Hidden Markov Model with Gaussian Mixture Model emissions (GMMHMM)

The Hidden Markov Model (HMM) is a state-based statistical model that can be used to represent an individual observation sequence class. As seen in the diagram below, the rough idea is that each state should correspond to one ‘section’ of the sequence.

HMM

In the image above, we can imagine creating a HMM to model head gestures of the ‘nod’ class. If the above signal represents the \(y\)-position of the head during a nod, then each of the five states above would represent a different ‘section’ of the nod, and we would fit this HMM by training it on many \(y\)-position head gesture signals of the ‘nod’ class.

A single HMM is modeled by the GMMHMM class.

Parameters and Training

A HMM is completely determined by its parameters, which are explained below.

  • Initial state distribution \(\boldsymbol{\pi}\):
    A probability distribution that dictates the probability of the HMM starting in each state.
  • Transition probability matrix \(A\):
    A matrix whose rows represent a probability distribution that dictates how likely the HMM is to transition to each state, given some current state.
  • Emission probability distributions \(B\):
    A collection of \(M\) continuous multivariate probability distributions (one for each state) that each dictate the probability of the HMM generating an observation \(\mathbf{o}\), given some current state. Recall that we are generally considering multivariate observation sequences – that is, at time \(t\), we have an observation \(\mathbf{o}^{(t)}=\left(o_1^{(t)}, o_2^{(t)}, \ldots, o_D^{(t)}\right)\). The fact that the observations are multivariate necessitates a multivariate emission distribution. Sequentia uses a mixture of multivariate Gaussian distributions.

In order to learn these parameters, we must train the HMM on examples that are labeled with the class \(c\) that the HMM models. Denote the HMM that models class \(c\) as \(\lambda_c=(\boldsymbol{\pi}_c, A_c, B_c)\). We can use the Baum-Welch algorithm (an application of the Expectation-Maximization algorithm to HMMs) to fit \(\lambda_c\) and learn its parameters. This fitting is implemented by the fit() function.

Mixture Emissions

The assumption that a single multivariate Gaussian emission distribution is accurate and representative enough to model the probability of observation vectors of any state of a HMM is often a very strong and naive one. Instead, a more powerful approach is to represent the emission distribution as a mixture of multiple multivariate Gaussian densities. An emission distribution for state \(m\), formed by a weighted mixture of \(K\) multivariate Gaussian densities is defined as:

\[b_m(\mathbf{o}^{(t)}) = \sum_{k=1}^K c_k^{(m)} \mathcal{N}\big(\mathbf{o}^{(t)}\ ;\ \boldsymbol\mu_k^{(m)}, \Sigma_k^{(m)}\big)\]

where \(\mathbf{o}^{(t)}\) is an observation vector at time \(t\), \(c_k^{(m)}\) is a mixture weight such that \(\sum_{k=1}^K c_k^{(m)} = 1\) and \(\boldsymbol\mu_k^{(m)}\) and \(\Sigma_k^{(m)}\) are the mean vector and covariance matrix of the \(k^\text{th}\) mixture component of the \(m^\text{th}\) state, respectively.

Note that even in the case that multiple Gaussian densities are not needed, the mixture weights can be adjusted so that irrelevant Gaussians are omitted and only a single Gaussian remains. However, the default setting of the GMMHMM class is a single Gaussian.

Then a GMM-HMM is completely determined by \(\lambda=(\boldsymbol{\pi}, A, B)\), where \(B\) is a collection of \(M\) emission distributions (one for each state \(m=1,\ldots,M\)), which are each parameterized by a collection of

  • mixture weights \(c_1^{(m)}, \ldots, c_K^{(m)}\),

  • mean vectors \(\boldsymbol\mu_1^{(m)}, \ldots, \boldsymbol\mu_K^{(m)}\),

  • covariance matrices \(\Sigma_1^{(m)}, \ldots, \Sigma_K^{(m)}\),

for each of the \(1,\ldots,K\) mixture components of each state.

Usually if \(K\) is large enough, a mixture of \(K\) Gaussian densities can effectively model any probability density function. With large enough \(K\), we can also restrict the covariance matrices and still get good approximations of any probability density function, and at the same time decrease the number of parameters that need to be updated during Baum-Welch.

The covariance matrix type can be specified by a string parameter covariance_type in the GMMHMM constructor that takes values ‘spherical’, ‘diag’, ‘full’ or ‘tied’. The various types are explained well here, and summarized in the below image (also courtesy of the author of the response in the previous link).

Covariance Types

Model Topologies

As we usually wish to preserve the natural ordering of time, we normally want to prevent our HMM from transitioning to previous states (this is shown in the previous figure). This restriction leads to what known as a left-right HMM, and is the most commonly used type of HMM for sequential modeling. Mathematically, a left-right HMM is defined by an upper-triangular transition matrix.

