vSMC: Parallel Sequential Monte Carlo in C++
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 physics and signal processing research. More recent developments have established their application in more general inference problem...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2015-01-01
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| Series: | Journal of Statistical Software |
| Online Access: | http://www.jstatsoft.org/index.php/jss/article/view/2214 |
| _version_ | 1811317407860391936 |
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| author | Yan Zhou |
| author_facet | Yan Zhou |
| author_sort | Yan Zhou |
| collection | DOAJ |
| description | 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 physics and signal processing research. More recent developments have established their application in more general inference problems such as Bayesian modeling.
These algorithms have attracted considerable attention in recent years not only be- cause that they have desired statistical properties, but also because they admit natural and scalable parallelization. However, they are perceived to be difficult to implement. In addition, parallel programming is often unfamiliar to many researchers though conceptually appealing.
A C++ template library is presented for the purpose of implementing generic sequential Monte Carlo algorithms on parallel hardware. Two examples are presented: a simple particle filter and a classic Bayesian modeling problem. |
| first_indexed | 2024-04-13T12:07:33Z |
| format | Article |
| id | doaj.art-be38dabfb9d943f29dd0e4e48cd0c38c |
| institution | Directory Open Access Journal |
| issn | 1548-7660 |
| language | English |
| last_indexed | 2024-04-13T12:07:33Z |
| publishDate | 2015-01-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj.art-be38dabfb9d943f29dd0e4e48cd0c38c2022-12-22T02:47:36ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602015-01-0162114910.18637/jss.v062.i09818vSMC: Parallel Sequential Monte Carlo in C++Yan ZhouSequential 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 physics and signal processing research. More recent developments have established their application in more general inference problems such as Bayesian modeling. These algorithms have attracted considerable attention in recent years not only be- cause that they have desired statistical properties, but also because they admit natural and scalable parallelization. However, they are perceived to be difficult to implement. In addition, parallel programming is often unfamiliar to many researchers though conceptually appealing. A C++ template library is presented for the purpose of implementing generic sequential Monte Carlo algorithms on parallel hardware. Two examples are presented: a simple particle filter and a classic Bayesian modeling problem.http://www.jstatsoft.org/index.php/jss/article/view/2214 |
| spellingShingle | Yan Zhou vSMC: Parallel Sequential Monte Carlo in C++ Journal of Statistical Software |
| title | vSMC: Parallel Sequential Monte Carlo in C++ |
| title_full | vSMC: Parallel Sequential Monte Carlo in C++ |
| title_fullStr | vSMC: Parallel Sequential Monte Carlo in C++ |
| title_full_unstemmed | vSMC: Parallel Sequential Monte Carlo in C++ |
| title_short | vSMC: Parallel Sequential Monte Carlo in C++ |
| title_sort | vsmc parallel sequential monte carlo in c |
| url | http://www.jstatsoft.org/index.php/jss/article/view/2214 |
| work_keys_str_mv | AT yanzhou vsmcparallelsequentialmontecarloinc |