Stochastic Simulation Algorithms for Dynamic Probabilistic Networks
Keiji Kanazawa, Daphne Koller, Stuart Russell
Stochastic simulation algorithms such as likelihood weighting often give fast, accurate approximations to posterior probabilities in probabilistic networks, and are the methods of choice for very large networks. Unfortunately, the special characteristics of dynamic probabilistic networks (DPNs), which are used to represent stochastic temporal processes, mean that standard simulation algorithms perform very poorly. In essence, the simulation trials diverge further and further from reality as the process is observed over time. In this paper, we present simulation algorithms that use the evidence observed at each time step to push the set of trials back towards reality. The first algorithm, “evidence reversal” (ER) restructures each time slice of the DPN so that the evidence nodes for the slice become ancestors of the state variables. The second algorithm, called “survival of the fittestz” sampling (SOF), “repopulates” the set of trials at each time step using a stochastic reproduction rate weighted by the likelihood of the evidence according to each trial. We compare the performance of each algorithm with likelihood weighting on the original network, and also investigate the benefits of combining the ER and SOF methods. The ER/SOF combination appears to maintain bounded error independent of the number of time steps in the simulation.
Keywords: Belief networks, stochastic simulation, dynamic probabilistic networks,
PS Link: http://www.CS.Berkeley.EDU/~kanazawa/papers/uai95.ps
PDF Link: /papers/95/p346-kanazawa.pdf
AUTHOR = "Keiji Kanazawa
and Daphne Koller and Stuart Russell",
TITLE = "Stochastic Simulation Algorithms for Dynamic Probabilistic Networks",
BOOKTITLE = "Proceedings of the Eleventh Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI-95)",
PUBLISHER = "Morgan Kaufmann",
ADDRESS = "San Francisco, CA",
YEAR = "1995",
PAGES = "346--351"