CS 221: Artificial Intelligence Lecture 5: Hidden Markov Models and Temporal Filtering Sebastian Thrun and Peter Norvig Sl...
Class-On-A-Slide X 5 X 2 E 1 X 1 X 3 X 4 E 2 E 3 E 4 E 5
Example: Minerva
Example: Robot Localization
Example: Groundhog
Example: Groundhog
Example: Groundhog
Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li...
Reasoning over Time <ul><li>Often, we want to  reason about a sequence  of observations </li></ul><ul><ul><li>Speech recog...
Markov Models <ul><li>A  Markov model  is a chain-structured BN </li></ul><ul><ul><li>Each node is identically distributed...
Conditional Independence <ul><li>Basic conditional independence: </li></ul><ul><ul><li>Past and future independent of the ...
Example: Markov Chain <ul><li>Weather: </li></ul><ul><ul><li>States: X = {rain, sun} </li></ul></ul><ul><ul><li>Transition...
Mini-Forward Algorithm <ul><li>Question: What ’s P(X) on some day t? </li></ul><ul><ul><li>An instance of variable elimina...
Example <ul><li>From initial observation of sun </li></ul><ul><li>From initial observation of rain </li></ul>P( X 1 ) P( X...
Stationary Distributions <ul><li>If we simulate the chain long enough: </li></ul><ul><ul><li>What happens? </li></ul></ul>...
Example: Web Link Analysis <ul><li>PageRank over a web graph </li></ul><ul><ul><li>Each web page is a state </li></ul></ul...
Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li...
Hidden Markov Models <ul><li>Markov chains not so useful for most agents </li></ul><ul><ul><li>Eventually you don’t know a...
Example: Robot Localization <ul><li>t=0 </li></ul><ul><li>Sensor model: never more than 1 mistake </li></ul><ul><li>Motion...
Example: Robot Localization <ul><li>t=1 </li></ul>1 0 Prob
Example: Robot Localization <ul><li>t=2 </li></ul>1 0 Prob
Example: Robot Localization <ul><li>t=3 </li></ul>1 0 Prob
Example: Robot Localization <ul><li>t=4 </li></ul>1 0 Prob
Example: Robot Localization <ul><li>t=5 </li></ul>1 0 Prob
Hidden Markov Model <ul><li>HMMs have two important independence properties: </li></ul><ul><ul><li>Markov hidden process, ...
Inference in HMMs (Filtering) E 1 X 1 X 2 X 1
Example <ul><li>An HMM is defined by: </li></ul><ul><ul><li>Initial distribution: </li></ul></ul><ul><ul><li>Transitions: ...
Example HMM
Example: HMMs in Robotics
Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li...
Example: Robot Localization
Particle Filtering <ul><li>Sometimes |X| is too big to use exact inference </li></ul><ul><ul><li>|X| may be too big to eve...
Representation: Particles <ul><li>Our representation of P(X) is now a list of N particles (samples) </li></ul><ul><ul><li>...
Particle Filtering: Elapse Time <ul><li>Each particle is moved by sampling its next position from the transition model </l...
Particle Filtering: Observe <ul><li>Slightly trickier: </li></ul><ul><ul><li>Don ’t do rejection sampling (why not?) </li>...
Particle Filtering: Resample <ul><li>Rather than tracking weighted samples, we resample </li></ul><ul><li>N times, we choo...
Particle Filters
Sensor Information: Importance Sampling
Robot Motion
Sensor Information: Importance Sampling
Robot Motion
Particle Filter Algorithm <ul><li>Sample the next generation for particles using the proposal distribution </li></ul><ul><...
Particle Filter Algorithm <ul><li>Algorithm  particle_filter (  S t-1 , u t-1  z t ): </li></ul><ul><li>For  Generate new ...
Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li...
Other uses of HMM <ul><li>Find most likely sequence of states </li></ul><ul><ul><li>Viterbi algorithm </li></ul></ul><ul><...