A linear topology is one in which transitions are only permitted to the current state and the next state, i.e. no state-jumping is permitted.

If we allow transitions to any state at any time, this HMM topology is known as ergodic.

Note

Ergodicity is mathematically defined as having a transition matrix with no zero entries.
Using the ergodic topology in Sequentia will still permit zero entries in the transition matrix, but will issue a warning stating that those probabilities will not be learned.

Sequentia offers all three topologies, specified by a string parameter topology in the GMMHMM constructor that takes values ‘ergodic’, ‘left-right’ or ‘linear’.

HMM Topologies

Making Predictions

A score for how likely a HMM is to generate an observation sequence is given by the Forward algorithm. It calculates the likelihood \(\mathbb{P}(O|\lambda_c)\) of the HMM \(\lambda_c\) generating the observation sequence \(O\).

Note

The likelihood does not account for the fact that a particular observation class may occur more or less frequently than other observation classes. Once a group of GMMHMM objects (represented by a HMMClassifier) is created and configured, this can be accounted for by calculating the joint probability (or un-normalized posterior) \(\mathbb{P}(O, \lambda_c)=\mathbb{P}(O|\lambda_c)\mathbb{P}(\lambda_c)\) and using this score to classify instead (i.e. the Maximum A Posteriori classification rule). The addition of the prior term \(\mathbb{P}(\lambda_c)\) accounts for some classes occuring more frequently than others.

Sequentia provides support for uniform priors (equivalent to just using the likelihood to classify), class frequency priors, and also allows custom prior probabilities to be specified for each class.

See also

See the HMMClassifier class to understand how the likelihood \(\mathbb{P}(O|\lambda_c)\) or joint probability \(\mathbb{P}(O, \lambda_c)\) is used to make a prediction for \(O\).

Example

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
import numpy as np
from sequentia.classifiers import GMMHMM

# Create some sample data
X = [np.random.random((10 * i, 3)) for i in range(1, 4)]

# Create and fit a left-right HMM with random transitions and initial state distribution
hmm = GMMHMM(label='class1', n_states=10, n_components=3, topology='left-right', covariance_type='diag')
hmm.set_random_initial()
hmm.set_random_transitions()
hmm.fit(X)

For more elaborate examples, please have a look at the example notebooks.

API reference

class sequentia.classifiers.hmm.GMMHMM(label, n_states, n_components=1, covariance_type='full', topology='left-right', random_state=None)[source]

A hidden Markov model (with Gaussian Mixture Model emissions) representing a single isolated sequence class.

Parameters
label: str or numeric

A label for the model, corresponding to the class being represented.

n_states: int > 0

The number of states for the model.

n_components: int > 0

The number of mixture components used in the emission distribution for each state.

covariance_type: {‘spherical’, ‘diag’, ‘full’, ‘tied’}

The covariance matrix type for emission distributions.

topology: {‘ergodic’, ‘left-right’, ‘linear’}

The topology for the model.

random_state: numpy.random.RandomState, int, optional

A random state object or seed for reproducible randomness.

Attributes
label (property): str or numeric

The label for the model.

model (property): hmmlearn.hmm.GMMHMM

The underlying GMMHMM model from hmmlearn.

n_states (property): int

The number of states for the model.

n_components (property): int

The number of mixture components used in the emission distribution for each state.

covariance_type (property): str

The covariance matrix type for emission distributions.

frozen (property): set (str)

The frozen parameters of the HMM or its GMM emission distributions (see freeze()).

n_seqs_ (property): int

The number of observation sequences used to train the model.

initial_ (property/setter): numpy.ndarray (float)

The initial state distribution of the model.

transitions_ (property/setter): numpy.ndarray (float)

The transition matrix of the model.

weights_ (property): numpy.ndarray (float)

The mixture weights of the GMM emission distributions.

means_ (property): numpy.ndarray (float)

The mean vectors of the GMM emission distributions.

covars_ (property): numpy.ndarray (float)

The covariance matrices of the GMM emission distributions.

monitor_ (property): hmmlearn.base.ConvergenceMonitor

The convergence monitor for the Baum–Welch algorithm.

set_uniform_initial()[source]

Sets a uniform initial state distribution \(\boldsymbol{\pi}=(\pi_1,\pi_2,\ldots,\pi_M)\) where \(\pi_i=1/M\quad\forall i\).

set_random_initial()[source]

Sets a random initial state distribution by sampling \(\boldsymbol{\pi}\sim\mathrm{Dir}(\mathbf{1}_M)\) where

  • \(\boldsymbol{\pi}=(\pi_1,\pi_2,\ldots,\pi_M)\) are the initial state probabilities for each state,

  • \(\mathbf{1}_M\) is a vector of \(M\) ones which are used as the concentration parameters for the Dirichlet distribution.

set_uniform_transitions()[source]

