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I was referring to this wiki article related to forward and backward algorithm

Actually, I didn't get this part $$ \frac{P(o_1,o_2..o_T,X_t=x_i|\pi)}{P(o_1,o_2..o_T|\pi)} = \frac{f_{0:t}(i)*b_{t:T}(i)}{\prod_{s=1}^{T}c_s} $$

where f denotes the forward algorithm and b denotes the backward algorithm. I didn't get how the probability became the factor of the two. I couldn't derive it. I tried to use chain rule of probability but somehow couldn't derive it. Any suggestions?

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Here is a suggestion: make your post self-contained. Here is another one: show what you have done (for example, surely you replaced every factor in the RHS by its definition to see what was the result?). –  Did Jul 10 '12 at 6:11

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up vote 1 down vote accepted

Let $o_i^j=\{o_i,o_{i+1},\ldots,o_j\}$. By the chain rule for probability,

\begin{align*} \frac{P(o_1^T,X_t|\pi)}{P(o_1^T|\pi)}&=\frac{P(o_1^t,X_t|\pi)}{P(o_1^t|\pi)}\frac{P(o_{t+1}^T|\pi,o_1^t,X_t)}{P(o_{t+1}^T|\pi,o_1^t)}\\ &=\frac{P(o_1^t,X_t|\pi)}{P(o_1^t|\pi)}\frac{P(o_{t+1}^T|\pi,o_1^t,X_t)}{\sum_xP(X_t=x)P(o_{t+1}^T|\pi,o_1^t,X_t=x)}\\ &=\frac{P(o_1^t,X_t|\pi)}{P(o_1^t|\pi)}\frac{P(o_{t+1}^T|X_t)}{\sum_xP(X_t=x)P(o_{t+1}^T|\pi,X_t=x)}\\ &=\frac{P(o_1^t,X_t|\pi)}{P(o_1^t|\pi)}\frac{P(o_{t+1}^T|X_t)}{P(o_{t+1}^T|\pi)}\\ &=\frac{f_{0:t}(i)}{\prod_{s=1}^tc_s}\frac{b_{t:T}(i)}{\prod_{s=t+1}^Tc_s}, \end{align*} by definition. The third equality follows from the conditional independence of $o_{t+1}^T$ and $\{\pi,o_1^t\}$ given $X_t$.

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I didn't get it where the third equality came from, the conditional independence. As far as I know, the observations are independent if the corresponding state of the observations is given. If the state is not given, how can you assume that they are independent? –  user34790 Jul 10 '12 at 16:02
    
@user34790 We have conditioning on the state $X_t$ above, which "links" the observations $o_1^t$ and $o_{t+1}^T$ (see figure). This property - that $X_t$ "blocks" any path from $o_1^t$ to $o_{t+1}^T$ - is formally known as d-separation and implies conditional independence (for general Bayesian networks) given the blocking random variable. For a more detailed exposition, see here. –  sai Jul 10 '12 at 18:45

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