Faster Perfect Sampling of Bayesian Network Structures

Juha Harviainen, Mikko Koivisto

Abstract: Bayesian inference of a Bayesian network structure amounts to averaging over directed acyclic graphs (DAGs) on a given set of $n$ variables, each DAG weighted by its posterior probability. In practice, save some special inference tasks, one averages over a sample of DAGs generated perfectly or approximately from the posterior. For the hard problem of perfect sampling, we give an algorithm that runs in $O(2.829^n)$ expected time, getting below $O(3^n)$ for the first time. Our algorithm reduces the problem into two smaller sampling problems whose outputs are combined; followed by a simple rejection step, perfect samples are obtained. Subsequent samples can be generated considerably faster. Empirically, we observe speedups of several orders of magnitude over the state of the art.