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Bayesian Nonparametric Methods for Learning Markov Switching Processes

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4 Author(s)

In this article, we explored a Bayesian nonparametric approach to learning Markov switching processes. This framework requires one to make fewer assumptions about the underlying dynamics, and thereby allows the data to drive the complexity of the inferred model. We began by examining a Bayesian nonparametric HMM, the sticky HDPHMM, that uses a hierarchical DP prior to regularize an unbounded mode space. We then considered extensions to Markov switching processes with richer, conditionally linear dynamics, including the HDP-AR-HMM and HDP-SLDS. We concluded by considering methods for transferring knowledge among multiple related time series. We argued that a featural representation is more appropriate than a rigid global clustering, as it encourages sharing of behaviors among objects while still allowing sequence-specific variability. In this context, the beta process provides an appealing alternative to the DP.

Published in:

Signal Processing Magazine, IEEE  (Volume:27 ,  Issue: 6 )

Date of Publication:

Nov. 2010

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