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Coordinatewise posterior modes need not be a sequence MAP

Statement refuted

For every finite HMM with positive observation evidence, choosing a posterior-most-probable hidden state separately at each time always produces a sequence MAP path.

Facts & Assumptions

Given: A finite discrete HMM, an observation sequence y, and p(y)>0. The time-t posterior marginal at state s is ∑z:zt=sp(z∣y).

[F1]

Finite hidden Markov models for sequence decoding: For positive evidence, p(z∣y)=p(z,y)/p(y); a sequence MAP path maximizes this whole-path conditional mass.

Counterexample

Let S={u,v} and Y={x}. Set π(u)=7/20 and π(v)=13/20. The transition rows are u→(u,v)=(1,0) and v→(u,v)=(34/65,31/65). Both states emit x with probability 1. Observe y=(x,x). The four hidden-path masses are p(uu,y)=7/20,p(uv,y)=0,p(vu,y)=17/50,p(vv,y)=31/100. They sum to 1, so these are also the posterior path masses.

1.1givenF1algebra

The initial weights sum to 1, each transition row sums to 1, and each emission row has its single entry equal to 1, so this is a valid HMM. The path masses follow by multiplying the initial and transition factors: uu=(7/20)⋅1=7/20, uv=(7/20)⋅0=0, vu=(13/20)(34/65)=17/50, and vv=(13/20)(31/65)=31/100. Their sum is 35/100+0+34/100+31/100=1.

2.1givenF1step 1.1algebra∎

The time-1 marginal masses are P(Z1=u∣y)=35/100 and P(Z1=v∣y)=65/100, so the unique time-1 mode is v. The time-2 marginal masses are P(Z2=u∣y)=35/100+34/100=69/100 and P(Z2=v∣y)=31/100, so the unique time-2 mode is u. Their coordinatewise mode is vu, whose mass 17/50=34/100 is strictly below p(uu∣y)=7/20=35/100. Hence vu is not a sequence MAP path, refuting the Statement.

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