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vSMC: Parallel Sequential Monte Carlo in C++

Yan Zhou
University of Warwick
arXiv:1306.5583 [stat.CO], (24 Jun 2013)
@article{2013arXiv1306.5583Z,

   author={Zhou}, Y.},

   title={"{vSMC: Parallel Sequential Monte Carlo in C++}"},

   journal={ArXiv e-prints},

   archivePrefix={"arXiv"},

   eprint={1306.5583},

   primaryClass={"stat.CO"},

   keywords={Statistics – Computation, Computer Science – Mathematical Software},

   year={2013},

   month={jun},

   adsurl={http://adsabs.harvard.edu/abs/2013arXiv1306.5583Z},

   adsnote={Provided by the SAO/NASA Astrophysics Data System}

}

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Sequential Monte Carlo is a family of algorithms for sampling from a sequence of distributions. Some of these algorithms, such as particle filters, are widely used in the physics and signal processing researches. More recent developments have established their application in more general inference problems such as Bayesian modeling. These algorithms have attracted considerable attentions in recent years as they admit natural and scalable parallelizations. However, these algorithms are perceived to be difficult to implement. In addition, parallel programming is often unfamiliar to many researchers though conceptually appealing, especially for sequential Monte Carlo related fields. A C++ template library is presented for the purpose of implementing general sequential Monte Carlo algorithms on parallel hardware. Two examples are presented: a simple particle filter and a classic Bayesian modeling problem.
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