Professional Documents
Culture Documents
Probabilistic Reasoning Over Time
Probabilistic Reasoning Over Time
Probabilistic Reasoning Over Time
In which we try to interpret the present, understand the past, and perhaps
predict the future, even when very little is crystal clear.
Outline
♦ Time and uncertainty
♦ Inference: filtering, prediction, smoothing
♦ Hidden Markov models
♦ Kalman filters (a brief mention)
♦ Dynamic Bayesian networks
♦ Particle filtering
First order Xt 2 Xt 1 Xt X t +1 X t +2
Second order Xt 2 Xt 1 Xt X t +1 X t +2
Umbrella 1 Umbrella 2
Umbrella 1 Umbrella 2
Umbrella 1 Umbrella 2
0.883 0.883
smoothed
0.117 0.117
0.690 1.000
backward
0.410 1.000
Umbrella 1 Umbrella 2
0.883 0.883
smoothed
0.117 0.117
0.690 1.000
backward
0.410 1.000
Umbrella 1 Umbrella 2
= P(et+1|Xt+1) max
x
P(X
t+1 |xt ) max
x ...x
P (x1 , . . . , xt−1 , xt |e1:t )
t 1 t−1
I.e., m1:t(i) gives the probability of the most likely path to state i.
Update has sum replaced by max, giving the Viterbi algorithm:
m1:t+1 = P(et+1|Xt+1) max
x
(P(Xt+1|xt)m1:t)
t
Xt X t+1
Xt X t+1
Zt Zt+1
0.45
0.4
0.35
P(x1 | z1=2.5)
0.3
0.25 P(x0)
P(X)
0.2
0.15
0.1 P(x1)
0.05
0 *
z1
-8 -6 -4 -2 0 2 4 6 8
X position
2D filtering
12
true
observed
11 filtered
10
9
Y
6
8 10 12 14 16 18 20 22 24 26
X
2D smoothing
12
true
observed
smoothed
11
10
9
Y
6
8 10 12 14 16 18 20 22 24 26
X
Umbrella 1 XX
t0 X1
Z1
Yt Y t+1
Zt Z t+1
BMeter 1
E(Battery|...5555005555...)
Battery 0 Battery 1 5
4 E(Battery|...5555000000...)
E(Battery)
3
X0 X1
2
P(BMBroken|...5555000000...)
XX
t0 X1 1
0
P(BMBroken|...5555005555...)
-1
Z1 15 20 25 30
Time step
P(R 0) R0 P(R 1 ) P(R 0) R0 P(R 1 ) R0 P(R 1 ) R0 P(R 1 ) R0 P(R 1 ) R0 P(R 1 ) R0 P(R 1 ) R0 P(R 1 )
t 0.7 t 0.7 t 0.7 t 0.7 t 0.7 t 0.7 t 0.7 t 0.7
0.7 f 0.7 f f f f f f f
0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3
Rain 0 Rain 1 Rain 0 Rain 1 Rain 2 Rain 3 Rain 4 Rain 5 Rain 6 Rain 7
R1 P(U1 ) R1 P(U1 ) R1 P(U1 ) R1 P(U1 ) R1 P(U1 ) R1 P(U1 ) R1 P(U1 ) R1 P(U1 )
t 0.9 t 0.9 t 0.9 t 0.9 t 0.9 t 0.9 t 0.9 t 0.9
f 0.2 f 0.2 f 0.2 f 0.2 f 0.2 f 0.2 f 0.2 f 0.2
0.6
RMS error
0.4
0.2
0
0 5 10 15 20 25 30 35 40 45 50
Time step
false
0.6
0.4
0.2
0
0 5 10 15 20 25 30 35 40 45 50
Time step