DRL-STAF: A Deep Reinforcement Learning Framework for State-Aware Forecasting of Complex Multivariate Hidden Markov Processes

TL;DR

DRL-STAF is a novel deep reinforcement learning framework that jointly predicts observations and estimates hidden states in complex multivariate hidden Markov processes, improving accuracy and interpretability.

Contribution

It introduces a flexible, scalable approach combining deep neural networks and reinforcement learning to model nonlinear emissions and hidden states without predefined transition structures.

Findings

DRL-STAF outperforms traditional HMMs and deep learning models in predictive accuracy.

It effectively estimates hidden states in complex multivariate processes.

The framework reduces the state-space explosion problem in multivariate HMMs.

Abstract

Forecasting multivariate hidden Markov processes is challenging due to nonlinear and nonstationary observations, latent state transitions, and cross-sequence dependencies. While deep learning methods achieve strong predictive accuracy, they typically lack explicit state modeling, whereas Hidden Markov Models (HMMs) provide interpretable latent states but struggle with complex nonlinear emissions and scalability. To address these limitations, we propose DRL-STAF, a Deep Reinforcement Learning based STate-Aware Forecasting framework that jointly predicts next-step observations and estimates the corresponding hidden states for complex multivariate hidden Markov processes. Specifically, DRL-STAF models complex nonlinear emissions using deep neural networks and estimates discrete hidden states using reinforcement learning, reducing the reliance on predefined transition structures and enabling flexible adaptation to diverse temporal dynamics. In particular, DRL-STAF mitigates the state-space explosion encountered by typical multivariate HMM-based methods. Extensive experiments demonstrate that DRL-STAF outperforms HMM variants, standalone deep learning models, and existing DL-HMM hybrids in most cases, while also providing reliable hidden-state estimates.