Real HMM Examples <ul><li>Speech recognition HMMs: </li></ul><ul><ul><li>Observations are acoustic signals (continuous val...
HMM Application Domain: Speech <ul><li>Speech input is an acoustic wave form </li></ul>s  p  ee  ch  l  a  b Graphs from S...
Time for Questions
Learning Problem <ul><li>Given example observation trajectories </li></ul><ul><ul><li>umbrella, umbrella, no-umbrella, umb...
Learning: Basic Idea <ul><li>Initialize P(x), P(x’|x), P(z|x) randomly </li></ul><ul><li>Calculate for each sequence z 1 ....
Let’s first learn a Markov Chain <ul><li>3 Episodes (R=rain, S=sun) </li></ul><ul><ul><li>S, R, R, S, S, S, S, S, S, S </l...
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CS221: HMM and Particle Filters

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CS221: HMM and Particle Filters

  1. 1. CS 221: Artificial Intelligence Lecture 5: Hidden Markov Models and Temporal Filtering Sebastian Thrun and Peter Norvig Slide credit: Dan Klein, Michael Pfeiffer
  2. 2. Class-On-A-Slide X 5 X 2 E 1 X 1 X 3 X 4 E 2 E 3 E 4 E 5
  3. 3. Example: Minerva
  4. 4. Example: Robot Localization
  5. 5. Example: Groundhog
  6. 6. Example: Groundhog
  7. 7. Example: Groundhog
  8. 8.
  9. 9. Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li>More on HMMs </li></ul>
  10. 10. Reasoning over Time <ul><li>Often, we want to reason about a sequence of observations </li></ul><ul><ul><li>Speech recognition </li></ul></ul><ul><ul><li>Robot localization </li></ul></ul><ul><ul><li>User attention </li></ul></ul><ul><ul><li>Medical monitoring </li></ul></ul><ul><ul><li>Financial modeling </li></ul></ul>
  11. 11. Markov Models <ul><li>A Markov model is a chain-structured BN </li></ul><ul><ul><li>Each node is identically distributed (stationarity) </li></ul></ul><ul><ul><li>Value of X at a given time is called the state </li></ul></ul><ul><ul><li>As a BN: </li></ul></ul><ul><ul><li>Parameters: called transition probabilities or dynamics, specify how the state evolves over time (also, initial probs) </li></ul></ul>X 2 X 1 X 3 X 4
  12. 12. Conditional Independence <ul><li>Basic conditional independence: </li></ul><ul><ul><li>Past and future independent of the present </li></ul></ul><ul><ul><li>Each time step only depends on the previous </li></ul></ul><ul><ul><li>This is called the Markov property </li></ul></ul><ul><li>Note that the chain is just a (growing) BN </li></ul><ul><ul><li>We can always use generic BN reasoning on it if we truncate the chain at a fixed length </li></ul></ul>X 2 X 1 X 3 X 4
  13. 13. Example: Markov Chain <ul><li>Weather: </li></ul><ul><ul><li>States: X = {rain, sun} </li></ul></ul><ul><ul><li>Transitions: </li></ul></ul><ul><ul><li>Initial distribution: 1.0 sun </li></ul></ul><ul><ul><li>What ’s the probability distribution after one step? </li></ul></ul>rain sun 0.9 0.9 0.1 0.1 This is a CPT, not a BN!
