viterbi_interface {plotHMM}

Viterbi algorithm

Description

Efficient implementation of Viterbi algorithm in C++ code, for N data and S states.

Usage

viterbi_interface(
  log_emission_mat, log_transition_mat, log_initial_prob_vec)

Arguments

log_emission_mat

N x S numeric matrix of log likelihood of observing each data point in each state.

log_transition_mat

S x S numeric matrix; log_transition_mat[i,j] is the log probability of going from state i to state j.

log_initial_prob_vec

S numeric vector of log probabilities of observing each state at the beginning of the sequence.

Value

list with elements

log_max_prob

N x S numeric matrix of max log probabilities.

best_state

N x S integer matrix. First row is fixed at zero, other rows indicate best states (from 1 to S).

state_seq

N integer vector, best overall state sequence (entries from 1 to S).

Author(s)

Toby Dylan Hocking

Examples

##simulated data.
seg.mean.vec <- c(2, 0, -1, 0)
data.mean.vec <- rep(seg.mean.vec, each=2)
N.data <- length(data.mean.vec)
sd.param <- 0.1
set.seed(1)
y.vec <- rnorm(N.data, data.mean.vec, sd.param)
##model.
state.mean.vec <- unique(seg.mean.vec)
n.states <- length(state.mean.vec)
log.A.mat <- log(matrix(1/n.states, n.states, n.states))
log.pi.vec <- log(rep(1/n.states, n.states))
log.emission.mat <- dnorm(
  y.vec,
  matrix(state.mean.vec, N.data, n.states, byrow=TRUE),
  sd.param,
  log=TRUE)
plotHMM::viterbi_interface(log.emission.mat, log.A.mat, log.pi.vec)