Inference in hybrid Bayesian networks using dynamic discretization

We consider approximate inference in hybrid Bayesian Networks (BNs) and present a new iterative algorithm that efficiently combines dynamic discretisation with robust propagation algorithms on junction trees structures. Our approach offers a significant extension to Bayesian Network theory and practice by offering a flexible way of modelling continuous nodes in BNs conditioned on complex configurations of evidence and intermixed with discrete nodes as both parents and children of continuous nodes. Our algorithm is implemented in a commercial Bayesian Network software package, AgenaRisk, which allows model construction and testing to be carried out easily. The results from the empirical trials clearly show how our software can deal effectively with different type of hybrid models containing elements of expert judgement as well as statistical inference. In particular, we show how the rapid convergence of the algorithm towards zones of high probability density, make robust inference analysis possible even in situations where, due to the lack of information in both prior and data, robust sampling becomes unfeasible.