# The DAF integral.

The desired integral is

 (15.2)

We first expand where is a particular length- Markov state sequence with apriori probability

In what follows, the indexes will always stand for the assumed states at times , respectively. Using conditional independence,

 (15.3)

Thus, we have

For tractability, we assume the state observation PDFs are Gaussian. This assumption does not limit this discussion since an HMM with Gaussian mixture state PDFs can be represented as an HMM with Gaussian state PDFs by expanding the individual mixture kernels as separate Markov states. We assume a special form for the means and covariances of :

 (15.4)

where superscripts and refer to the partitions of corresponding to and , respectively (thus, , are in order of increasing time). Note that the marginal PDFs are easily found, for example has mean and covariance

The only term in (15.3) that depends on is , which integrated over is

so

 (15.5)

We now proceed to integrate (15.5) over . The only terms that depend on are and . We have

 (15.6)

Using (15.4) and standard identities for the conditional distribution,

, where

and

. Then, using the standard identity for the product of two Gaussians,

where

Integrating over leaves us with

We can convert this into a density of using the fact that for any invertible matrix ,

 (15.7)

Define We have

So we have

 (15.8)

where

 (15.9)

We now proceed to integrate over . We re-write the product as

where

 (15.10)

Collecting results and integrating over ,

 (15.11)

Define

then we may re-write (15.6) and (15.11) as

and

 (15.12)

Comparing the above equations, we can see a recursion. Because we have previously identified indexes with fixed time indexes, to make a general expression for the recursion, we need to define the free indexes representing the assumed Markov states at the arbitrary times ,, respectively. The recursion is

where

 (15.13)

and

 (15.14)

The recursion starts by integrating (15.12) over and ends with     It can be seen that the full integral

is obtained by the product

 (15.15)

Finally, the desired integral (15.2) is given by

 (15.16)

Since there are elements in , the computation is of order , but the terms in (15.15) converge to a limiting distribution, since the ratio

quickly converges to a constant . This convergence is related to the property of limiting distributions for Markov chains [72] and is fortunate because needs only be calculated for a few values of , then the constant stored.

We tested the expression for by comparing to the numerically-integrated PDF. We created samples of by selecting the first MFCC coeffients extracted from some arbitrary samples of speech data and trained an HMM on samples of . With HMM parameters held fixed, we evaluated using the forward procedure on a fine grid spanning the -dimensional space of . In theory the integral equals 1.0 for since in this case, and are equivalent. For , we were able to carry out the numerical integration up to . For , the numerical integration could be carried out only up to . Table 15.1 shows the comparison of with numerical integration as a function of . Note the close agreement with from equation (15.16). The accuracy was limited by the grid sampling used in the numerical integration since it greatly affected the computation time. The ratio is shown to converge quite rapidly. Therefore the values can be extrapolated to much higher with no additional calculations.

Table: Comparison of numerically integrated likelihood function with equation (15.16) over feature dimension and length . The number of Markov states was .
 Numerical result 1 2 0.999999 1.000000 1 1 3 0.412523 0.412307 0.412307 1 4 0.191555 0.191275 0.463914 1 5 0.092301 0.092048 0.481233 1 6 0.044915 0.487951 1 7 0.022039 0.490682 1 8 0.010839 0.491809 1 9 0.005335 0.492204 1 10 0.002628 0.492442 1 11 0.001294 0.492506 1 12 0.000637 0.492526 1 13 0.000314 0.492529 2 2 0.99999 1.000000 1 2 3 0.06426 0.063756

Baggenstoss 2017-05-19