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Abstract
This paper brings explicit considerations of distributed computing architectures and data structures into the rigorous design of Sequential Monte Carlo (SMC) methods. A theoretical result established recently by the authors shows that adapting interaction between particles to suitably control the effective sample size (ESS) is sufficient to guarantee stability of SMC algorithms. Our objective is to leverage this result and devise algorithms which are thus guaranteed to work well in a distributed setting. We make three main contributions to achieve this. First, we study mathematical properties of the ESS as a function of matrices and graphs that parameterize the interaction among particles. Secondly, we show how these graphs can be induced by tree data structures which model the logical network topology of an abstract distributed computing environment. Finally, we present efficient distributed algorithms that achieve the desired ESS control, perform resampling and operate on forests associated with these trees.
Original language | English |
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Pages (from-to) | 230-248 |
Number of pages | 19 |
Journal | Statistical Analysis and Data Mining |
Volume | 9 |
Issue number | 4 |
Early online date | 14 Jul 2015 |
DOIs | |
Publication status | Published - 17 Jul 2016 |
Keywords
- data structures
- distributed computing
- effective sample size
- particle filters
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Dive into the research topics of 'Forest Resampling for Distributed Sequential Monte Carlo'. Together they form a unique fingerprint.Projects
- 1 Finished
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Sequential Monte Carlo in Random Environments
Whiteley, N. (Principal Investigator)
5/08/13 → 5/02/15
Project: Research