Sleep disorders are a serious public health problem with both psychological and physical effects. To formulate the diagnosis of such disorders, it is required that the patient sleeps in a clinic, while various biological signals are recorded: this set of signals is called polysomnography (PSG). PSG analysis is a work done by an experienced clinician by dividing the recording into epochs of 30 seconds and by giving a score to each of these epochs. The score corresponds to five different sleep stages: W that represents the waking stage to the drowsiness, N1 the beginning of the sleep, N2 before the deep sleep, N3 deep sleep, or R the dreaming phase.