PeriodicHiddenMarkovModels

This package is an extension of the package HiddenMarkovModels.jl that defines a lot of the Hidden Markov Models tools (Baum Welch, Viterbi, etc.). The extension adds the subtype PeriodicHMM to the type HiddenMarkovModels.AbstractHMM that deals with non-constant transition matrix A(t) and emission distribution B(t).

Before v0.2 this package depended on the no longer maintained HMMBase.jl. It is now inspired by this Tutorial of the HiddenMarkovModels.jl model, meaning that it should benefit from all the good stuff there. In particular mutli-sequence support. The major notable difference is that PeriodicHMM here do not have to be periodic, they can be completely time inhomogeneous. This is controlled by the n2t vector which indicates the correspondance between observation n and the associated element of the HMM t. See example bellow.

Simple example

using PeriodicHiddenMarkovModels
using Distributions
using Random

Creating matrix

Random.seed!(2022)
K = 2 # Number of Hidden states
T = 10 # Period
N = 49_586 # Length of observation
Q = zeros(K, K, T)
Q[1, 1, :] = [0.25 + 0.1 + 0.5cos(2π / T * t + 1)^2 for t in 1:T]
Q[1, 2, :] = [0.25 - 0.1 + 0.5sin(2π / T * t + 1)^2 for t in 1:T]
Q[2, 2, :] = [0.25 + 0.2 + 0.5cos(2π / T * (t - T / 3))^2 for t in 1:T]
Q[2, 1, :] = [0.25 - 0.2 + 0.5sin(2π / T * (t - T / 3))^2 for t in 1:T]

dist = [Normal for i in 1:K]
ν = [dist[i](2i * cos(2π * t / T), i + cos(2π / T * (t - i / 2 + 1))^2) for i in 1:K, t in 1:T]

init = [1 / 2, 1 / 2]
trans_per = tuple(eachslice(Q; dims=3)...)
dists_per = tuple(eachcol(ν)...)
hmm = PeriodicHMM(init, trans_per, dists_per)

Creating guess matrix (initial condition for the EM algorithm)

Here we add noise to the true matrix (not too far to not end up in far away local minima).

ν_guess = [dist[i](2i * cos(2π * t / T) + 0.01 * randn(), i + cos(2π / T * (t - i / 2 + 1))^2 + 0.05 * randn()) for i in 1:K, t in 1:T]
Q_guess = copy(Q)

ξ = rand(Uniform(0, 0.1))
Q_guess[1, 1, :] .+= ξ
Q_guess[1, 2, :] .-= ξ

ξ = rand(Uniform(0, 0.05))
Q_guess[1, 1, :] .+= ξ
Q_guess[1, 2, :] .-= ξ
hmm_guess = PeriodicHMM(init, tuple(eachslice(Q_guess; dims=3)...), tuple(eachcol(ν_guess)...))

Sampling from the HMM

The n2t vector of length N controls the correspondence between the index of the sequence n and t∈[1:T]. The function n_to_t(N,T) creates a vector of length N and periodicity T but arbitrary non-periodic n2t are accepted.

n2t = n_to_t(N, T)
state_seq, obs_seq = rand(hmm, n2t)

Fitting the HMM

hmm_fit, hist = baum_welch(hmm_guess, obs_seq, n2t)

Plotting the results

using Plots, LaTeXStrings
default(fontfamily="Computer Modern", linewidth=2, label=nothing, grid=true, framestyle=:default)

Transition matrix

begin
    p = [plot(xlabel="t") for i in 1:K]
    for i in 1:K, j in 1:K
        plot!(p[i], 1:T, [transition_matrix(hmm, t)[i, j] for t in 1:T], label=L"Q_{%$(i)\to %$(j)}", c=j)
        plot!(p[i], 1:T, [transition_matrix(hmm_fit, t)[i, j] for t in 1:T], label=L"\hat{Q}_{%$(i)\to %$(j)}", c=j, s=:dash)
    end
    plot(p..., size=(1000, 500))
end

Emission distribution

begin
    p = [plot(xlabel="t", title=L"K = %$(i)") for i in 1:K]
    for i in 1:K
        plot!(p[i], 1:T, mean.(ν[i, :]), label="mean", c=1)
        plot!(p[i], 1:T, mean.([obs_distributions(hmm_fit, t)[i] for t in 1:T]), label="Estimated mean", c=1, s=:dash)
        plot!(p[i], 1:T, std.(ν[i, :]), label="std", c=2)
        plot!(p[i], 1:T, std.([obs_distributions(hmm_fit, t)[i] for t in 1:T]), label="Estimated std", c=2, s=:dash)
    end
    plot(p..., size=(1000, 500))
end

Warning

As it is fit_mle does not enforce smoothness of hidden states with t i.e. because HMM are identifiable up to a relabeling nothing prevents that after fitting ν[k=1, t=1] and ν[k=1, t=2] mean the same hidden state (same for Q matrix). To enforce smoothness and identifiability (up to a global index relabeling), one can be inspired by seasonal Hidden Markov Model, see A. Touron (2019). This is already implemented in SmoothPeriodicStatsModels.jl.but I plan to add this feature to PeriodicHiddenMarkovModels.jl soon.