Learning to Reject Sequential Importance Steps for Continuous-Time Bayesian Networks

Authors

  • Jeremy Weiss University of Wisconsin-Madison
  • Sriraam Natarajan Indiana University
  • C. Page University of Wisconsin-Madison

DOI:

https://doi.org/10.1609/aaai.v29i1.9681

Keywords:

rejection-based importance sampling

Abstract

Applications of graphical models often require the use of approximate inference, such as sequential importance sampling (SIS), for estimation of the model distribution given partial evidence, i.e., the target distribution. However, when SIS proposal and target distributions are dissimilar, such procedures lead to biased estimates or require a prohibitive number of samples. We introduce ReBaSIS, a method that better approximates the target distribution by sampling variable by variable from existing importance samplers and accepting or rejecting each proposed assignment in the sequence: a choice made based on anticipating upcoming evidence. We relate the per-variable proposal and model distributions by expected weight ratios of sequence completions and show that we can learn accurate models of optimal acceptance probabilities from local samples. In a continuous-time domain, our method improves upon previous importance samplers by transforming an SIS problem into a machine learning one.

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Published

2015-03-04

How to Cite

Weiss, J., Natarajan, S., & Page, C. (2015). Learning to Reject Sequential Importance Steps for Continuous-Time Bayesian Networks. Proceedings of the AAAI Conference on Artificial Intelligence, 29(1). https://doi.org/10.1609/aaai.v29i1.9681

Issue

Section

AAAI Technical Track: Reasoning under Uncertainty