Simulated annealing for maximum a posteriori parameter estimation of hidden Markov models

  • Authors:
  • C. Andrieu;A. Doucet

  • Affiliations:
  • Dept. of Eng., Cambridge Univ.;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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Abstract

Hidden Markov models are mixture models in which the populations from one observation to the next are selected according to an unobserved finite state-space Markov chain. Given a realization of the observation process, our aim is to estimate both the parameters of the Markov chain and of the mixture model in a Bayesian framework. We present an original simulated annealing algorithm which, in the same way as the EM (expectation-maximization) algorithm, relies on data augmentation, and is based on stochastic simulation of the hidden Markov chain. This algorithm is shown to converge toward the set of maximum a posteriori (MAP) parameters under suitable regularity conditions