Message passing for hybrid bayesian networks: Representation, propagation, and integration

Probabilistic inference for hybrid Bayesian networks, which involves both discrete and continuous variables, has been an important research topic over the recent years. This is not only because a number of efficient inference algorithms have been developed and used maturely for simple types of networks such as pure discrete model, but also for the practical needs that continuous variables are inevitable in modeling complex systems. Pearl’s mes-sage passing algorithm provides a simple framework to compute posterior distribution by propagating messages between nodes and can provides exact answer for polytree models with pure discrete or continuous variables. In addition, applying Pearl’s message passing to network with loops usually converges and results in good approx-imation. However, for hybrid model, there is a need of a general message passing algorithm between different types of variables. In this paper, we develop a method called Direct Message Passing (DMP) for exchanging messages between discrete and continuous variables. Based on Pearl’s algorithm, we derive formulae to compute messages for variables in various dependence relationships encoded in conditional probability distributions. Mix-ture of Gaussian is used to represent continuous messages, with the number of mixture components up to the size of the joint state space of all discrete parents. For polytree Conditional Linear Gaussian (CLG) Bayesian network, DMP has the same computational requirements and can provide exact solution as the one obtained b