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2006
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A New Approach for Computing Conditional Probabilities of General Stochastic Processes

12 years 7 months ago
A New Approach for Computing Conditional Probabilities of General Stochastic Processes
In this paper Hidden Markov Model algorithms are considered as a method for computing conditional properties of continuous-time stochastic simulation models. The goal is to develop an algorithm that adapts known Hidden Markov Model algorithms for use with proxel-based simulation. It is shown how the Forward- and Viterbi-algorithms can be directly integrated in the proxel-method. The possibility of integrating the more complex Baum-Welch-algorithm is theoretically addressed. Experiments are conducted to determine the practicability of the new approach and to illustrate the type of analysis that is possible.
Fabian Wickborn, Claudia Isensee, Thomas Simon, Sa
Added 10 Jun 2010
Updated 10 Jun 2010
Type Conference
Year 2006
Where ANSS
Authors Fabian Wickborn, Claudia Isensee, Thomas Simon, Sanja Lazarova-Molnar, Graham Horton
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