Data assimilation using a GPU accelerated path integral Monte Carlo approach

DOI10.1016/J.JCP.2011.07.015zbMATH Open1231.65013arXiv1103.4887OpenAlexW2009761617MaRDI QIDQ654145FDOQ654145

Authors: John C. Quinn, Henry D. I. Abarbanel 

Publication date: 28 December 2011

Published in: Journal of Computational Physics (Search for Journal in Brave)

Abstract: The answers to data assimilation questions can be expressed as path integrals over all possible state and parameter histories. We show how these path integrals can be evaluated numerically using a Markov Chain Monte Carlo method designed to run in parallel on a Graphics Processing Unit (GPU). We demonstrate the application of the method to an example with a transmembrane voltage time series of a simulated neuron as an input, and using a Hodgkin-Huxley neuron model. By taking advantage of GPU computing, we gain a parallel speedup factor of up to about 300, compared to an equivalent serial computation on a CPU, with performance increasing as the length of the observation time used for data assimilation increases.

Full work available at URL: https://arxiv.org/abs/1103.4887

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zbMATH Keywords

data assimilationnumerical examplesMarkov chain Monte Carlo methodparallel computationpath integralGPU computingHodgkin-Huxley neuron modelstate and parameter estimationtransmembrane voltage time series

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Parallel numerical computation (65Y05) Neural biology (92C20)

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Cited In (6)

• A path integral method for data assimilation
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• Data assimilation for ocean drift trajectories using massive ensembles and GPUs
• A path-integral approach to Bayesian inference for inverse problems using the semiclassical approximation

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