X-Nico

Forward algorithm

The goal of the forward algorithm is to compute the joint probability $p(x\; t,y\; \{1:t\})$, where for notational convenience we have abbreviated $x(t)$ as $x\; t$ and $(y(1),\; y(2),\; ...,\; y(t))$ as $y\; \{1:t\}$.

see also