Normative selection of Bayesian networks

This paper presents a Bayesian decision theoretic foundation to the selection of a Bayesian network from data. We introduce the class of disintegrable loss functions to diversify the loss incurred in choosing different models. Disintegrable loss functions can iteratively be built from simple 0-L loss functions over pair-wise model comparisons and decompose the search for the model with minimum risk into a sequence of local searches, thus retaining the modularity of the model selection procedures for Bayesian networks.