Temporal probability models Chapter 15, Sections 15 Chapter 15, - PowerPoint PPT Presentation

Temporal probability models Chapter 15, Sections 1–5 Chapter 15, Sections 1–5 1

Outline ♦ Time and uncertainty ♦ Inference: filtering, prediction, smoothing ♦ Hidden Markov models ♦ Kalman filters (a brief mention) ♦ Dynamic Bayesian networks ♦ Particle filtering Chapter 15, Sections 1–5 2

Time and uncertainty The world changes; we need to track and predict it Diabetes management vs vehicle diagnosis Basic idea: copy state and evidence variables for each time step X t = set of unobservable state variables at time t e.g., BloodSugar t , StomachContents t , etc. E t = set of observable evidence variables at time t e.g., MeasuredBloodSugar t , PulseRate t , FoodEaten t This assumes discrete time ; step size depends on problem Notation: X a : b = X a , X a +1 , . . . , X b − 1 , X b Chapter 15, Sections 1–5 3

Markov processes (Markov chains) Construct a Bayes net from these variables: parents? Markov assumption: X t depends on bounded subset of X 0: t − 1 First-order Markov process: P ( X t | X 0: t − 1 ) = P ( X t | X t − 1 ) Second-order Markov process: P ( X t | X 0: t − 1 ) = P ( X t | X t − 2 , X t − 1 ) X t −2 X t −1 X t X t +1 X t +2 First−order X t −2 X t −1 X t X t +1 X t +2 Second−order Sensor Markov assumption: P ( E t | X 0: t , E 0: t − 1 ) = P ( E t | X t ) Stationary process: transition model P ( X t | X t − 1 ) and sensor model P ( E t | X t ) fixed for all t Chapter 15, Sections 1–5 4

Example R t −1 P(R ) t t 0.7 f 0.3 Rain t −1 Rain Rain t +1 t R P(U ) t t t 0.9 f 0.2 Umbrella t −1 Umbrella Umbrella t +1 t First-order Markov assumption not exactly true in real world! Possible fixes: 1. Increase order of Markov process 2. Augment state , e.g., add Temp t , Pressure t Example: robot motion. Augment position and velocity with Battery t Chapter 15, Sections 1–5 5

Inference tasks Filtering: P ( X t | e 1: t ) belief state—input to the decision process of a rational agent Prediction: P ( X t + k | e 1: t ) for k > 0 evaluation of possible action sequences; like filtering without the evidence Smoothing: P ( X k | e 1: t ) for 0 ≤ k < t better estimate of past states, essential for learning Most likely explanation: arg max x 1: t P ( x 1: t | e 1: t ) speech recognition, decoding with a noisy channel Chapter 15, Sections 1–5 6

Filtering Aim: devise a recursive state estimation algorithm: P ( X t +1 | e 1: t +1 ) = f ( e t +1 , P ( X t | e 1: t )) P ( X t +1 | e 1: t +1 ) = P ( X t +1 | e 1: t , e t +1 ) = α P ( e t +1 | X t +1 , e 1: t ) P ( X t +1 | e 1: t ) = α P ( e t +1 | X t +1 ) P ( X t +1 | e 1: t ) I.e., prediction + estimation. Prediction by summing out X t : P ( X t +1 | e 1: t +1 ) = α P ( e t +1 | X t +1 ) Σ x t P ( X t +1 | x t , e 1: t ) P ( x t | e 1: t ) = α P ( e t +1 | X t +1 ) Σ x t P ( X t +1 | x t ) P ( x t | e 1: t ) f 1: t +1 = Forward ( f 1: t , e t +1 ) where f 1: t = P ( X t | e 1: t ) Time and space constant (independent of t ) for finite-state X t Chapter 15, Sections 1–5 7

Filtering example 0.500 0.627 0.500 0.373 True 0.500 0.818 0.883 0.182 0.117 False 0.500 Rain 0 Rain 1 Rain 2 Umbrella 1 Umbrella 2 Chapter 15, Sections 1–5 8

