An adaptive simulated annealing EM algorithm for inference on non-homogeneous hidden Markov models

arXiv1912.09733MaRDI QIDQ6331499

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Publication date: 20 December 2019

Abstract: Non-homogeneous hidden Markov models (NHHMM) are a subclass of dependent mixture models used for semi-supervised learning, where both transition probabilities between the latent states and mean parameter of the probability distribution of the responses (for a given state) depend on the set of $p$ covariates. A priori we do not know which (and how) covariates influence the transition probabilities and the mean parameters. This induces a complex combinatorial optimization problem for model selection with $4^p$ potential configurations. To address the problem, in this article we propose an adaptive (A) simulated annealing (SA) expectation maximization (EM) algorithm (ASA-EM) for joint optimization of models and their parameters with respect to a criterion of interest.

Has companion code repository: https://github.com/aliaksah/depmixS4pp

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