  14. 14. Mini-Forward Algorithm <ul><li>Question: What ’s P(X) on some day t? </li></ul><ul><ul><li>An instance of variable elimination! </li></ul></ul>sun rain sun rain sun rain sun rain Forward simulation
  15. 15. Example <ul><li>From initial observation of sun </li></ul><ul><li>From initial observation of rain </li></ul>P( X 1 ) P( X 2 ) P( X 3 ) P( X  ) P( X 1 ) P( X 2 ) P( X 3 ) P( X  )
  16. 16. Stationary Distributions <ul><li>If we simulate the chain long enough: </li></ul><ul><ul><li>What happens? </li></ul></ul><ul><ul><li>Uncertainty accumulates </li></ul></ul><ul><ul><li>Eventually, we have no idea what the state is! </li></ul></ul><ul><li>Stationary distributions: </li></ul><ul><ul><li>For most chains, the distribution we end up in is independent of the initial distribution </li></ul></ul><ul><ul><li>Called the stationary distribution of the chain </li></ul></ul><ul><ul><li>Usually, can only predict a short time out </li></ul></ul>
  17. 17. Example: Web Link Analysis <ul><li>PageRank over a web graph </li></ul><ul><ul><li>Each web page is a state </li></ul></ul><ul><ul><li>Initial distribution: uniform over pages </li></ul></ul><ul><ul><li>Transitions: </li></ul></ul><ul><ul><ul><li>With prob. c, uniform jump to a </li></ul></ul></ul><ul><ul><ul><li>random page (dotted lines, not all shown) </li></ul></ul></ul><ul><ul><ul><li>With prob. 1-c, follow a random </li></ul></ul></ul><ul><ul><ul><li>outlink (solid lines) </li></ul></ul></ul><ul><li>Stationary distribution </li></ul><ul><ul><li>Will spend more time on highly reachable pages </li></ul></ul><ul><ul><li>Google 1.0 returned the set of pages containing all your keywords in decreasing rank, now all search engines use link analysis along with many other factors (rank actually getting less important over time) </li></ul></ul>
  18. 18. Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li>More on HMMs </li></ul>
  19. 19. Hidden Markov Models <ul><li>Markov chains not so useful for most agents </li></ul><ul><ul><li>Eventually you don’t know anything anymore </li></ul></ul><ul><ul><li>Need observations to update your beliefs </li></ul></ul><ul><li>Hidden Markov models (HMMs) </li></ul><ul><ul><li>Underlying Markov chain over states S </li></ul></ul><ul><ul><li>You observe outputs (effects) at each time step </li></ul></ul><ul><ul><li>As a Bayes net: </li></ul></ul>X 5 X 2 E 1 X 1 X 3 X 4 E 2 E 3 E 4 E 5
  20. 20. Example: Robot Localization <ul><li>t=0 </li></ul><ul><li>Sensor model: never more than 1 mistake </li></ul><ul><li>Motion model: may not execute action with small prob. </li></ul>1 0 Prob Example from Michael Pfeiffer
  21. 21. Example: Robot Localization <ul><li>t=1 </li></ul>1 0 Prob
  22. 22. Example: Robot Localization <ul><li>t=2 </li></ul>1 0 Prob
  23. 23. Example: Robot Localization <ul><li>t=3 </li></ul>1 0 Prob
  24. 24. Example: Robot Localization <ul><li>t=4 </li></ul>1 0 Prob
  25. 25. Example: Robot Localization <ul><li>t=5 </li></ul>1 0 Prob
  26. 26. Hidden Markov Model <ul><li>HMMs have two important independence properties: </li></ul><ul><ul><li>Markov hidden process, future depends on past via the present </li></ul></ul><ul><ul><li>Current observation independent of all else given current state </li></ul></ul><ul><li>Quiz: does this mean that observations are mutually independent? </li></ul><ul><ul><li>[No, correlated by the hidden state] </li></ul></ul>X 5 X 2 E 1 X 1 X 3 X 4 E 2 E 3 E 4 E 5
  27. 27. Inference in HMMs (Filtering) E 1 X 1 X 2 X 1
