Exact inference and learning for cumulative
published: March 25, 2011, recorded: December 2010, views: 2950
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Probabilistic graphical models use local factors to represent dependence among sets of variables. For many problem domains, for instance climatology and epidemiology, in addition to local dependencies, we may also wish to model heavy-tailed statistics, where extreme deviations should not be treated as outliers. Specifying such distributions using graphical models for probability density functions (PDFs) generally lead to intractable inference and learning. Cumulative distribution networks (CDNs) provide a means to tractably specify multivariate heavy-tailed models as a product of cumulative distribution functions (CDFs). Currently, algorithms for inference and learning, which correspond to computing mixed derivatives, are exact only for tree-structured graphs. For graphs of arbitrary topology, an efficient algorithm is needed that takes advantage of the sparse structure of the model, unlike symbolic differentiation programs such as Mathematica and D* that do not. We present an algorithm for recursively decomposing the computation of derivatives for CDNs of arbitrary topology, where the decomposition is naturally described using junction trees. We compare the performance of the resulting algorithm to Mathematica and D*, and we apply our method to learning models for rainfall and H1N1 data, where we show that CDNs with cycles are able to provide a significantly better fits to the data as compared to tree-structured and unstructured CDNs and other heavy-tailed multivariate distributions such as the multivariate copula and logistic models.
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