Dynamic Bayesian Networks (DBNs)

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Dynamic Bayesian Networks (DBNs)
Dave, Hsieh Ding Fei Frank, Yip Keung

Outline Introduction to DBNs Inference in DBNs Applications Conclusion
Type of inference Exact inference Approximate inference Applications Conclusion

Introduction to DBNs Motivation Bayesian Network (BN) Models DBN
Static nature of the problem domain Observable quantity is observed once for all Confidence in the observation is true for all time DBN Domains involving repeated observations Process dynamically evolves over time Examples: Monitoring a patient, traffic monitoring, etc.

Introduction to DBNs Assumptions
The process is modeled as discrete time-slice At time 1, state is X(1) , at time t, state is X(t) P(X(1),…, X(t))=P(X(1)) P(X(1)|X(2) )…P(X(t)|X(1),…, X(t-1)) Markov property Given current state, the next state is independent of previous states P(X(1),…, X(t))=P(X(1)) P(X(1)|X(2) )…P(X(t)|X(t-1))

Introduction to DBNs DBN model (DAG representation)
Edge means how tight the coupling is between nodes Effect is immediateedge within same time slice Effect is long termedge between time slices

Introduction to DBNs Special case of DBN  HMM
State of HMM evolves in a Markovian way Model HMM as a simple DBN Each time slice contains two variables which are state q and observation o

Inference Type of Inference Prediction Monitoring
Given a probability distribution over current state, predict the distribution over future states Monitoring Given the observation (evidence) in every time slice t, maintain the distribution over the current state Belief state at time T P(X(T) | o(1) ,…, o(T))

Inference Probability Estimation Explanation
Given a sequence of observations in every time slice t, determine the distribution over each intermediate state P(X(t) | o(1) ,…, o(T)) for t = 1, 2, … , T Explanation Given an initial state and a sequence of observations o(1) ,…, o(T), determine the most likely sequence of states X(1) ,…, X(T)

Exact inference For most inference tasks, a belief state need to be maintained belief state A probability distribution over the current state This state summarize all information about history Need to be maintained compactly

Exact inference How to accomplish exact inference
How to do this in a simple DBN  HMM Given a number of time slices, the DBN is just a very long BN with regular structure Standard Bayesian network algorithms can be used Probability estimation task Clique tree propagation algorithm Forward-backward algorithm

Only the forward pass of forward-backward algorithm Explanation task Viterbi’s algorithm Prediction task Only base on the current belief state because it already have the history information

Exact inference dHugin : an exact inference computational system
Inference method of classical discrete time-series analysis Allows discrete multivariate dynamic system

dHugin introduce notion of dynamic time window
Contain several time slice and represent by junction tree Operations: window expansion and reduction Expand window to perform forecasting Inference are formulated in terms of message passing in junction tree

dHugin Window expansion
Move k new consecutive time slices to the forecast model Move the k oldest time slices of the forecast model to the time window Moralize the compound graph including the graph in window and the new k slices Triangulate the time window Construct new junction tree

dHugin Window reduction Suppose has k+1 time slices in time window
make the k oldest slices in time window become k backward smoothing models The remain (k+1)’st slices is the new time window

Forecasting Calculate estimates of the distributions of future variables given past observations and present variables Forecasting within window Propagation Forecasting beyond the window A series of alternating expansion and reduction step Propagation performed in each step

Problem of Exact inference
Drawback: complex and require large space for computations Key issue is how to maintain the belief state Represent it naively Require an exponential number of entries Cannot represent it compactly by exploiting the structure no conditional independence structure Variables becomes correlated each other when time goes on Prevent using factorization ideas Not even conditionally independent within this time slice

Approximate Inference
Objective Try to maintain and propagate an approximate belief state when the state space is very large in dynamic process It improves the complexity of probabilistic inference

Approximate Inference
Two approaches Structural approximation Ignore weak correlations between variables in a belief state Stochastic simulation Randomly sample from the states in the belief state

Structural Approximation
Problems in exact inference All variables in a belief state are correlated Belief state is expressed as full joint distribution  Need exponential number of table entries Objective of structural approximation Use factorization in order to represent complex system compactly by exploiting the fact that each variable has weak interaction with each other

Structural Approximation
Example (monitor a freeway with multiple cars) States of different cars (e.g velocity,location..etc) become correlated after a certain period of time Approximation is to assume that the correlations are not very strong Each car can be considered as independent The approximate belief state can be represented in a factorized way, as a product of separate distributions, one for each car

Structural Approximation
We can define a set of disjoint clusters Y1,…, Yk such that Y = Y1  Y2  …  Yk . We maintain an approximate belief state : If this approximate belief state of time t is simply propagated forward to time t+1, all variables would become correlated again

Structural Approximation
It can be solved by executing the below process At each time t, we take and propagate it to time t+1, obtain a new distribution Approximate using independent marginal Compute for every I Ie. The product of each marginal is

Structural Approximation
Two sources of error The accumulated error results from propagation The error results from approximation of Errors are bounded due to two opposing forces Propagation from time t to time t+1 adds noise to exact and approximate belief state  reduce difference between them  reduce error Approximation  increase error

Stochastic Simulation
Likelihood Weighting (LW) Find the approximate belief state using sampling Algorithm of LW

Stochastic Simulation
Drawback LW generates the samples at time t according to prior distribution (depends on condition of samples at time t-1) Observation affects the weights, but not the choice of samples Samples generated get increasingly irrelevant when time grows as some samples are not likely to happen to explain the current observation Example of monitoring car’s location

Stochastic Simulation
Samples at t = 5 are more distributed, far away from exact location of vehicle An improved algorithm called Survival-Of-Fittest is used

Stochastic Simulation
Survival-Of-Fittest (SOF) Propagate likely samples more often than unlikely samples Algorithm of SOF

Stochastic Simulation
Belief state propagation over time (a) exact belief state (b) belief state by using LW (b) belief state by using SOF

Application Robot localization
Track a robot moving around in an environment State variables x, y location Orientation Transition model corresponds to motion Next position is a Gaussian around a linear function of current position Observation model Probability that sonar detect an obstacle

Conclusion Concept DBNs Inference in DBNs Applications
Four types of inference Exact inference dHugin Approximate inference Structural approximation Search –based Stochastic simulation Applications robot localization