Parallel Resampling in the Particle Filter

Modern parallel computing devices, such as the graphics processing unit (GPU), have gained significant traction in scientific and statistical computing. They are particularly well-suited to data-parallel algorithms such as the particle filter, or more generally sequential Monte Carlo (SMC), which are increasingly used in statistical inference. SMC methods carry a set of weighted particles through repeated propagation, weighting, and resampling steps. Lien vers l'article

MURRAY, L.M., LEE, A. and JACOB, P. (2016). Parallel Resampling in the Particle Filter. Journal of Computational and Graphical Statistics, 25(3), pp. 789-805.

Mots clés : #Graphics-processing-unit, #parallel-computing, #particle-methods, #Sequential-Monte-Carlo