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markov model

The document explains Markov models and Hidden Markov Models (HMM), which are stochastic models used to represent systems where future states depend only on the current state. It provides an example involving weather states and Jack's moods, illustrating how hidden states can be inferred from observed variables. The document also discusses the mathematical framework for calculating probabilities in HMMs, emphasizing the use of Bayes theorem to find the most likely hidden state sequences based on observed data.

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hellovallika
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2 views

markov model

The document explains Markov models and Hidden Markov Models (HMM), which are stochastic models used to represent systems where future states depend only on the current state. It provides an example involving weather states and Jack's moods, illustrating how hidden states can be inferred from observed variables. The document also discusses the mathematical framework for calculating probabilities in HMMs, emphasizing the use of Bayes theorem to find the most likely hidden state sequences based on observed data.

Uploaded by

hellovallika
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Markov Model &

Hidden Markov Model


Markov model

• In probability theory, a Markov model is a stochastic


model used to model randomly changing systems.
• It is assumed that future states depend only on the
current state, not on the events that occurred before it
(that is, it assumes the Markov property).
• Very useful in bio-informatics, NLP, speech recognition
HMM Example
• There are 3 states of weather Rain ,Cloudy and Sunny.
• According to marchov rule ,Weather tomorrow depends only on weather today.
• Any given day Jack mood depends weather. Assume jack has following two
moods sad and happy.
• We don’t live in Jack’s town ,we don’t know what is the weather of particular
day, however we can contact jack over internet and get to know his mood.
• So, states of marchov chain are unknown and hidden from us , but we can
observe some variables that are dependent on states.
• This is called Hidden Marchov Model.
• It consists of (Hidden marchov chain) & (a set of observed variables).
• Note: in his example observed mood is dependent on today’s weather.
HMM: Example
• Transition matrix Emission matrix
•

Stationary distribution vector ,initial vector of states :


Π = [.0218,.273,.509] for rain ,cloud and sunny respectively.
R C S
Cont..
• Lets consider this scenario, we cant observe the hidden states but
assume that this scenario happened.
• Analysing this will help us understand the mathematics behind HMM.
• What is the probability
of this scenario occurring?
Cont..
• In this framework, the joint probability of the observed sequence y1,y2,…yn and the hidden sequence
x1,x2,…xn can be factored as:
n n
P(y1,y2,y3…yn,x1,x3,x3…xn)=p(x1) Π p(xi|xi-1) Π p(yi|xi)
i=2 i=1
p(x1): initial probability of the hidden state variable.
n
Π p(xi|xi-1):The first order marchov process governing the hidden variable
i=2
n
Π p(yi|xi):Conditional probability of each observed variable given its
i=1 corresponding hidden state variable.
Therefore joint probability for above example scenario is : P(y1,y2,y3,x1,x2,x3)=p(x1)*p(y1|x1)*p(x2|
x1)*p(y2|x2)*p(x3|x2)*p(y3|x3)=0.00391.
Cont..
• Now let us hide the states now we have only observed variables

• What is the most likely weather sequence for observed mood


sequence?
• We have many possible permutations ,It can be r|c|s, c|r|s,r|c|r… so on..

•
• To find the most likely weather sequence ,we
need to compute probability for each sequence
and find one with maximum probability .
We can calculate probability just like in previous
case.
Cont..
• With help of a python script computed probabilities of sequence and
found that probability of this below weather sequence maximises.
• Joint probability
value is 0.04105
Next we represent
hidden states by X
observed variables by Y
• We can rewrite our problem like this:

• Find that particular sequence of X for which Probability of X given Y is


maximum.
• Note that in hidden marchov model we observe Y ,that is why we
have written P(X|Y)
• By using Bayes theorem we can
• rewrite this equation as:
• For P(x0) we must use prior distribution vector on initial state.
• Replace P(Y|X) & P(X) in above expression, we get

• Now we have got the expression that we need to maximise .


This is the Product of two n terms, terms of transition matrix and
emission matrix and prior distribution vector .

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