Article Contents
Article Contents

# Vectorized and parallel particle filter SMC parameter estimation for stiff ODEs

• Particle filter (PF) sequential Monte Carlo (SMC) methods are very attractive for estimating parameters of time-dependent systems where the data is either not all available at once, or the range of time constants is wide enough to create problems in the numerical time propagation of the states. The need to evolve (and hence integrate) a large number of particles makes PF-based methods computationally challenging, and parallelization is often advocated to speed up computing time. While careful parallelization may indeed improve performance, vectorization of the algorithm on a single processor may result in even larger speedups for certain problems. In this paper we demonstrate how the PF-SMC class of algorithms proposed in [2] can be implemented in both parallel and vectorized computing environments, illustrating the performance with computed examples in MATLAB. In particular, two stiff test problems with different features show that both the size and structure of the problem affect which version of the algorithm is more efficient.
Mathematics Subject Classification: Primary: 65Y05, 65Y10; Secondary: 62M20, 65L06, 62M05.

 Citation:

•  [1] A. Arnold, Sequential Monte Carlo Parameter Estimation for Differential Equations, Ph.D thesis, Case Western Reserve University, 2014. [2] A. Arnold, D. Calvetti and E. Somersalo, Linear multistep methods, particle filtering and sequential Monte Carlo, Inverse Problems, 29 (2013), 085007. [3] O. Brun, V. Teuliere and J.-M. Garcia, Parallel particle filtering, Journal of Parallel and Distributed Computing, 62 (2002), 1186-1202. [4] B. Calderhead, M. Girolami and N. D. Lawrence, Accelerating Bayesian inference over nonlinear differential equations with Gaussian processes, Adv. Neural Inf. Process. Syst., 21 (2009), 217-224. [5] D. Calvetti and E. Somersalo, Large scale statistical parameter estimation in complex systems with an application to metabolic models, Multiscale Model. Simul., 5 (2006), 1333-1366. [6] N. Chopin, P. E. Jacob and O. Papaspiliopoulos, SMC$^2$: an efficient algorithm for sequential analysis of state space models, J. R. Stat. Soc. Ser. B Stat. Methodol., 75 (2013), 397-426. [7] A. Golightly and D. J. Wilkinson, Bayesian parameter inference for stochastic biochemical network models using particle MCMC, J. R. Soc. Interface Focus, 1 (2011), 807-820. [8] A. Iserles, A First Course in the Numerical Analysis of Differential Equations, $2^{nd}$ edition, Cambridge Texts in Applied Mathematics, Cambridge University Press, New York, 2009. [9] A. Lee, C. Yau, M. B. Giles, A. Doucet and C. C. Holmes, On the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods, J. Comput. Graph. Statist., 19 (2010), 769-789. [10] R. J. LeVeque, Finite Difference Methods for Ordinary and Partial Differential Equations, SIAM, Philadelphia, 2007. [11] C. Lieberman and K. Willcox, Goal-oriented inference: approach, linear theory, and application to advection diffusion, SIAM Review, 55 (2013), 493-519. [12] J. Liu and M. West, Combined parameter and state estimation in simulation-based filtering, in Sequential Monte Carlo Methods in Practice (eds. A. Doucet, J. F. G. de Freitas and N. J. Gordon), Springer, New York (2001), 197-223. [13] S. Maskell, B. Alun-Jones and M. Macleod, A single instruction multiple data particle filter, Nonlinear Statistical Signal Processing Workshop 2006 IEEE, (2006), 51-54. [14] L. M. Murray, Bayesian state-space modelling on high-performance hardware using LibBi, preprint, arXiv:1306.3277. [15] M. Pitt and N. Shephard, Filtering via simulation: auxiliary particle filters, J. Amer. Statist. Assoc., 94 (1999), 590-599. [16] R. Ren and G. Orkoulas, Parallel Markov chain Monte Carlo simulations, The Journal of Chemical Physics, 126 (2007), 211102. [17] L. R. Scott, T. Clark and B. Bagheri, Scientific Parallel Computing, Princeton, Princeton, NJ, 2005. [18] M. West, Approximating posterior distributions by mixtures, J. R. Stat. Soc. Ser. B Stat. Methodol., 55 (1993), 409-422. [19] M. West, Mixture models, Monte Carlo, Bayesian updating and dynamic models, in Computing Science and Statistics: Proceedings of the 24th Symposium on the Interface (ed. J. H. Newton), Interface Foundation of America, Fairfax Station, VA (1993), 325-333. [20] D. J. Wilkinson, Parallel Bayesian computation, in Handbook of Parallel Computing and Statistics (ed. E. J. Kontoghiorghes), Chapman & Hall/CRC, Boca Raton, FL (2005), 477-508. [21] Y. Zhou, vSMC: Parallel sequential Monte Carlo in C++, preprint, arXiv:1306.5583.
Open Access Under a Creative Commons license