lec5 - Inference by Stochastic Simulation 0 Basic idea: 3...

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Unformatted text preview: Inference by Stochastic Simulation 0 Basic idea: 3 Draw N samples from a sampling distribution 0 Compute an approximate posterior probability P CSci 5512: Artificial Intelligence II o Show this converges to the true probability P 0 Sampling approaches: Instructor: Arindam Banerjee Sampling from an empty network Rejection sampling Likelihood weighting Markov chain Monte Carlo (MCMC) February 1, 2012 Instructor: Arindam Banerjee Instructor: Arindam Banerjee — Bayesian Networks with Loops Sampling from an empty network 0 Consider a Bayesian Network P(X1,...,X,,) o The joint distribution factorizes as n P(X1, . . . ,X,,) = H P(X,-|Parents(X,-)) i=1 o Fori=l,...,n 0 Assume Parents(Xi) have been instantiated . . . . D |,-f|| ' PX,-P X,- o A direct application of sum-product can be problematic O raw 3 sampe X o owmg I I arents( )) 0 Can be converted to a junction tree, size can be exponential . (X1 X") forms a sample from the Bayesian Network ,..., 0 Focus on approximate inference techniques: 0 Stochastic inference, based on sampling :- Deterministic inference, based on approximations Instructor: Arindam Banerjee Instructor: Arindam Banerjee o [5(X|e) estimates from samples agreeing with e o Draw sample x from the Bayesian network a If x is consistent with e, increment N(x) 0 Obtain P(X|e) by normalization 0 Example o Estimate P(Rain|5prinkler = true) using 100 samples a 27 samples have Sprinkler = true 0 Of these, 8 have Rain = true and 19 have Rain = false 8 FA’(Rain = true|$prinkler = true) = E T .10 F .50 Instructor: Arindam Banerjee Instructor: Arindam Banerjee — Sampling from an Empty Network (Contd.) Analysis of Rejection Sampling 0 Probability of generating (x1, . . . ,x,,) = P(x1, . . . ,x,,) 9 Sampling following true prior probability 0 How to estimate P(x1,. ..,x,,) from samples? 0 Rejection sampling estimates N(X, e) and N(e) 0 Let N(x1 ...x,,) = # samples of (x1, . . . ,x,,) o The conditional probability estimate 0 Then A N X P X A P(X|e) = aN(X, e) = m g = P(X|e) lim P(x1,...,xn) = lim N(x1,...,x,,)/N (e) (e) N—)oo N—)oo P x1 x . . . . ( ’ ’ ") o Obtains consnstent posterior estimates 0 P(e) drops off exponentially with number of evidence variables 0 Estimates derived from samples are consistent 0 What if P(e) is very small A 0 Need large number of samples to get reliable estimates P(X1,...,Xn) % P(X1,...,Xn) Instructor: Arindam Banerjee Instructor: Arindam Banerjee Likelihood Weighting Likelihood Weighting Analysis 0 Sampling probability for non-evidence component 2 I S(z,e) = H P(z,-|Parents(Z,-)) 0 Main Idea i=1 0 EVICIEI'ICC variables, sample only non-evidence variables 0 Sample from evidence component e :- Weigh each sample by the likelihood of the evidence In w(z, e) = H P(e,-|Parent5(E,-)) i=1 oSetw=l. Fori=1ton o If X,- is a non—evidence variable, sample P(X,-|Parents(X,-)) . Weighted sampling probability iS o If X,- is an evidence variable E,-, w <— w x P(E,-|Parents(E,-)) S(z, e)w(z, e) I m H P(z,-|Parents(Z,-)) H P(e,-|Parents(E,-)) i—1 i=1 0 Then (X, w) forms a weighted sample _ P(z,e) o Likelihood weighting returns consistent estimates 0 Performance degrades with many evidence variables Instructor: Arindam Banerjee Instructor: Arindam Banerjee — Likelihood Weighting Example Approximate Inference using MCMC 0 Construct a Markov chain based on the Bayesian network T .10 F .50 0 “State” of network = current assignment to all variables T .80 F .20 0 Generate next state by sampling one variable given Markov blanket 0 Sample each variable in turn. keeping evidence fixed a More general sampling schedules are admissible w = 1.0 x 0.1 x 0.99 = 0.099 Instructor: Arindam Banerjee Instructor: Arindam Banerjee The Markov chain Markov Blanket Sampling With Sprinkler = true, WetGrass = true, there are four states: 0 Markov blanket of Cloudy is Sprinkler and Rain 0 Markov blanket of Rain is Cloudy, Sprinkler, and WetGrass . 0 Probability given the Markov blanket is calculated as W /, P(x,-|MB(X,-)) oc P(x,-|Parents(X,-)) H P(zJ-|Parents(ZJ-)) ZjEChi/dren(X,-) 0 Main computational problems a Difficult to tell if convergence has been achieved Wander about for a while, average what you see I I a Can be wasteful if Markov blanket IS large Instructor: Arindam Banerjee Instructor: Arindam Banerjee MCMC Example (Contd.) 0 Problem: Estimate P(Rain|$prinkler = true, WetGrass = true) 0 Sample Cloudy or Rain given its Markov blanket, repeat 0 Count number of times Rain is true and false in the samples 0 Example: Visit 100 states a 31 have Rain 2 true, 69 have Rain 2 false 31 P(Rain = true|$prinkler = true, WetGrass = true) 2 m 0 Theorem: Markov chain approaches stationary distribution 0 Long-run fraction is proportional to posterior probability Instructor: Arindam Banerjee ...
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This note was uploaded on 02/07/2012 for the course CSCI 5512 taught by Professor Staff during the Spring '08 term at Minnesota.

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lec5 - Inference by Stochastic Simulation 0 Basic idea: 3...

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