Parameter estimation of hidden Markov models: comparison of EM and quasi-Newton methods with a new hybrid algorithm. - Centre de recherche en Épidémiologie et Santé des Populations
Pré-Publication, Document De Travail Année : 2024

Parameter estimation of hidden Markov models: comparison of EM and quasi-Newton methods with a new hybrid algorithm.

Résumé

Hidden Markov Models (HMM) model a sequence of observations that are dependent on a hidden (or latent) state that follow a Markov chain. These models are widely used in diverse fields including ecology, speech recognition, and genetics. Parameter estimation in HMM is typically performed using the Baum-Welch algorithm, a special case of the Expectation-Maximisation (EM) algorithm. While this method guarantee the convergence to a local maximum, its convergence rates is usually slow. Alternative methods, such as the direct maximisation of the likelihood using quasi-Newton methods (such as L-BFGS-B) can offer faster convergence but can be more complicated to implement due to challenges to deal with the presence of bounds on the space of parameters. We propose a novel hybrid algorithm, QNEM, that combines the Baum-Welch and the quasi-Newton algorithms. QNEM aims to leverage the strength of both algorithms by switching from one method to the other based on the convexity of the likelihood function. We conducted a comparative analysis between QNEM, the Baum-Welch algorithm, an EM acceleration algorithm called SQUAREM (Varadhan, 2008, Scand J Statist), and the L-BFGS-B quasi-Newton method by applying these algorithms to four examples built on different models. We estimated the parameters of each model using the different algorithms and evaluated their performances. Our results show that the best-performing algorithm depends on the model considered. QNEM performs well overall, always being faster or equivalent to L-BFGS-B. The Baum-Welch and SQUAREM algorithms are faster than the quasi-Newton and QNEM algorithms in certain scenarios with multiple optimum. In conclusion, QNEM offers a promising alternative to existing algorithms.
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Dates et versions

hal-04685772 , version 1 (03-09-2024)

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Citer

Sidonie Foulon, Thérèse Truong, Anne-Louise Leutenegger, Hervé Perdry. Parameter estimation of hidden Markov models: comparison of EM and quasi-Newton methods with a new hybrid algorithm.. 2024. ⟨hal-04685772⟩
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