Baum-Welch Algorithm

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A Baum-Welch Algorithm is an Expectation-Maximization (EM) algorithm that can fit a Hidden Markov Model.



References

2017

2015a

2015b

1. Compute [math]Q(\theta, \theta_s ) = \sum_{z\in Z} \log [P(X , z; \theta)] P(z|X ; \theta_s )[/math].
2. Set [math]\theta^{s+1} = \underset{\theta}{\operatorname{arg\,max}} \,Q(\theta, \theta_s )[/math]