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Licensed Unlicensed Requires Authentication Published by De Gruyter August 11, 2018

Tensor Train Spectral Method for Learning of Hidden Markov Models (HMM)

Maxim A. Kuznetsov and Ivan V. Oseledets

Abstract

We propose a new algorithm for spectral learning of Hidden Markov Models (HMM). In contrast to the standard approach, we do not estimate the parameters of the HMM directly, but construct an estimate for the joint probability distribution. The idea is based on the representation of a joint probability distribution as an N-th-order tensor with low ranks represented in the tensor train (TT) format. Using TT-format, we get an approximation by minimizing the Frobenius distance between the empirical joint probability distribution and tensors with low TT-ranks with core tensors normalization constraints. We propose an algorithm for the solution of the optimization problem that is based on the alternating least squares (ALS) approach and develop its fast version for sparse tensors. The order of the tensor d is a parameter of our algorithm. We have compared the performance of our algorithm with the existing algorithm by Hsu, Kakade and Zhang proposed in 2009 and found that it is much more robust if the number of hidden states is overestimated.

MSC 2010: 15A69; 65C40; 60J20

Funding statement: The authors gratefully acknowledge the financial support from Ministry of Education and Science of the Russian Federation under grant 14.756.31.0001.

Acknowledgements

The authors express their deep gratitude to Professor Andrzej Cichocki for his helpful comments and assistance.

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Received: 2017-10-15
Revised: 2018-02-26
Accepted: 2018-05-02
Published Online: 2018-08-11
Published in Print: 2019-01-01

© 2018 Walter de Gruyter GmbH, Berlin/Boston