Machine Learning

, Volume 29, Issue 2, pp 245–273

Factorial Hidden Markov Models

  • Zoubin Ghahramani
  • Michael I. Jordan

DOI: 10.1023/A:1007425814087

Cite this article as:
Ghahramani, Z. & Jordan, M.I. Machine Learning (1997) 29: 245. doi:10.1023/A:1007425814087


Hidden Markov models (HMMs) have proven to be one of the most widely used tools for learning probabilistic models of time series data. In an HMM, information about the past is conveyed through a single discrete variable—the hidden state. We discuss a generalization of HMMs in which this state is factored into multiple state variables and is therefore represented in a distributed manner. We describe an exact algorithm for inferring the posterior probabilities of the hidden state variables given the observations, and relate it to the forward–backward algorithm for HMMs and to algorithms for more general graphical models. Due to the combinatorial nature of the hidden state representation, this exact algorithm is intractable. As in other intractable systems, approximate inference can be carried out using Gibbs sampling or variational methods. Within the variational framework, we present a structured approximation in which the the state variables are decoupled, yielding a tractable algorithm for learning the parameters of the model. Empirical comparisons suggest that these approximations are efficient and provide accurate alternatives to the exact methods. Finally, we use the structured approximation to model Bach's chorales and show that factorial HMMs can capture statistical structure in this data set which an unconstrained HMM cannot.

Hidden Markov models time series EM algorithm graphical models Bayesian networks mean field theory 
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Copyright information

© Kluwer Academic Publishers 1997

Authors and Affiliations

  • Zoubin Ghahramani
    • 1
  • Michael I. Jordan
    • 2
  1. 1.Department of Computer ScienceUniversity of TorontoTorontoCanada
  2. 2.Department of Brain & Cognitive SciencesMassachusetts Institute of TechnologyCambridgeUSA

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