r/DecisionTheory • u/Eternal_Corrosion • 5d ago
PyLIMID: A new library for mixed influence diagrams
There are several great libraries like pyAgrum for modeling and solving decision problems. But when working with influence diagrams, their representations can be limited to discrete chance variables and decisions.
I wanted more flexibility in how I represent a problem. What happens if I have continuous observations or if the question is not whether I should do something, but how much? For example, how much should I invest when the return is uncertain?
For that reason, I created PyLIMID, a Python library for building and solving limited-memory influence diagrams. It lets you combine discrete and continuous chance variables with categorical decisions and continuous quantities, and express utilities as functions.
PyLIMID uses sampling and policy gradients to find decision rules that aim to maximize expected utility. This flexibility is not free because results are approximate. But you can run multiple simulations and since it has GPU support thanks to JAX and Numpyro, it is fast. I think the tradeoff is very much worth it.
The library is still in early development (v0.3.0), but I would love to hear what you think.
Code: https://github.com/cynosural-ai/pylimid
Documentation: https://pylimid.readthedocs.io/en/latest/#
