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Hamming Ball Auxiliary Sampling for Factorial Hidden Markov Models
Michalis Titsias · Christopher Yau

Wed Dec 10 04:00 PM -- 08:59 PM (PST) @ Level 2, room 210D #None

We introduce a novel sampling algorithm for Markov chain Monte Carlo-based Bayesian inference for factorial hidden Markov models. This algorithm is based on an auxiliary variable construction that restricts the model space allowing iterative exploration in polynomial time. The sampling approach overcomes limitations with common conditional Gibbs samplers that use asymmetric updates and become easily trapped in local modes. Instead, our method uses symmetric moves that allows joint updating of the latent sequences and improves mixing. We illustrate the application of the approach with simulated and a real data example.

Author Information

Michalis Titsias (DeepMind)
Christopher Yau (University of Oxford)

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