An $\mathcal{O}(\log_2N)$ SMC$^2$ Algorithm on Distributed Memory with an Approx. Optimal L-Kernel
arxiv(2023)
摘要
Calibrating statistical models using Bayesian inference often requires both
accurate and timely estimates of parameters of interest. Particle Markov Chain
Monte Carlo (p-MCMC) and Sequential Monte Carlo Squared (SMC$^2$) are two
methods that use an unbiased estimate of the log-likelihood obtained from a
particle filter (PF) to evaluate the target distribution. P-MCMC constructs a
single Markov chain which is sequential by nature so cannot be readily
parallelized using Distributed Memory (DM) architectures. This is in contrast
to SMC$^2$ which includes processes, such as importance sampling, that are
described as \textit{embarrassingly parallel}. However, difficulties arise when
attempting to parallelize resampling. None-the-less, the choice of backward
kernel, recycling scheme and compatibility with DM architectures makes SMC$^2$
an attractive option when compared with p-MCMC. In this paper, we present an
SMC$^2$ framework that includes the following features: an optimal (in terms of
time complexity) $\mathcal{O}(\log_2N)$ parallelization for DM architectures,
an approximately optimal (in terms of accuracy) backward kernel, and an
efficient recycling scheme. On a cluster of $128$ DM processors, the results on
a biomedical application show that SMC$^2$ achieves up to a $70\times$ speed-up
vs its sequential implementation. It is also more accurate and roughly
$54\times$ faster than p-MCMC. A GitHub link is given which provides access to
the code.
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