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I need to build a HMM with two chains: the structure is as the figure below. How can I use the Viterbi algorithm for this model?

enter image description here

Nick Cox
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user22062
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1 Answers1

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Multiple layered HMM is equivalent to a single layered HMM with larger state space. For example, if you have $M$ layers and $K$ states in each layer, you can construct a single layer HMM with state space size of $K^M$ and then use the regular Viterbi Algorithm. To construct the single layered HMM with exponential state space, you have to go through all possible states in each layer.

learnerer
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