Hidden Markov Models (In French) Essay

4635 words - 19 pages

MAI 2014

Travail d’étude et de recherche :
Les chaînes de Markov cachées

Table des matières
Introduction 2
Présentation générale 3
Chaînes de Markov 3
Propriété de Markov 3
Homogénéité 4
Noyaux de transition 5
Modèle de Markov caché 5
Définition 5
Exemple 7
Propriétés 9
Inférence 12
Estimateurs de paramètres : les MLE 12
Probabilité d’une séquence d’observations : l’algorithme Forward-Backward 15
Algorithme de Viterbi 17
Notations 17
Principe 18
Applications 20
Simulations Matlab 20
Inférence paramétrique 20
Algorithme de Viterbi 24
Application à la domotique 26
Conclusion 31
Bibliographie ...view middle of the document...

Chaînes de Markov

Propriété de Markov

Une chaîne de Markov est un processus stochastique à temps discret et états discrets X_n possédant la propriété de Markov, dont une définition est donnée ci-dessous :
Déf. 1.1. X_n vérifie la propriété de Markov faible si :

Où Edésigne l’espace des états possibles de X_n.
Cette propriété signifie que l’état futur d’une chaine de Markov ne dépend que de l’état actuel. Autrement dit, la connaissance des états passés n’apporte pas d’information utile supplémentaire pour la prédiction probabiliste du futur.
Exemple : soit E={soleil, pluie}
Les probabilités dites de transition (voir plus loin) sont :
P(Soleil │Soleil)=0,7 ;
P(Pluie│Soleil)=0,3 ;
Les probabilité initiales sont : P(Soleil)=0,2 et P(Pluie)=0,8
Ainsi, la probabilité d’avoir la séquence {‘Soleil’,’Pluie’,’Soleil’,’Pluie’} est d’après la propriété de Markov : P(Soleil)*P(Pluie│Soleil)*P(Soleil│Pluie)*P(Pluie│Soleil) = 0,2*0,3*0,4*0,3=0,0072

D’autre part, on peut poser une hypothèse d’homogénéité sur la chaîne de Markov considérée :


Déf 1.2. X_n est une chaîne de Markov homogène si :

Cette propriété correspond à une invariabilité des probabilités de transition par rapport au temps. Celle-ci permet notamment de définir la matrice de transition et les noyaux de transition :

Noyaux de transition

Déf 1.3. Si X_n est une chaîne de Markov homogène, on définit A sa matrice de transition d’un état vers un autre par :

Déf 1.4. L’état du processus à l’instant 1 est la loi de probabilité, notée π, de la variable X_1 :

Modèle de Markov caché


Dans les chaînes de Markov, les observations correspondent aux états du processus. Or dans un modèle de Markov caché, on ne peut pas observer directement les états du processus, mais seulement des symboles (aussi appelés observables) émis par les états selon une certaine loi de probabilité.
Au vu d’une séquence d’observation, on ne peut pas savoir par quelle séquence d’états (ou chemin) le processus est passé, d’où le nom de modèle de Markov caché (MMC).
On distingue le processus 〖X= X〗_1,X_2,…,X_n qui représente l’évolution des états du MMC et le processus O= O_1,O_2,…,O_n qui représente la suite des symboles émis par le MMC.

On définit différents éléments pour une chaîne de Markov cachée :
n est le nombre d’états cachés du modèle. On note S = {s_1,s_2,…,s_n} l’ensemble des états caches; A l’instant t, un état est représenté par X_t 〖(X〗_tϵ S)
m est le nombre de symboles distincts que l’on peut observer dans chaque état. On les représente par l’ensemble V = {v_1,v_2,…,v_m}. A l’instant t, un symbole observable est désigné par O_t

Une matrice de probabilité de transitions, notée A = [a_ij], où a_ij est la probabilité a priori de transition de l’état i vers l’état j. On définit a_ij= P(X_(t+1)= s_j │X_t= s_i ), 1 ≤ i, j ≤ n

Une matrice de distributions des...

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