Forward algorithm: Difference between revisions

 

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{{Distinguish|Forward-backward algorithm}}

{{Distinguish|Forward-backward algorithm}}

The ”’forward algorithm”’, in the context of a [[hidden Markov model]] (HMM), is used to calculate a ‘belief state’: the probability of a state at a certain time, given the history of evidence. The process is also known as ”filtering”. The forward algorithm is closely related to, but distinct from, the [[Viterbi algorithm]].

The ”’forward algorithm”’, in the context of [[hidden Markov model]] (HMM), is used to calculate a ‘belief state’: the probability of a state at a certain time, given the history of evidence. The process is also known as ”filtering”. The forward algorithm is closely related to, but distinct from, the [[Viterbi algorithm]].

The forward and backward algorithms should be placed within the context of probability as they appear to simply be names given to a set of standard mathematical procedures within a few fields. For example, neither “forward algorithm” nor “Viterbi” appear in the Cambridge encyclopedia of mathematics. The main observation to take away from these algorithms is how to organize Bayesian updates and inference to be efficient in the context of directed graphs of variables (see [[Belief_propagation|sum-product networks]]).

The forward and backward algorithms should be placed within the context of probability as they appear to simply be names given to a set of standard mathematical procedures within a few fields. For example, neither “forward algorithm” nor “Viterbi” appear in the Cambridge encyclopedia of mathematics. The main observation to take away from these algorithms is how to organize Bayesian updates and inference to be efficient in the context of directed graphs of variables (see [[Belief_propagation|sum-product networks]]).

Hidden Markov model algorithm

The forward algorithm, in the context of the hidden Markov model (HMM), is used to calculate a ‘belief state’: the probability of a state at a certain time, given the history of evidence. The process is also known as filtering. The forward algorithm is closely related to, but distinct from, the Viterbi algorithm.

The forward and backward algorithms should be placed within the context of probability as they appear to simply be names given to a set of standard mathematical procedures within a few fields. For example, neither “forward algorithm” nor “Viterbi” appear in the Cambridge encyclopedia of mathematics. The main observation to take away from these algorithms is how to organize Bayesian updates and inference to be efficient in the context of directed graphs of variables (see sum-product networks).

For an HMM such as this one:

this probability is written as ${displaystyle p(x_{t}|y_{1:t})}$. Here ${displaystyle x(t)}$ is the hidden state which is abbreviated as ${displaystyle x_{t}}$ and ${displaystyle y_{1:t}}$ are the observations ${displaystyle 1}$ to ${displaystyle t}$.

The backward algorithm complements the forward algorithm by taking into account the future history if one wanted to improve the estimate for past times. This is referred to as smoothing and the forward/backward algorithm computes ${displaystyle p(x_{t}|y_{1:T})}$ for ${displaystyle 1$. Thus, the full forward/backward algorithm takes into account all evidence. Note that a belief state can be calculated at each time step, but doing this does not, in a strict sense, produce the most likely state sequence, but rather the most likely state at each time step, given the previous history. In order to achieve the most likely sequence, the Viterbi algorithm is required. It computes the most likely state sequence given the history of observations, that is, the state sequence that maximizes ${\displaystyle p(x_{0:t\dots }}$