  28. 28. Example <ul><li>An HMM is defined by: </li></ul><ul><ul><li>Initial distribution: </li></ul></ul><ul><ul><li>Transitions: </li></ul></ul><ul><ul><li>Emissions: </li></ul></ul>
  29. 29. Example HMM
  30. 30. Example: HMMs in Robotics
  31. 31. Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li>More on HMMs </li></ul>
  32. 32. Example: Robot Localization
  33. 33. Particle Filtering <ul><li>Sometimes |X| is too big to use exact inference </li></ul><ul><ul><li>|X| may be too big to even store B(X) </li></ul></ul><ul><ul><li>E.g. X is continuous </li></ul></ul><ul><ul><li>|X| 2 may be too big to do updates </li></ul></ul><ul><li>Solution: approximate inference </li></ul><ul><ul><li>Track samples of X, not all values </li></ul></ul><ul><ul><li>Samples are called particles </li></ul></ul><ul><ul><li>Time per step is linear in the number of samples </li></ul></ul><ul><ul><li>But: number needed may be large </li></ul></ul><ul><ul><li>In memory: list of particles, not states </li></ul></ul><ul><li>This is how robot localization works in practice </li></ul>0.0 0.1 0.0 0.0 0.0 0.2 0.0 0.2 0.5
  34. 34. Representation: Particles <ul><li>Our representation of P(X) is now a list of N particles (samples) </li></ul><ul><ul><li>Generally, N << |X| </li></ul></ul><ul><ul><li>Storing map from X to counts would defeat the point </li></ul></ul><ul><li>P(x) approximated by number of particles with value x </li></ul><ul><ul><li>So, many x will have P(x) = 0! </li></ul></ul><ul><ul><li>More particles, more accuracy </li></ul></ul><ul><li>For now, all particles have a weight of 1 </li></ul>Particles: (3,3) (2,3) (3,3) (3,2) (3,3) (3,2) (2,1) (3,3) (3,3) (2,1)
  35. 35. Particle Filtering: Elapse Time <ul><li>Each particle is moved by sampling its next position from the transition model </li></ul><ul><ul><li>This is like prior sampling – samples ’ frequencies reflect the transition probs </li></ul></ul><ul><ul><li>Here, most samples move clockwise, but some move in another direction or stay in place </li></ul></ul><ul><li>This captures the passage of time </li></ul><ul><ul><li>If we have enough samples, close to the exact values before and after (consistent) </li></ul></ul>
  36. 36. Particle Filtering: Observe <ul><li>Slightly trickier: </li></ul><ul><ul><li>Don ’t do rejection sampling (why not?) </li></ul></ul><ul><ul><li>We don ’t sample the observation, we fix it </li></ul></ul><ul><ul><li>This is similar to likelihood weighting, so we downweight our samples based on the evidence </li></ul></ul><ul><ul><li>Note that, as before, the probabilities don ’t sum to one, since most have been downweighted (in fact they sum to an approximation of P(e)) </li></ul></ul>
  37. 37. Particle Filtering: Resample <ul><li>Rather than tracking weighted samples, we resample </li></ul><ul><li>N times, we choose from our weighted sample distribution (i.e. draw with replacement) </li></ul><ul><li>This is analogous to renormalizing the distribution </li></ul><ul><li>Now the update is complete for this time step, continue with the next one </li></ul>Old Particles: (3,3) w=0.1 (2,1) w=0.9 (2,1) w=0.9 (3,1) w=0.4 (3,2) w=0.3 (2,2) w=0.4 (1,1) w=0.4 (3,1) w=0.4 (2,1) w=0.9 (3,2) w=0.3 New Particles: (2,1) w=1 (2,1) w=1 (2,1) w=1 (3,2) w=1 (2,2) w=1 (2,1) w=1 (1,1) w=1 (3,1) w=1 (2,1) w=1 (1,1) w=1
  38. 38. Particle Filters
  39. 39. Sensor Information: Importance Sampling
  40. 40. Robot Motion
  41. 41. Sensor Information: Importance Sampling
  42. 42. Robot Motion
