Vector operations for accelerating expensive Bayesian computations - a tutorial guide

DOI10.1214/21-BA1265MaRDI QIDQ6202922zbMATH OpenOpenAlexFDO

Authors David J. Warne, S. A. Sisson, C. C. Drovandi

Publication date 27 February 2024

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.09046, https://projecteuclid.org/journals/bayesian-analysis/volume-17/issue-2/Vector-Operations-for-Accelerating-Expensive-Bayesian-Computations-A-Tutorial/10.1214/21-BA1265.full

zbMATH Keywords

advanced vector extensionsapproximate Bayesian computationsequential Monte Carlosingle instruction multiple datavectorisationweakly informative priors

Mathematics Subject Classification ID

Statistics (62-XX) Applied statistics (educational aspects) (97K80)

Abstract: Many applications in Bayesian statistics are extremely computationally intensive. However, they are often inherently parallel, making them prime targets for modern massively parallel processors. Multi-core and distributed computing is widely applied in the Bayesian community, however, very little attention has been given to fine-grain parallelisation using single instruction multiple data (SIMD) operations that are available on most modern commodity CPUs and is the basis of GPGPU computing. In this work, we practically demonstrate, using standard programming libraries, the utility of the SIMD approach for several topical Bayesian applications. We show that SIMD can improve the floating point arithmetic performance resulting in up to $6imes$ improvement in serial algorithm performance. Importantly, these improvements are multiplicative to any gains achieved through multi-core processing. We illustrate the potential of SIMD for accelerating Bayesian computations and provide the reader with techniques for exploiting modern massively parallel processing environments using standard tools.

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Cited in

(1)

• Rapid Bayesian Inference for Expensive Stochastic Models

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