# Hidden Markov models (HMMs)¶

One potential weakness of MSMs is that they use discrete states with “hard” cutoffs. In some sense, an MSM forms an approximation to the transfer operator in the same sense that a histogram is an approximation a probability density function. When a probability density function is smooth, better performance can often be achieved with kernel density estimators, or mixture models, which smooth the data in a potentially more natural way.

A Gaussian hidden Markov model (HMM) is one way of applying this same logic to probabilistic models of dynamics of molecular systems. Like MSMs, the HMM also models the dynamics of the system as a first-order Markov jump process between a discrete set of states. The difference is that the states in the HMM are not associated with discrete non-overlapping regions of phase space defined by clustering – instead, the states are Gaussian distributions. Because the Gaussian distribution has infinite support, there is no unique and unambiguous mapping from a given conformation to a single state. Each state is a distribution over all conformations.

HMMs have been widely used in many fields, from speech processing to bioinformatics. Many good reviews have been written, such as [1].

## HMMs for Biophysics¶

In [2], McGibbon et. al. introduced a reversible Gaussian HMM for studying
protein dynamics. The class `GaussianHMM`

implements the algorithm
described in that paper. Compared to a “vanilla” HMM:

- The transition matrix is constrained to obey detailed balance. Detailed balance is a necessary condition for the the model to satisfy the 2nd law of thermodynamics. It also aids analysis, because models that don’t satisfy detailed balance don’t necessarily have a unique equilibrium distribution that they relax to in the limit of infinite time.
- We added a penalty term (tunable via the
`fusion_prior`

hyperparameter) on the pairwise difference between the means of each of the states. This helps encourage a sense of sparisty where each state might be different from the other states along only a subset of the coordinates.

## Algorithms¶

`GaussianHMM` |
Reversible Gaussian Hidden Markov Model L1-Fusion Regularization |

`VonMisesHMM` |
Hidden Markov Model with von Mises Emissions |

## References¶

[1] | Rabiner, Lawrence, and Biing-Hwang Juang. An introduction to hidden Markov models ASSP Magazine, IEEE 3.1 (1986): 4-16. |

[2] | McGibbon, Robert T. et al., Understanding Protein Dynamics with L1-Regularized Reversible Hidden Markov Models Proc. 31st Intl. Conf. on Machine Learning (ICML). 2014. |