Filtering in Hybrid Dynamic Bayesian Networks

We implement a 2-time slice dynamic Bayesian network (2T-DBN) framework and make a 1-D state estimation simulation, an extension of the experiment in (v.d. Merwe et al., 2000) and compare different filtering techniques. Furthermore, we demonstrate experimentally that inference in a complex hybrid DBN is possible by simulating fault detection in a watertank system, an extension of the experiment in (Koller & Lerner, 2000) using a hybrid 2T-DBN. In both experiments, we perform approximate inference using standard filtering techniques, Monte Carlo methods and combinations of these. In the watertank simulation, we also demonstrate the use of 'non-strict' Rao-Blackwellisation. We show that the unscented Kalman filter (UKF) and UKF in a particle filtering framework outperform the generic particle filter, the extended Kalman filter (EKF) and EKF in a particle filtering framework with respect to accuracy in terms of estimation RMSE and sensitivity with respect to choice of network structure. Especially we demonstrate the superiority of UKF in a PF framework when our beliefs of how data was generated are wrong. Furthermore, we investigate the influence of data noise in the watertank simulation using UKF and PFUKD and show that the algorithms are more sensitive to changes in the measurement noise level that the process noise level. Theory and implementation is based on (v.d. Merwe et al., 2000).