A Predictive View on Streaming Hidden Markov Models

• URL: http://arxiv.org/abs/2604.09208v1
• Date: Fri, 10 Apr 2026 10:51:50 GMT
• Title: A Predictive View on Streaming Hidden Markov Models
• Abstract summary: We develop a predictive-first optimisation framework for streaming hidden Markov models.<n>Our objective is to sequentially identify latent regimes while maintaining accurate step-ahead predictive distributions.
• Score: 0.8122270502556375
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We develop a predictive-first optimisation framework for streaming hidden Markov models. Unlike classical approaches that prioritise full posterior recovery under a fully specified generative model, we assume access to regime-specific predictive models whose parameters are learned online while maintaining a fixed transition prior over regimes. Our objective is to sequentially identify latent regimes while maintaining accurate step-ahead predictive distributions. Because the number of possible regime paths grows exponentially, exact filtering is infeasible. We therefore formulate streaming inference as a constrained projection problem in predictive-distribution space: under a fixed hypothesis budget, we approximate the full posterior predictive by the forward-KL optimal mixture supported on $S$ paths. The solution is the renormalised top-$S$ posterior-weighted mixture, providing a principled derivation of beam search for HMMs. The resulting algorithm is fully recursive and deterministic, performing beam-style truncation with closed-form predictive updates and requiring neither EM nor sampling. Empirical comparisons against Online EM and Sequential Monte Carlo under matched computational budgets demonstrate competitive prequential performance.

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