Parallelized integrated nested Laplace approximations for fast Bayesian inference
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Publication:2677902
Abstract: There is a growing demand for performing larger-scale Bayesian inference tasks, arising from greater data availability and higher-dimensional model parameter spaces. In this work we present parallelization strategies for the methodology of integrated nested Laplace approximations (INLA), a popular framework for performing approximate Bayesian inference on the class of Latent Gaussian models. Our approach makes use of nested OpenMP parallelism, a parallel line search procedure using robust regression in INLA's optimization phase and the state-of-the-art sparse linear solver PARDISO. We leverage mutually independent function evaluations in the algorithm as well as advanced sparse linear algebra techniques. This way we can flexibly utilize the power of today's multi-core architectures. We demonstrate the performance of our new parallelization scheme on a number of different real-world applications. The introduction of parallelism leads to speedups of a factor 10 and more for all larger models. Our work is already integrated in the current version of the open-source R-INLA package, making its improved performance conveniently available to all users.
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Cited in
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- Fast Bayesian inference of block nearest neighbor Gaussian models for large data
- Parallel algorithms for Bayesian inference in spatial Gaussian models
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- Efficient posterior integration in stable paretian models
- Fast automatic Bayesian cubature using lattice sampling
- A fast lattice algorithm for PARCOR parameter estimation based on an approximate likelihood
- Bayesian survival analysis with INLA
- A flexible Bayesian tool for CoDa mixed models: logistic-normal distribution with Dirichlet covariance
- Temporal Parallelization of Bayesian Smoothers
- Integrated nested Laplace approximations for large-scale spatiotemporal Bayesian modeling
- Bayesian computing with INLA: new features
- Past, present and future of software for Bayesian inference
- A new avenue for Bayesian inference with INLA
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