A minimum discrimination information approach for hidden Markov modeling

An iterative approach for minimum-discrimination-information (MDI) hidden Markov modeling of information sources is proposed. The approach is developed for sources characterized by a given set of partial covariance matrices and for hidden Markov models (HMMs) with Gaussian autoregressive output probability distributions (PDs). The approach aims at estimating the HMM which yields the MDI with respect to all sources that could have produced the given set of partial covariance matrices. Each iteration of the MDI algorithm generates a new HMM as follows. First, a PD for the source is estimated by minimizing the discrimination information measure with respect to the old model over all PDs which satisfy the given set of partial covariance matrices. Then a new model that decreases the discrimination information measure between the estimated PD of the source and the PD of the old model is developed. The problem of estimating the PD of the source is formulated as a standard constrained minimization problem in the Euclidean space. The estimation of a new model given the PD of the source is done by a procedure that generalizes the Baum algorithm. The MDI approach is shown to be a descent algorithm for the discrimination information measure, and its local convergence is proved.>