Proceedings of the 25th International Conference on Machine Learning - ICML '08 2008
DOI: 10.1145/1390156.1390293
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Beam sampling for the infinite hidden Markov model

Abstract: The infinite hidden Markov model is a nonparametric extension of the widely used hidden Markov model. Our paper introduces a new inference algorithm for the infinite Hidden Markov model called beam sampling. Beam sampling combines slice sampling, which limits the number of states considered at each time step to a finite number, with dynamic programming, which samples whole state trajectories efficiently. Our algorithm typically outperforms the Gibbs sampler and is more robust. We present applications of iHMM i… Show more

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Cited by 166 publications
(158 citation statements)
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References 18 publications
(18 reference statements)
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“…This allows standard methods for finite mixture models to be used directly. For example, Van Gael et al (2008) fit an infinite hidden Markov model using the forward-backward sampler for finite hidden Markov model using the slice sampling idea. This would be difficult to implement in a retrospective framework since the truncation point changes when updating the allocations.…”
Section: Conclusion and Discussionmentioning
confidence: 99%
“…This allows standard methods for finite mixture models to be used directly. For example, Van Gael et al (2008) fit an infinite hidden Markov model using the forward-backward sampler for finite hidden Markov model using the slice sampling idea. This would be difficult to implement in a retrospective framework since the truncation point changes when updating the allocations.…”
Section: Conclusion and Discussionmentioning
confidence: 99%
“…One possible way to improve the efficiency of sampling would be to use beam sampling techniques similar to those developed for non-parametric Markov models [39]. Another promising option is parallel sampling, which would allow sampling to be run on a number of different CPUs simultaneously [40].…”
Section: Discussionmentioning
confidence: 99%
“…Beam sampling also consist of slice sampling, so number of states are limits by using dynamic programming considered at each time step to a finite number. Using the beam sampler this presents applications of iHMM inference on change point detection and text prediction problems [2].…”
Section: Analysis Of Search Tasksmentioning
confidence: 99%