Parallel implementation of particle MCMC methods on a GPU

Title: Parallel implementation of particle MCMC methods on a GPU
Creator: Henriksen, Soren; Wills, Adrian; Schon, Thomas B.; Ninness, Brett
Relation: 16th IFAC Symposium on System Identification 2012. Proceedings of IFAC 2012: 16th IFAC Symposium on System Identification (Bruxelles, Belgium 11-13 July, 2012) p. 1143-1148
Publisher Link: http://dx.doi.org/10.3182/20120711-3-BE-2027.00296
Publisher: IFAC
Resource Type: conference paper
Date: 2012
Description: This paper examines the problem of estimating the parameters describing system models of quite general nonlinear and multi-variable form. The approach is a computational one in which quantities that are intractable to evaluate exactly are approximated by sample averages from randomized algorithms. The main contribution is to illustrate the viability and utility of this approach by examining how high computational loads can be simply managed using commodity hardware. The proposed algorithms and solution architectures are profiles on concrete examples.
Subject: nonlinear dynamical systems; nonlinear estimation; particle filter; Markov Chain Monte Carlo; parallel computation; graphics processing unit
Identifier: http://hdl.handle.net/1959.13/1309118
Identifier: uon:21777
Identifier: ISBN:9783902823069
Language: eng
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