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International Federation of Automatic Control (IFAC), IFAC papers online, 16(45), p. 1143-1148, 2012

DOI: 10.3182/20120711-3-be-2027.00296

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Parallel implementation of particle MCMC methods on a GPU

Journal article published in 2012 by Soren Henriksen, Adrian Wills, Thomas B. Schön ORCID, Brett Ninness
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

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 profiled on concrete examples.