Smoothing X 0 X 1 X k X t E E k E t 1 Divide evidence e 1: t into e 1: k , e k +1: t : P ( X k | e 1: t ) = P ( X k | e 1: k , e k +1: t ) = α P ( X k | e 1: k ) P ( e k +1: t | X k , e 1: k ) = α P ( X k | e 1: k ) P ( e k +1: t | X k ) = α f 1: k b k +1: t Backward message computed by a backwards recursion: P ( e k +1: t | X k ) = Σ x k +1 P ( e k +1: t | X k , x k +1 ) P ( x k +1 | X k ) = Σ x k +1 P ( e k +1: t | x k +1 ) P ( x k +1 | X k ) = Σ x k +1 P ( e k +1 | x k +1 ) P ( e k +2: t | x k +1 ) P ( x k +1 | X k ) Chapter 15, Sections 1–5 9

Smoothing example 0.500 0.627 0.500 0.373 True 0.500 0.818 0.883 forward False 0.500 0.182 0.117 0.883 0.883 smoothed 0.117 0.117 0.690 1.000 backward 0.410 1.000 Rain 0 Rain 1 Rain 2 Umbrella 1 Umbrella 2 Forward–backward algorithm: cache forward messages along the way Time linear in t (polytree inference), space O ( t | f | ) Chapter 15, Sections 1–5 10

Most likely explanation Most likely sequence � = sequence of most likely states!!!! Most likely path to each x t +1 = most likely path to some x t plus one more step x 1 ... x t P ( x 1 , . . . , x t , X t +1 | e 1: t +1 ) max   = P ( e t +1 | X t +1 ) max  P ( X t +1 | x t ) max x 1 ... x t − 1 P ( x 1 , . . . , x t − 1 , x t | e 1: t )  x t Identical to filtering, except f 1: t replaced by m 1: t = x 1 ... x t − 1 P ( x 1 , . . . , x t − 1 , X t | e 1: t ) , max I.e., m 1: t ( i ) gives the probability of the most likely path to state i . Update has sum replaced by max, giving the Viterbi algorithm: m 1: t +1 = P ( e t +1 | X t +1 ) max x t ( P ( X t +1 | x t ) m 1: t ) Chapter 15, Sections 1–5 11

Viterbi example Rain 1 Rain 2 Rain 3 Rain 4 Rain 5 true true true true true state space paths false false false false false true true false true true umbrella .8182 .5155 .0361 .0334 .0210 most likely paths .1818 .0491 .1237 .0173 .0024 m 1:1 m 1:2 m 1:3 m 1:4 m 1:5 Chapter 15, Sections 1–5 12

Hidden Markov models X t is a single, discrete variable (usually E t is too) Domain of X t is { 1 , . . . , S }    0 . 7 0 . 3 Transition matrix T ij = P ( X t = j | X t − 1 = i ) , e.g.,     0 . 3 0 . 7  Sensor matrix O t for each time step, diagonal elements P ( e t | X t = i )    0 . 9 0 e.g., with U 1 = true , O 1 =     0 0 . 2  Forward and backward messages as column vectors: f 1: t +1 = α O t +1 T ⊤ f 1: t b k +1: t = TO k +1 b k +2: t Forward–backward algorithm needs time O ( S 2 t ) and space O ( St ) Chapter 15, Sections 1–5 13

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 14

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 15

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 16

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 17

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 18

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 19

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 20

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 21

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 22

Country dance algorithm Can avoid storing all forward messages in smoothing by running forward algorithm backwards: f 1: t +1 = α O t +1 T ⊤ f 1: t O − 1 t +1 f 1: t +1 = α T ⊤ f 1: t α ′ ( T ⊤ ) − 1 O − 1 t +1 f 1: t +1 = f 1: t Algorithm: forward pass computes f t , backward pass does f i , b i Chapter 15, Sections 1–5 23