A computational scheme for Reasoning in Dynamic Probabilistic Networks

Uffe Kjærulff

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arXiv · 1303.5407

A computational scheme for Reasoning in Dynamic Probabilistic Networks

Uffe Kjærulff

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Abstract

A computational scheme for reasoning about dynamic systems using (causal) probabilistic networks is presented. The scheme is based on the framework of Lauritzen and Spiegelhalter (1988), and may be viewed as a generalization of the inference methods of classical time-series analysis in the sense that it allows description of non-linear, multivariate dynamic systems with complex conditional independence structures. Further, the scheme provides a method for efficient backward smoothing and possibilities for efficient, approximate forecasting methods. The scheme has been implemented on top of the HUGIN shell.

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Uffe Kjærulff. 2013-03-13. A computational scheme for Reasoning in Dynamic Probabilistic Networks. https://arxiv.org/abs/1303.5407

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