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Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
vSMC: Parallel Sequential Monte Carlo in C++ | Zhou | Journal of Statistical Software
Authors: Yan Zhou
Title: vSMC: Parallel Sequential Monte Carlo in C++
Abstract: 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.

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Paper: vSMC: Parallel Sequential Monte Carlo in C++     Download PDF (Downloads: 1339)
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vSMC.zip: C++ source code for vSMC and replication of examples from the paper Download (Downloads: 155; 732KB)

DOI: 10.18637/jss.v062.i09

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.