liu.seSearch for publications in DiVA
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Regime Aware Learning
Linköpings universitet, Institutionen för datavetenskap, Databas och informationsteknik. Linköpings universitet, Tekniska fakulteten.ORCID-id: 0000-0002-8678-1164
2016 (engelsk)Inngår i: Proceedings of the Eighth International Conference on Probabilistic Graphical Models, JMLR , 2016, Vol. 52, s. 1-12Konferansepaper, Publicerat paper (Fagfellevurdert)
Abstract [en]

We propose a regime aware learning algorithm to learn a sequence of Bayesian networks (BNs) that model a system that undergoes regime changes. The last BN in the sequence represents the system’s current regime, and should be used for BN inference. To explore the feasibility of the algorithm, we create baseline tests against learning a singe BN, and show that our proposed algorithm outperforms the single BN approach. We also apply the learning algorithm on real world data from the financial domain, where it is evident that the algorithm is able to produce BNs that have adapted to the regime changes during the most recent global financial crisis of 2007-08.

sted, utgiver, år, opplag, sider
JMLR , 2016. Vol. 52, s. 1-12
Serie
JMLR: Workshop and Conference Proceedings, ISSN 1938-7288 ; 52
Emneord [en]
Regime changes, Bayesian networks, financial application
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-131133OAI: oai:DiVA.org:liu-131133DiVA, id: diva2:968120
Konferanse
Eighth International Conference on Probabilistic Graphical Models (PGM 2016), Lugano, Switzerland, September 6-9, 2016
Tilgjengelig fra: 2016-09-12 Laget: 2016-09-12 Sist oppdatert: 2018-07-17bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Link to publication

Søk i DiVA

Av forfatter/redaktør
Bendtsen, Marcus
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric

urn-nbn
Totalt: 182 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf