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Diffusion Processes with Hidden States from ... - FU Berlin, FB MI

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Contents1 Motivation 12 Visual Transduction 53 Theory 113.1 Inverse Problems and Bayes Theorem . . . . . . . . . . . . . . . . . . . . . . . 123.2 Markov Chains, Markov <strong>Processes</strong> and Markov Property . . . . . . . . . . . . . 133.3 <strong>Hidden</strong> Markov Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193.4 Maximum Likelihood Principle . . . . . . . . . . . . . . . . . . . . . . . . . . . 213.5 Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233.6 The Expectation-Maximization Algorithm . . . . . . . . . . . . . . . . . . . . . 243.7 Baum-Welch-Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253.8 Two Approaches on Stochastic Systems <strong>with</strong> Equivalent Results . . . . . . . . . 273.9 <strong>Diffusion</strong> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283.9.1 Langevin Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 323.9.2 Langevin Equation in an External Potential . . . . . . . . . . . . . . . . 353.9.3 Stochastic Differential Equation (SDE) . . . . . . . . . . . . . . . . . . 353.9.4 From Stochastic Differential Equations (SDEs) to the Fokker-Planck Equation(FP) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363.10 <strong>Hidden</strong> Markov Models <strong>with</strong> Stochastic Differential Equation Output (HMM-SDE) 373.10.1 Propagation of the Probability Density . . . . . . . . . . . . . . . . . . . 383.10.2 The Likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 403.10.3 Parameter Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 403.10.4 Case of pure <strong>Diffusion</strong> . . . . . . . . . . . . . . . . . . . . . . . . . . . 423.11 <strong>Hidden</strong> Markov Model - Vector Auto Regression (HMM-VAR) as Generalizationof HMM-SDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 433.11.1 Estimator Calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . 453.12 Artificial Test Examples for <strong>Hidden</strong> Markov Model - Vector Auto Regression(HMM-VAR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463.12.1 Three-Dimensional <strong>Diffusion</strong> Trajectories . . . . . . . . . . . . . . . . . 463.12.2 Two-Dimensional Free <strong>Diffusion</strong> <strong>with</strong> a <strong>Hidden</strong> Markov Model Sequenceof three hidden <strong>States</strong> . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493.12.3 Contemplations on <strong>Hidden</strong> Markov Models - Vector Auto Regression (HMM-VAR) Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 563.13 Global Optimization Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . 573.13.1 Genetic Algorithm (GA) . . . . . . . . . . . . . . . . . . . . . . . . . . 573.13.2 Simulated Annealing (SA) . . . . . . . . . . . . . . . . . . . . . . . . . 594 Fluorescence Tracking Experiments 61IX

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