high performance computing on graphics processing units: hgpu.org

This paper reconsiders sequential Monte Carlo approaches to Bayesian inference in the light of massively parallel desktop computing capabilities now well within the reach of individual academics. It first develops an algorithm that is well suited to parallel computing in general and for which convergence results have been established in the sequential Monte Carlo literature but that tends to require manual tuning in practical application. It then introduces endogenous adaptations in the algorithm that obviate the need for tuning, using a new approach based on the structure of parallel computing to show that convergence properties are preserved and to provide reliable assessment of simulation error in the approximation of posterior moments. The algorithm is generic, requiring only code for simulation from the prior distribution and evaluation of the prior and data densities, thereby shortening development cycles for new models. Through its use of data point tempering it is robust to irregular posteriors, including multimodal distributions. The sequential structure of the algorithm leads to reliable and generic computation of marginal likelihood as a by-product. The paper includes three detailed examples taken from state-of-the-art substantive research applications. These examples illustrate the many desirable properties of the algorithm. and demonstrate that it can reduce computing time by several orders of magnitude.