Solving linear-quadratic conditional Gaussian influence diagrams

  • Authors:
  • A. L. Madsen;F. Jensen

  • Affiliations:
  • Hugin Expert A/S, Gasværksvej 5, DK-9000 Aalborg, Denmark;Hugin Expert A/S, Gasværksvej 5, DK-9000 Aalborg, Denmark

  • Venue:
  • International Journal of Approximate Reasoning
  • Year:
  • 2005

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Abstract

This paper considers the problem of solving Bayesian decision problems with a mixture of continuous and discrete variables. We focus on exact evaluation of linear-quadratic conditional Gaussian influence diagrams (LQCG influence diagrams) with additively decomposing utility functions. Based on new and existing representations of probability and utility potentials, we derive a method for solving LQCG influence diagrams based on variable elimination. We show how the computations performed during evaluation of a LQCG influence diagram can be organized in message passing schemes based on Shenoy-Shafer and Lazy propagation. The proposed architectures are the first architectures for efficient exact solution of LQCG influence diagrams exploiting an additively decomposing utility function.