Sets a uniform transition matrix according to the topology, so that given the HMM is in state \(i\), all permissible transitions (i.e. such that \(p_{ij}\neq0\)) \(\forall j\) are equally probable.

set_random_transitions()[source]

Sets a random transition matrix according to the topology, so that given the HMM is in state \(i\), all out-going transition probabilities \(\mathbf{p}_i=(p_{i1},p_{i2},\ldots,p_{iM})\) from state \(i\) are generated by sampling \(\mathbf{p}_i\sim\mathrm{Dir}(\mathbf{1})\) with a vector of ones of appropriate size used as concentration parameters, so that only transitions permitted by the topology are non-zero.

fit(X)[source]

Fits the HMM to observation sequences assumed to be labeled as the class that the model represents.

Parameters
X: list of numpy.ndarray (float)

Collection of multivariate observation sequences, each of shape \((T \times D)\) where \(T\) may vary per observation sequence.

forward(x)[source]

Runs the forward algorithm to calculate the (log) likelihood of the model generating an observation sequence.

Parameters
x: numpy.ndarray (float)

An individual sequence of observations of size \((T \times D)\) where \(T\) is the number of time frames (or observations) and \(D\) is the number of features.

Returns
log-likelihood: float

The log-likelihood of the model generating the observation sequence.

freeze(params=None)[source]

Freezes the specified parameters of the HMM or its GMM emission distributions, preventing them from being updated during the Baum–Welch algorithm.

Parameters
params: str, optional
A string specifying which parameters to freeze.
Can contain any combination of:
  • ‘s’ for initial state probabilities (HMM parameters),

  • ‘t’ for transition probabilities (HMM parameters),

  • ‘m’ for mean vectors (GMM emission distribution parameters),

  • ‘c’ for covariance matrices (GMM emission distribution parameters),

  • w’ for mixing weights (GMM emission distribution parameters).

Defaults to all parameters, i.e. ‘stmcw’.

See also

unfreeze

Unfreezes parameters of the HMM or its GMM emission distributions.

unfreeze(params=None)[source]

Unfreezes the specified parameters of the HMM or its GMM emission distributions which were frozen with freeze(), allowing them to be updated during the Baum–Welch algorithm.

Parameters
params: str, optional
A string specifying which parameters to unfreeze.
Can contain any combination of:
  • ‘s’ for initial state probabilities (HMM parameters),

  • ‘t’ for transition probabilities (HMM parameters),

  • ‘m’ for mean vectors (GMM emission distribution parameters),

  • ‘c’ for covariance matrices (GMM emission distribution parameters),

  • w’ for mixing weights (GMM emission distribution parameters).

Defaults to all parameters, i.e. ‘stmcw’.

See also

freeze

Freezes parameters of the HMM or its GMM emission distributions.

Hidden Markov Model Classifier (HMMClassifier)

Multiple HMMs can be combined to form a multi-class classifier. To classify a new observation sequence \(O'\), this works by:

  1. Creating and training the HMMs \(\lambda_1, \lambda_2, \ldots, \lambda_C\).
  2. Calculating the likelihoods \(\mathbb{P}(O'|\lambda_1), \mathbb{P}(O'|\lambda_2), \ldots, \mathbb{P}(O'|\lambda_C)\) of each model generating \(O'\).
  3. Scaling the likelihoods by priors \(\mathbb{P}(\lambda_1), \mathbb{P}(\lambda_2), \ldots, \mathbb{P}(\lambda_C)\), producing un-normalized posteriors \(\mathbb{P}(O'|\lambda_c)\mathbb{P}(\lambda_c)\).
  4. Performing MAP classification by choosing the class represented by the HMM with the highest posterior – that is, \(c'=\mathop{\arg\max}_{c\in\{1,\ldots,C\}}{\mathbb{P}(O'|\lambda_c)\mathbb{P}(\lambda_c)}\).

These steps are summarized in the diagram below.

HMM Classifier

Example

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
import numpy as np
from sequentia.classifiers import GMMHMM, HMMClassifier

# Set of possible labels
labels = ['class{}'.format(i) for i in range(5)]

# Create and fit some sample HMMs
hmms = []
for i, label in enumerate(labels):
    hmm = GMMHMM(label=label, n_states=(i + 3), n_components=2, topology='left-right')
    hmm.set_random_initial()
    hmm.set_random_transitions()
    hmm.fit([np.arange((i + j * 20) * 30).reshape(-1, 3) for j in range(1, 4)])
    hmms.append(hmm)

# Create some sample test data and labels
X = [np.random.random((10 * i, 3)) for i in range(1, 4)]
y = ['class0', 'class1', 'class1']

# Create a classifier and calculate predictions and evaluations
clf = HMMClassifier()
clf.fit(hmms)
predictions = clf.predict(X)
accuracy, confusion = clf.evaluate(X, y)

For more elaborate examples, please have a look at the example notebooks.

