A Comparison of Serial & Parallel Particle Filters for Time Series Analysis
Departments of Statistical Science & Economics, Duke University
Duke University, 2014
@phdthesis{klemish2014comparison,
title={A Comparison of Serial & Parallel Particle Filters for Time Series Analysis},
author={Klemish, David},
year={2014},
school={Duke University}
}
This paper discusses the application of parallel programming techniques to the estimation of hidden Markov models via the use of a particle filter. It highlights how the Thrust parallel programming language can be used to implement a particle filter in parallel. The impact of a parallel particle filter on the running times of three different models is investigated. For particle filters using a large number of particles, Thrust provides a speed-up of five to ten times over a serial C++ implementation, which is less than reported in other research.
May 21, 2014 by hgpu
