRGUESS = get_stateTransitionMatrix(K, beta)
TRGUESS = beta.*eye(K,K);
for i=1:K
for j=1:K
if (TRGUESS(i,j)==0)
TRGUESS(i,j) = (1-beta)/(K-1);
end
end
end
end
On running this I get:
Error using hmmdecode (line 100)
SEQ must consist of integers between 1 and 1.
Error in hmmtrain (line 213)
[~,logPseq,fs,bs,scale] = hmmdecode(seq,guessTR,guessE);
I fear I have misunderstood the hmmtrain documentation. Can anyone help?
thanks!
(using 2012A and all the toolboxes)
  1 commentaire
Matlab2010
Matlab2010 le 14 Nov 2012
Follow up -- just to be clear, hmmtrain.m supports the discrete case.
if you have Gaussian (or other) emissions, then you need to look elsewhere eg http://code.google.com/p/pmtk3/

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Réponse acceptée

Sean de Wolski
Sean de Wolski le 18 Oct 2012
Modifié(e) : Sean de Wolski le 18 Oct 2012
Y, your input for seqs (the first input) need to be integers ranging from 1:n that are the discrete values for training.
You can map back to the original values (whatever these integers happen to represent) later.
More
T=1000; % Number of timesteps
Y= 1000+cumsum(randn(T,1));
[uV,~,seqs] = unique(Y); %map unique values to their indices
seqs2 = rem(seqs,24)+1; %redefine as only 25 states
N = 5; %states
M = 25; %24+1
A = ones(N)/N;
B = ones(N,M)/M;
[TRANS,EMIS] = hmmtrain(seqs2',A,B);
  2 commentaires
Matlab2010
Matlab2010 le 18 Oct 2012
Modifié(e) : Matlab2010 le 14 Nov 2012
ah. thank you! a lot clearer. However, when people say that Baum-Welch is for when you don't know the hidden states, have we not just guessed them here, for the training?
thank you!!
Sean de Wolski
Sean de Wolski le 18 Oct 2012
Guessing means we didn't need to know :)
I don't have time to look into your second question today.

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Plus de réponses (2)

imene s
imene s le 18 Mar 2015
please i need this fuction hmmtrain
  1 commentaire
Sean de Wolski
Sean de Wolski le 19 Mar 2015
It's in the Statistics Toolbox which you or your company/university will need to purchase.

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amani
amani le 18 Juin 2015
Any thoughts about the default prior vector (pi) used in hmmtrain.m ??

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