Forward–backward algorithm

The forward–backward algorithm is an inference algorithm for hidden Markov models which computes the posterior marginals of all hidden state variables given a sequence of observations/emissions ${\displaystyle o_{1:t}:=o_{1},\dots ,o_{t}}$, i.e. it computes, for all hidden state variables ${\displaystyle X_{k}\in \{X_{1},\dots ,X_{t}\}}$, the distribution ${\displaystyle P(X_{k}\ |\ o_{1:t})}$. This inference task is usually called smoothing. The algorithm makes use of the principle of dynamic programming to compute efficiently the values that are required to obtain the posterior marginal distributions in two passes. The first pass goes forward in time while the second goes backward in time; hence the name forward–backward algorithm.

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