The goal of this code is to fit a Hidden Markov Model (HMM) to data with multiple linear constraints imposed on the HMM's transition and emission probability matrices via the LDKB-FISTA algorithm. Alongside our LDKB-FISTA, we have also uploaded the scripts for running Matlab-Fimincon method, as well as the traditional Baum Welch method. The code are written in Matlab.
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Ma et al. (2024) studied this question.
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