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math.OC2010
Two-step Nonnegative Matrix Factorization Algorithm for the Approximate Realization of Hidden Markov Models
L. Finesso, A. Grassi, P. Spreij
We propose a two-step algorithm for the construction of a Hidden Markov Model (HMM) of assigned size, i.e. cardinality of the state space of the underlying Markov chain, whose -…
math.OC2006★ 29 cited
Approximation of stationary processes by Hidden Markov Models
Lorenzo Finesso, Angela Grassi, Peter Spreij
We aim at the construction of a Hidden Markov Model (HMM) of assigned complexity (number of states of the underlying Markov chain) which best approximates, in Kullback-Leibler dive…