Hidden Markov gating for prediction of change points in switching dynamical systems

نویسندگان

  • Stefan Liehr
  • Klaus Pawelzik
  • Jens Kohlmorgen
  • Steven Lemm
  • Klaus-Robert Müller
چکیده

The prediction of switching dynamical systems requires an identi cation of each individual dynamics and an early detection of mode changes. Here we present a uni ed framework of a mixtures of experts architecture and a generalized hidden Markov model (HMM) with a state space dependent transition matrix. The specialization of the experts in the dynamical regimes and the adaptation of the switching probabilities is performed simultaneously during the training procedure. We show that our method allows for a fast on{line detection of mode changes in cases where the most recent input data together with the last dynamical mode contain su cient information to indicate a dynamical change.

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تاریخ انتشار 1999