RT Journal Article
T1 On the performance of parallelisation schemes for particle filtering
A1 Míguez Arenas, Joaquín
A1 Ríos Muñoz, Gonzalo Ricardo
A1 Crisan, Dan
AB Considerable effort has been recently devoted to the design of schemes for the parallel implementation of sequential Monte Carlo (SMC) methods for dynamical systems, also widely known as particle filters (PFs). In this paper, we present a brief survey of recent techniques, with an emphasis on the availability of analytical results regarding their performance. Most parallelisation methods can be interpreted as running an ensemble of lower-cost PFs, and the differences between schemes depend on the degree of interaction among the members of the ensemble. We also provide some insights on the use of the simplest scheme for the parallelisation of SMC methods, which consists in splitting the computational budget into M non-interacting PFs with N particles each and then obtaining the desired estimators by averaging over the M independent outcomes of the filters. This approach minimises the parallelisation overhead yet still displays desirable theoretical properties. We analyse the mean square error (MSE) of estimators of moments of the optimal filtering distribution and show the effect of the parallelisation scheme on the approximation error rates. Following these results, we propose a time-error index to compare schemes with different degrees of parallelisation. Finally, we provide two numerical examples involving stochastic versions of the Lorenz 63 and Lorenz 96 systems. In both cases, we show that the ensemble of non-interacting PFs can attain the approximation accuracy of a centralised PF (with the same total number of particles) in just a fraction of its running time using a standard multicore computer.
PB Springer
SN 1687-6172
YR 2018
FD 2018-05-25
LK https://hdl.handle.net/10016/38841
UL https://hdl.handle.net/10016/38841
LA eng
NO This work was partially supported by Ministerio de Economía y Competitividad of Spain (TEC2012-38883-C02-01 COMPREHENSION and TEC2015-69868-C2-1-R ADVENTURE) and the Office of Naval Research Global (N62909- 15-1-2011). D. C. and J. M. acknowledge the support of the Isaac Newton Institute through the program Monte Carlo Inference for High-Dimensional Statistical Models.
DS e-Archivo
RD 18 jul. 2024