Efficient sensitivity analysis in hidden Markov models

Sensitivity analysis in hidden Markov models (HMMs) is usually performed by means of a perturbation analysis where a small change is applied to the model parameters, upon which the output of interest is re-computed. Recently it was shown that a simple mathematical function describes the relation between HMM parameters and an output probability of interest; this result was established by representing the HMM as a (dynamic) Bayesian network. To determine this sensitivity function, it was suggested to employ existing Bayesian network algorithms. Up till now, however, no special purpose algorithms for establishing sensitivity functions for HMMs existed. In this paper we discuss the drawbacks of computing HMM sensitivity functions, building only upon existing algorithms. We then present a new and efficient algorithm, which is specially tailored for determining sensitivity functions in HMMs. (C) 2012 Elsevier Inc. All rights reserved.