Forest Resampling for Distributed Sequential Monte Carlo

Research output: Contribution to journalArticle (Academic Journal)peer-review

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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 languageEnglish
Pages (from-to)230-248
Number of pages19
JournalStatistical Analysis and Data Mining
Volume9
Issue number4
Early online date14 Jul 2015
DOIs
Publication statusPublished - 17 Jul 2016

Keywords

  • data structures
  • distributed computing
  • effective sample size
  • particle filters

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