Algorithms for a parallel implementation of Hidden Markov Models with a small state space
Abstract—Two of the most important algorithms for Hidden Markov Models are the forward and the Viterbi algorithms. We show how formulating these using linear algebra naturally lends itself to parallelization.< Final Year Project > Although the obtained algorithms are slow for Hidden Markov Models with large state spaces, they require very little communication between processors, and are fast in practice on models with a small state space. We have tested our implementation against two other implementations on artificial data and observe a speed-up of roughly a factor of 5 for the forward algorithm and more than 6 for the Viterbi algorithm. We also tested our algorithm in the Coalescent Hidden Markov Model framework, where it gave a significant speed-up.
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