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Hands-On Markov Models with Python

By : Ankan, Panda

2.3 (4)

Buy this Book

Hands-On Markov Models with Python

2.3 (4)

By: Ankan, Panda

Buy this Book

Overview of this book

Hidden Markov Model (HMM) is a statistical model based on the Markov chain concept. Hands-On Markov Models with Python helps you get to grips with HMMs and different inference algorithms by working on real-world problems. The hands-on examples explored in the book help you simplify the process flow in machine learning by using Markov model concepts, thereby making it accessible to everyone. Once you’ve covered the basic concepts of Markov chains, you’ll get insights into Markov processes, models, and types with the help of practical examples. After grasping these fundamentals, you’ll move on to learning about the different algorithms used in inferences and applying them in state and parameter inference. In addition to this, you’ll explore the Bayesian approach of inference and learn how to apply it in HMMs. In further chapters, you’ll discover how to use HMMs in time series analysis and natural language processing (NLP) using Python. You’ll also learn to apply HMM to image processing using 2D-HMM to segment images. Finally, you’ll understand how to apply HMM for reinforcement learning (RL) with the help of Q-Learning, and use this technique for single-stock and multi-stock algorithmic trading. By the end of this book, you will have grasped how to build your own Markov and hidden Markov models on complex datasets in order to apply them to projects.

Preface

Who this book is for

What this book covers

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Free Chapter

Introduction to the Markov Process

Random variables

Random processes

Markov processes

Installing Python and packages

Markov chains or discrete-time Markov processes

Continuous-time Markov chains

Summary

Hidden Markov Models

Markov models

The HMM

Evaluation of an HMM

Extensions of HMM

Summary

State Inference - Predicting the States

State inference in HMM

Dynamic programming

Forward algorithm

Backward algorithm

Forward-backward algorithm (smoothing)

The Viterbi algorithm

Summary

Parameter Learning Using Maximum Likelihood

Maximum likelihood learning

MLE for HMMs

Summary

Parameter Inference Using the Bayesian Approach

Bayesian learning

Bayesian learning in HMM

Code

Summary

Time Series Predicting

Stock price prediction using HMM

Summary

Natural Language Processing

Part-of-speech tagging

Speech recognition

Summary

2D HMM for Image Processing

Recap of 1D HMM

2D HMMs

Summary

Markov Decision Process

Reinforcement learning

The Markov reward process

Code example

Summary

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Backward algorithm

Let's formally define the problem statement for the backward algorithm. In this case, we are trying to compute the probability of observation variables given the current state:

Backward algorithm: P(X_k+1:n|Z_k)

Figure 3.4: HMM showing two time slices, k and k+1

Similar to what we did in the case of the forward algorithm, we will again try to convert this probability term into a recursive equation in terms of known distributions, so that we can recursively compute the probabilities at different time instances. First, we introduce a new term, Z_k+1 in P(X_k+1:n|Z_k), using the marginalization rule:

Here, we are marginalizing over the Z_k+1 variable by summing over all of its possible states, which we have assumed to be m. Now, we can use the product rule of probability to split the preceding equation as: