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model (HMM). A hidden Markov model is a statistical model where the

system being modeled is assumed to be a Markov process with

unknown parameters or casual events. HMMs are primarily helpful in

determining the hidden parameters from the observable parameters.

Again, the figure below may help visualize the Hidden Markov Model

concept.

x1, x2, x3 = hidden/unknown states

a12, a21, a23, a32 = transition probabilities

y1, y2, y3 = observable states

e1, e2, e3 = emission probabilities

The key point of the figure above is that only the blue circles are seen,

but you suspect or know that these observable states are directly related

or dependent on some hidden state. These hidden states (the red

circles) are what actually dictates the outcome of the observable states.

The challenge is to figure out the hidden states, the emission

probabilities and transition probabilities.

For example, say you have a data acquisition program that continuously

records the outlet temperature of your product stream which you are

heating up through a heat exchanger. The heat exchanger provides a

constant supply of heat. You observe that the temperature has some

step disturbances and is not always constant. The temperature is the

observable parameter, but the cause of its deviations/states is actually

the stream's flowrate. When the flowrate fluctuates, the outlet

temperature also fluctuates since the heat exchanger is providing the

same amount of heat to the stream. So, the stream flowrate is the

hidden parameter (since you do not have access to this measured

variable) and the probability that the flowrates switches from say 100 to

150 to 300 L/h are the transition probabilities. The emission probability

by the flowrate. This emission probability is not necessarily 1 since

temperature variations could also be due to noise, etc.

Another common scenario used to teach the concept of a hidden

Markov model is the Occasionally Dishonest Casino. If a casino uses

a fair die, each number has a 1/6 probability of being landed on. This

type of probability that represents a known parameter is known as

emission probability in HMMs. Sometimes a casino can tip the odds by

using a loaded die, where one number is favored over the other five

numbers and therefore the side that is favored has a probability that is

higher than 1/6.

But how does one know that the casino is being dishonest by using a

loaded die? Pretend that the die is loaded in such a way that it favors

the number 6. It would be difficult to differentiate between a fair die and

loaded die after watching only one roll. You may be able to get a better

idea after watching a few tosses and see how many times the die

landed on 6. Lets say that you saw the following sequence of die

tosses:

465136

It is still difficult to say with certainty whether the die is loaded or not.

The above sequence is a feasible for both a fair die and a loaded die. In

this particular case, the above numbers that represent what was rolled

are the observable parameters. The hidden parameter is the type of die

used just because we do not know which type produced the above

sequence of numbers.

Instead of relying on a sneaking suspicion that the casino is being

dishonest, one can use a hidden Markov model to prove that a loaded

die is being used occasionally. Please note that if a loaded die was used

all the time it would be more blatantly obvious. In order to get away with

this slight unfairness, the casino will switch the fair die with a loaded

one every so often. Lets say that if a fair die is being used there is a 5%

chance that it will be switched to a loaded die and a 95% chance that it

will remain fair. These are known as transition probabilities because

causal event.

Below is a picture representing the transition probabilities (probability of

staying or changing a type of die) as well as the emission probabilities

(probability of landing on a number).

Using the basic diagram above that show the emission and transition

properties, conditioned statements in Excel can be used to model the

probability that a loaded die is being used. Please refer to example two

for the hidden Markov model Excel sheet.

HHMs can be modeled using Matlab. Follow the link to the site which

contains information in installing the HHM toolbox in Matlab:

HHMs in Matlab

concerns is the weather. The weather affects important issues such as,

choice of clothing, shoes, washing your hair, and so many more.

Considering the bizarre weather in Ann Arbor, you wish to be able to

calculate the probability that it will rain given the data of the last three

consecutive days. Applying your chemical engineering skills and

empowered by the knowledge from this Wiki article, you sit down and

decide to be the next Weather-Person.

You know the following information since you have been an avid fan of

the Weather Channel since age 5.

Solution

Since the last day was a blizzard you use a matrix expressing a 100%

chance in the past, and multiply this by the probabilities of each weather

type.

This means that there is a 60% chance of sun, a 25% chance of rain

and a 15% chance of a blizzard. This is because a Markov process

works based on the probability of the immediately previous event. Thus,

you decide that is a low enough risk and happily decide to wear your

best new outfit AND wash your hair.

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