HMM(backward法求观察序列的概率)

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backward probability: HMM λ = ( A , B , π ) \lambda=(A,B,\pi) λ=(A,B,π) is known. We define
the backward probability at time t t t and its state q i q_i qi as the
probability of sequence ( o t + 1 , o t + 2 , ⋯   , o T ) \left( o_{t+1}, o_{t+2}, \cdots, o_T \right) (ot+1,ot+2,,oT).

β t ( i ) = P ( o t + 1 o t + 2 ⋯ o T ∣ i t = q i , λ ) \beta_t(i)=P(o_{t+1}o_{t+2}\cdots o_T|i_t=q_i,\lambda) βt(i)=P(ot+1ot+2oTit=qi,λ)

The algorithm to calculate P ( O ∣ λ ) P(O|\lambda) P(Oλ) is shown below,
Alg:

  • Input: λ = ( A , B , π ) , O = ( o 1 , o 2 , ⋯   , o T ) \lambda=(A,B,\pi), O=\left( o_1, o_2, \cdots, o_T \right) λ=(A,B,π),O=(o1,o2,,oT).

  • Output: P ( O ∣ λ ) P(O|\lambda) P(Oλ)

  1. β T ( i ) = P ( A n y ∣ i T = q i , λ ) = 1 , i = 1 , 2 , ⋯   , N \beta_T(i)=P(Any|i_T=q_i,\lambda)=1, i=1,2,\cdots,N βT(i)=P(AnyiT=qi,λ)=1,i=1,2,,N

  2. for t = T − 1 , T − 2 , ⋯   , 1 t=T-1,T-2,\cdots, 1 t=T1,T2,,1
    β t ( i ) = ∑ j = 1 N a i j b j ( o t + 1 ) β t + 1 ( j ) , i = 1 , 2 , ⋯   , N \beta_t(i)=\sum_{j=1}^{N}a_{ij}b_{j}(o_{t+1})\beta_{t+1}(j),i=1,2,\cdots,N βt(i)=j=1Naijbj(ot+1)βt+1(j),i=1,2,,N

  3. P ( O ∣ λ ) = ∑ i = 1 N π i b i ( o 1 ) β 1 ( i ) P(O|\lambda)=\sum_{i=1}^{N}\pi_ib_i(o_1)\beta_1(i) P(Oλ)=i=1Nπibi(o1)β1(i)

Currently, we have studied forward and backward methods. The integral
form of P ( O ∣ λ ) P(O|\lambda) P(Oλ) can be writen as below.

P ( O ∣ λ ) = ∑ i = 1 N ∑ j = 1 N α t ( i ) a i j b j ( o t + 1 ) β t + 1 ( j ) , t = 1 , 2 , ⋯   , T − 1. P(O|\lambda)=\sum_{i=1}^{N}\sum_{j=1}^{N}\alpha_t(i)a_{ij}b_j(o_{t+1})\beta_{t+1}(j), t=1,2,\cdots, T-1. P(Oλ)=i=1Nj=1Nαt(i)aijbj(ot+1)βt+1(j),t=1,2,,T1.

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