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Importance sampling for continuous time Bayesian networks. (English) Zbl 1242.62012

Summary: A continuous time Bayesian network (CTBN) uses a structured representation to describe a dynamic system with a finite number of states which evolves in continuous time. Exact inference in a CTBN is often intractable as the state space of the dynamic system grows exponentially with the number of variables. In this paper, we first present an approximate inference algorithm based on importance sampling. We then extend it to continuous-time particle filtering and smoothing algorithms. These three algorithms can estimate the expectation of any function of a trajectory, conditioned on any evidence set constraining the values of subsets of the variables over subsets of the time line. We present experimental results on both synthetic networks and a network learned from a real data set on people’s life history events. We show the accuracy as well as the time efficiency of our algorithms, and compare them to other approximate algorithms: expectation propagation and Gibbs sampling.

MSC:

62D05 Sampling theory, sample surveys
05C90 Applications of graph theory
68T37 Reasoning under uncertainty in the context of artificial intelligence

Software:

CTBN-RLE
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