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

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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 Commento
Matlab2010
Matlab2010 il 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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Risposta accettata

Sean de Wolski
Sean de Wolski il 18 Ott 2012
Modificato: Sean de Wolski il 18 Ott 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 Commenti
Matlab2010
Matlab2010 il 18 Ott 2012
Modificato: Matlab2010 il 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 il 18 Ott 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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Più risposte (2)

imene s
imene s il 18 Mar 2015
please i need this fuction hmmtrain

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

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