Enhancements in Markovian Dynamics

Many common statistical techniques for modeling multidimensional dynamic data sets can be seen as variants of one (or multiple) underlying linear/nonlinear model(s). These statistical techniques fall into two broad categories of supervised and unsupervised learning. The emphasis of this dissertation is on unsupervised learning under multiple generative models. For linear models, this has been achieved by collective observations and derivations made by previous authors during the last few decades. Factor analysis, polynomial chaos expansion, principal component analysis, gaussian mixture clustering, vector quantization, and Kalman filter models can all be unified as some variations of unsupervised learning under a single basic linear generative model. Hidden Markov modeling (HMM), however, is categorized as an unsupervised learning under multiple linear/nonlinear generative models. This dissertation is primarily focused on hidden Markov models (HMMs). On the first half of this dissertation we study enhancements on the theory of hidden Markov modeling. These include three branches: 1) a robust as well as a closed-form parameter estimation solution to the expectation maximization (EM) process of HMMs for the case of elliptically symmetrical densities; 2) a two-step HMM, with a combined state sequence via an extended Viterbi algorithm for smoother state estimation; and 3) a duration-dependent HMM, for estimating the expected residency frequency on each state. Then, the second half of the dissertation studies three novel applications of these methods: 1) the applications of Markov switching models on the Bifurcation Theory in nonlinear dynamics; 2) a Game Theory application of HMM, based on fundamental theory of card counting and an example on the game of Baccarat; and 3) Trust modeling and the estimation of trustworthiness metrics in cyber security systems via Markov switching models. As a result of the duration dependent HMM, we achieved a better estimation for the expected duration of stay on each regime. Then by robust and closed form solution to the EM algorithm we achieved robustness against outliers in the training data set as well as higher computational efficiency in the maximization step of the EM algorithm. By means of the two-step HMM we achieved smoother probability estimation with higher likelihood than the standard HMM.

Name thesis:degree_name

Ph. D.

Level thesis:degree_level

doctoral

Discipline thesis:degree_discipline

Mechanical Engineering

Department dc:contributor.department

Mechanical Engineering

Grantor dc:publisher

Virginia Tech

Year dc:date.issued

2012

Author dc:creator

• Ali Akbar Soltan, Reza

Chair dc:contributor.committeechair

• Ahmadian, Mehdi

Committee members dc:contributor.committeemember

• Hall, T. Simin
• Southward, Steve C.
• Asl, Farshid M.
• Ball, Joseph A.
• Taheri, Saied

• Duration Dependent Hidden Markov
• Expectation Maximization
• Nonlinear Stochastic Model
• Hidden Markov Model
• Maximum Likelihood Estimation

Statement dc:rights

• In Copyright

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

en_US

Dc Identifier Other

etd-04042012-171726

OAI identifier oai:identifier

oai:vtechworks.lib.vt.edu:10919/77345