Minimal Realization Problems for Hidden Markov Models

@article{Huang2016MinimalRP,
  title={Minimal Realization Problems for Hidden Markov Models},
  author={Qingqing Huang and Rong Ge and Sham M. Kakade and Munther A. Dahleh},
  journal={IEEE Transactions on Signal Processing},
  year={2016},
  volume={64},
  pages={1896-1904}
}
This paper addresses two fundamental problems in the context of hidden Markov models (HMMs). The first problem is concerned with the characterization and computation of a minimal order HMM that realizes the exact joint densities of an output process based on only finite strings of such densities (known as HMM partial realization problem). The second problem is concerned with learning a HMM from finite output observations of a stochastic process. We review and connect two fields of studies… CONTINUE READING
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