Higher-Order Kullback-Leibler Aggregation of Markov Chains

Bernhard C. Geiger; Yuchen Wu

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arXiv · 1608.04637

Higher-Order Kullback-Leibler Aggregation of Markov Chains

Bernhard C. Geiger·Yuchen Wu

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Abstract

We consider the problem of reducing a first-order Markov chain on a large alphabet to a higher-order Markov chain on a small alphabet. We present information-theoretic cost functions that are related to predictability and lumpability, show relations between these cost functions, and discuss heuristics to minimize them. Our experiments suggest that the generalization to higher orders is useful for model reduction in reliability analysis and natural language processing.

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Bernhard C. Geiger, Yuchen Wu. 2016-08-16. Higher-Order Kullback-Leibler Aggregation of Markov Chains. https://arxiv.org/abs/1608.04637

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