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Gated Bayesian Networks

2017; Linköping University Electronic Press; Linguagem: Inglês

10.3384/diss.diva-136761

0345-7524

Marcus Bendtsen,

Data Management and Algorithms

Bayesian networks have grown to become a dominant type of model within the domain of probabilistic graphical models.Not only do they empower users with a graphical means for describing the relationships among random variables, but they also allow for (potentially) fewer parameters to estimate, and enable more efficient inference.The random variables and the relationships among them decide the structure of the directed acyclic graph that represents the Bayesian network.It is the stasis over time of these two components that we question in this thesis.By introducing a new type of probabilistic graphical model, which we call gated Bayesian networks, we allow for the variables that we include in our model, and the relationships among them, to change over time.We introduce algorithms that can learn gated Bayesian networks that use different variables at different times, required due to the process which we are modelling going through distinct phases.We evaluate the efficacy of these algorithms within the domain of algorithmic trading, showing how the learnt gated Bayesian networks can improve upon a passive approach to trading.We also introduce algorithms that detect changes in the relationships among the random variables, allowing us to create a model that consists of several Bayesian networks, thereby revealing changes and the structure by which these changes occur.The resulting models can be used to detect the currently most appropriate Bayesian network, and we show their use in real-world examples from both the domain of sports analytics and finance.v Karlsson, Catharina Linderoth, Matti Leijon and Jim McCambridge.I look forward to future collaborations with you all.I want to take this opportunity to extend a profound thank you to my family.To my extraordinary siblings Maria, Emma and Vilhelm: you are a source of rejuvenating energy, and I am looking forward to many more family activities throughout the coming years.It is also remarkable to see the next generation come to life through little Tyra.To my mother Hélène and father Preben: there are no words that can describe the support you both have given me, not only during the last few years, but throughout my life.You have cultivated in me a mindset of optimism, curiosity and gratefulness, all three of which I could never have made it this far without.You are, and have always been, my one fixed point in my otherwise sometimes impulsive lifestyle.I also wish to thank my grandparents, whose love and devotion is constantly strong, and views on life reminds me that age is just a number.Finally, from the bottom of my heart, I thank the love of my life Evelina Johansson.You are the strongest person I know, and you achieve your goals with great determination.I adore your kindness and positive attitude.Our life together is perfect, and I promise to always be there for you, as you are always there for me.