There is much interest in the Hierarchical Dirichlet Process Hidden Markov
Model (HDP-HMM) as a natural Bayesian nonparametric extension of the ubiquitous
Hidden Markov Model for learning from sequential and time-series data. However,
in many settings the HDP-HMM's strict Markovian constraints are undesirable,
particularly if we wish to learn or encode non-geometric state durations. We
can extend the HDP-HMM to capture such structure by drawing upon
explicit-duration semi-Markovianity, which has been developed mainly in the
parametric frequentist setting, to allow construction of highly interpretable
models that admit natural prior information on state durations.
In this paper we introduce the explicit-duration Hierarchical Dirichlet
Process Hidden semi-Markov Model (HDP-HSMM) and develop sampling algorithms for
efficient posterior inference. The methods we introduce also provide new
methods for sampling inference in the finite Bayesian HSMM. Our modular Gibbs
sampling methods can be embedded in samplers for larger hierarchical Bayesian
models, adding semi-Markov chain modeling as another tool in the Bayesian
inference toolbox. We demonstrate the utility of the HDP-HSMM and our inference
methods on both synthetic and real experiments