Fast Bayes and the dynamic junction forest

摘要

It has been shown that junction tree algorithms can provide a quick and efficient method for propagating probabilities in complex multivariate problems when they can be described by a fixed conditional independence structure. In this paper we formalise and illustrate with two practical examples how these probabilistic propagation algorithms can be applied to high dimensional processes whose conditional independence structure, as well as their underlying distributions, are augmented through the passage of time.