Operations Research
Probabilistic reasoning in intelligent systems: networks of plausible inference
Probabilistic reasoning in intelligent systems: networks of plausible inference
Probabilistic inference and influence diagrams
Operations Research
Management Science
Moment methods for decision analysis
Management Science
Simulation Approaches to General Probabilistic Inference on Belief Networks
UAI '89 Proceedings of the Fifth Annual Conference on Uncertainty in Artificial Intelligence
Efficiency of influence diagram models with continuous decision variables
Decision Support Systems
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Problems of probabilistic inference and decision making under uncertainty commonly involve continuous random variables. Often these are discretized to a few points, to simplify assessments and computations. An alternative approximation is to fit analytically tractable continuous probability distributions. This approach has potential simplicity and accuracy advantages, especially if variables can be transformed first. This paper shows how a minimum relative entropy criterion can drive both transformation and fitting, illustrating with a power and logarithm family of transformations and mixtures of Gaussian (normal) distributions, which allow use of efficient influence diagram methods. The fitting procedure in this case is the well-known EM algorithm. The selection of the number of components in a fitted mixture distribution is automated with an objective that Wades off accuracy and computational cost.