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Parallelization of maximum likelihood fits with OpenMP and CUDA

Sverre Jarp, Alfio Lazzaro, Julien Leduc, Andrzej Nowak, Felice Pantaleo
CERN openlab, Geneva, Switzerland
CERN preprint, CERN-IT-2011-009, 2011

@inproceedings{jarp2011parallelization,

   title={Parallelization of maximum likelihood fits with OpenMP and CUDA},

   author={Jarp, S. and Lazzaro, A. and Leduc, J. and Nowak, A. and Pantaleo, F.},

   year={2011},

   organization={CERN-IT-2011-009, 2011, to be published on Journal of Physics: Conference Series}

}

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Data analyses based on maximum likelihood fits are commonly used in the high energy physics community for fitting statistical models to data samples. This technique requires the numerical minimization of the negative log-likelihood function. MINUIT is the most common package used for this purpose in the high energy physics community. The main algorithm in this package, MIGRAD, searches the minimum by using the gradient information. The procedure requires several evaluations of the function, depending on the number of free parameters and their initial values. The whole procedure can be very CPU-time consuming in case of complex functions, with several free parameters, many independent variables and large data samples. Therefore, it becomes particularly important to speed-up the evaluation of the negative log-likelihood function. In this paper we present an algorithm and its implementation which benefits from data vectorization and parallelization (based on OpenMP) and which was also ported to Graphics Processing Units using CUDA.
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