Equivalence of state representations for hidden Markov models

In this paper we consider the following problem for (quasi) hidden Markov models: given a minimal (quasi) hidden Markov model, what can be said about the set of all equivalent (quasi) hidden Markov models of the same order. A distinction is made between Mealy and Moore type of hidden Markov models. A complete solution is presented for the quasi HMM case. For quasi Mealy models, there exists already a description of the set of equivalent models. In this paper, we prove that for minimal quasi Moore models, the set of equivalent models consists of only one element (up to a permutation of the states). Finally, we present some initial results for the positive HMM case and show a motivating simulation example.

[1]  H. Sebastian Seung,et al.  Learning the parts of objects by non-negative matrix factorization , 1999, Nature.

[2]  Jan H. van Schuppen,et al.  Positive matrix factorization via extremal polyhedral cones , 1999 .

[3]  L. Finesso,et al.  Nonnegative matrix factorization and I-divergence alternating minimization☆ , 2004, math/0412070.

[4]  H. Rosenbrock,et al.  State-space and multivariable theory, , 1970 .

[5]  A. Seidenberg A NEW DECISION METHOD FOR ELEMENTARY ALGEBRA , 1954 .

[6]  James Renegar,et al.  On the Computational Complexity and Geometry of the First-Order Theory of the Reals, Part III: Quantifier Elimination , 1992, J. Symb. Comput..

[7]  J. Renegar,et al.  On the Computational Complexity and Geometry of the First-Order Theory of the Reals, Part I , 1989 .

[8]  Brian D. O. Anderson,et al.  The Realization Problem for Hidden Markov Models , 1999, Math. Control. Signals Syst..

[9]  Bart De Moor,et al.  Recursive filtering using quasi-realizations , 2006 .

[10]  Marie-Françoise Roy,et al.  Real algebraic geometry , 1992 .

[11]  A. Tarski A Decision Method for Elementary Algebra and Geometry , 2023 .

[12]  Bart De Moor,et al.  Matrix Factorization and Stochastic State Representations , 2006, Proceedings of the 45th IEEE Conference on Decision and Control.

[13]  D. Blackwell,et al.  On the Identifiability Problem for Functions of Finite Markov Chains , 1957 .

[14]  P. Faurre Stochastic Realization Algorithms , 1976 .

[15]  M. Vidyasagar,et al.  The Realization Problem for Hidden Markov Models: The Complete Realization Problem , 2005, Proceedings of the 44th IEEE Conference on Decision and Control.