API reference

class sequentia.classifiers.hmm.HMMClassifier[source]

A classifier that combines individual GMMHMM objects, which each model isolated sequences from a different class.

Attributes
models_ (property): list of GMMHMM

A collection of the GMMHMM objects to use for classification.

encoder_ (property): sklearn.preprocessing.LabelEncoder

The label encoder fitted on the set of classes provided during instantiation.

classes_ (property): numpy.ndarray (str/numeric)

The complete set of possible classes/labels.

fit(models)[source]

Fits the classifier with a collection of GMMHMM objects.

Parameters
models: array-like of GMMHMM

A collection of GMMHMM objects to use for classification.

predict(X, prior='frequency', return_scores=False, original_labels=True, verbose=True, n_jobs=1)[source]

Predicts the label for an observation sequence (or multiple sequences) according to maximum likelihood or posterior scores.

Parameters
X: numpy.ndarray (float) or list of numpy.ndarray (float)

An individual observation sequence or a list of multiple observation sequences.

prior: {‘frequency’, ‘uniform’} or array-like of float

How the prior probability for each model is calculated to perform MAP estimation by scoring with the joint probability (or un-normalized posterior) \(\mathbb{P}(O, \lambda_c)=\mathbb{P}(O|\lambda_c)\mathbb{P}(\lambda_c)\).

  • ‘frequency’: Calculate the prior probability \(\mathbb{P}(\lambda_c)\) as the proportion of training examples in class \(c\).

  • ‘uniform’: Set the priors uniformly such that \(\mathbb{P}(\lambda_c)=\frac{1}{C}\) for each class \(c\in\{1,\ldots,C\}\) (equivalent to ignoring the prior).

Alternatively, class prior probabilities can be specified in an iterable of floats, e.g. [0.1, 0.3, 0.6].

return_scores: bool

Whether to return the scores of each model on the observation sequence(s).

original_labels: bool

Whether to inverse-transform the labels to their original encoding.

verbose: bool

Whether to display a progress bar or not.

Note

If both verbose=True and n_jobs > 1, then the progress bars for each process are always displayed in the console, regardless of where you are running this function from (e.g. a Jupyter notebook).

n_jobs: int > 0 or -1
The number of jobs to run in parallel.
Setting this to -1 will use all available CPU cores.
Returns
prediction(s): str/numeric or numpy.ndarray (str/numeric)

The predicted label(s) for the observation sequence(s).

If original_labels is true, then the returned labels are inverse-transformed into their original encoding.

scores: numpy.ndarray (float)

An \(N\times M\) matrix of scores (log un-normalized posteriors), for each of the \(N\) observation sequences, for each of the \(M\) HMMs. Only returned if return_scores is true.

evaluate(X, y, prior='frequency', verbose=True, n_jobs=1)[source]

Evaluates the performance of the classifier on a batch of observation sequences and their labels.

Parameters
X: list of numpy.ndarray (float)

A list of multiple observation sequences.

y: array-like of str/numeric

An iterable of labels for the observation sequences.

prior: {‘frequency’, ‘uniform’} or array-like of float

How the prior probability for each model is calculated to perform MAP estimation by scoring with the joint probability (or un-normalized posterior) \(\mathbb{P}(O, \lambda_c)=\mathbb{P}(O|\lambda_c)\mathbb{P}(\lambda_c)\).

  • ‘frequency’: Calculate the prior probability \(\mathbb{P}(\lambda_c)\) as the proportion of training examples in class \(c\).

  • ‘uniform’: Set the priors uniformly such that \(\mathbb{P}(\lambda_c)=\frac{1}{C}\) for each class \(c\in\{1,\ldots,C\}\) (equivalent to ignoring the prior).

Alternatively, class prior probabilities can be specified in an iterable of floats, e.g. [0.1, 0.3, 0.6].

verbose: bool

Whether to display a progress bar or not.

Note

If both verbose=True and n_jobs > 1, then the progress bars for each process are always displayed in the console, regardless of where you are running this function from (e.g. a Jupyter notebook).

n_jobs: int > 0 or -1
The number of jobs to run in parallel.
Setting this to -1 will use all available CPU cores.
Returns
accuracy: float

The categorical accuracy of the classifier on the observation sequences.

confusion: numpy.ndarray (int)

The confusion matrix representing the discrepancy between predicted and actual labels.

save(path)[source]

Serializes the HMMClassifier object by pickling.

Parameters
path: str

File path (usually with .pkl extension) to store the serialized HMMClassifier object.

classmethod load(path)[source]

Deserializes a HMMClassifier object which was serialized with the save() function.

Parameters
path: str

File path of the serialized data generated by the save() method.

Returns
deserialized: HMMClassifier

The deserialized HMM classifier object.