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Forward-Backward Latent State Inference for Hidden Continuous-Time semi-Markov Chains

Nicolai Engelmann · Heinz Koeppl

Hall J (level 1) #719

Keywords: [ latent state inference ] [ continuous time ] [ hsmm ] [ semi-Markov ] [ forward-backward ] [ ctsmc ]


Hidden semi-Markov Models (HSMM's) - while broadly in use - are restricted to a discrete and uniform time grid. They are thus not well suited to explain often irregularly spaced discrete event data from continuous-time phenomena. We show that non-sampling-based latent state inference used in HSMM's can be generalized to latent Continuous-Time semi-Markov Chains (CTSMC's). We formulate integro-differential forward and backward equations adjusted to the observation likelihood and introduce an exact integral equation for the Bayesian posterior marginals and a scalable Viterbi-type algorithm for posterior path estimates. The presented equations can be efficiently solved using well-known numerical methods. As a practical tool, variable-step HSMM's are introduced. We evaluate our approaches in latent state inference scenarios in comparison to classical HSMM's.

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