  43. 43. Particle Filter Algorithm <ul><li>Sample the next generation for particles using the proposal distribution </li></ul><ul><li>Compute the importance weights : weight = target distribution / proposal distribution </li></ul><ul><li>Resampling: “Replace unlikely samples by more likely ones” </li></ul>
  44. 44. Particle Filter Algorithm <ul><li>Algorithm particle_filter ( S t-1 , u t-1 z t ): </li></ul><ul><li>For Generate new samples </li></ul><ul><li>Sample index j(i) from the discrete distribution given by w t-1 </li></ul><ul><li>Sample from using and </li></ul><ul><li>Compute importance weight </li></ul><ul><li>Update normalization factor </li></ul><ul><li>Insert </li></ul><ul><li>For </li></ul><ul><li>Normalize weights </li></ul>
  45. 45. Overview <ul><li>Markov Chains </li></ul><ul><li>Hidden Markov Models </li></ul><ul><li>Particle Filters </li></ul><ul><li>More on HMMs </li></ul>
  46. 46. Other uses of HMM <ul><li>Find most likely sequence of states </li></ul><ul><ul><li>Viterbi algorithm </li></ul></ul><ul><li>Learn HMM parameters from data </li></ul><ul><ul><li>Baum-Welch (EM) algorithm </li></ul></ul><ul><li>Other types of HMMs </li></ul><ul><ul><li>Continuous, Gaussian-linear: Kalman filter </li></ul></ul><ul><ul><li>Structured transition/emission probabilities: Dynamic Bayes network (DBN) </li></ul></ul>
  47. 47. Real HMM Examples <ul><li>Speech recognition HMMs: </li></ul><ul><ul><li>Observations are acoustic signals (continuous valued) </li></ul></ul><ul><ul><li>States are specific positions in specific words (so, tens of thousands) </li></ul></ul><ul><li>Machine translation HMMs: </li></ul><ul><ul><li>Observations are words (tens of thousands) </li></ul></ul><ul><ul><li>States are translation options (dozens per word) </li></ul></ul><ul><li>Robot tracking: </li></ul><ul><ul><li>Observations are range readings (continuous) </li></ul></ul><ul><ul><li>States are positions on a map (continuous) </li></ul></ul>
  48. 48. HMM Application Domain: Speech <ul><li>Speech input is an acoustic wave form </li></ul>s p ee ch l a b Graphs from Simon Arnfield ’s web tutorial on speech, Sheffield: http://www.psyc.leeds.ac.uk/research/cogn/speech/tutorial/ “ l” to “a” transition:
  49. 49. Time for Questions
  50. 50. Learning Problem <ul><li>Given example observation trajectories </li></ul><ul><ul><li>umbrella, umbrella, no-umbrella, umbrella </li></ul></ul><ul><ul><li>no-umbrella, no-umbrella, no-umbrella </li></ul></ul><ul><ul><li>… </li></ul></ul><ul><li>Given: structure of HMM </li></ul><ul><li>Problem: Learn probabilities </li></ul><ul><ul><li>P(x), P(x’|x), P(z|x) </li></ul></ul>
  51. 51. Learning: Basic Idea <ul><li>Initialize P(x), P(x’|x), P(z|x) randomly </li></ul><ul><li>Calculate for each sequence z 1 ..z K </li></ul><ul><ul><li>P(x 1 | z 1 ..z K ), P(x 2 | z 1 ..z K ), …, P(x N | z 1 ..z K ) </li></ul></ul><ul><ul><li>Those are known as “expectations” </li></ul></ul><ul><li>Now, compute P(x), P(x’|x), P(z|x) to best match those internal expectations </li></ul><ul><li>Iterate </li></ul>
  52. 52. Let’s first learn a Markov Chain <ul><li>3 Episodes (R=rain, S=sun) </li></ul><ul><ul><li>S, R, R, S, S, S, S, S, S, S </li></ul></ul><ul><ul><li>R, S, S, S, S, R, R, R, R, R </li></ul></ul><ul><ul><li>S, S, S, R, R, S, S, S, S, S </li></ul></ul><ul><li>Initial probability </li></ul><ul><ul><li>P(S) = 2/3 </li></ul></ul><ul><li>State transition probability </li></ul><ul><ul><li>P(S’|S) = 5/6 </li></ul></ul><ul><ul><li>P(R’|R) = 2/3 </li></ul></ul>
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