De-Sequentialized Monte Carlo: a parallel-in-time particle smoother

Adrien Corenflos*, Simo Särkkä, Nicolas Chopin

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

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Abstract

Particle smoothers are SMC (Sequential Monte Carlo) algorithms designed to approximate the joint distribution of the states given observations from a state-space model. We propose dSMC (de-Sequentialized Monte Carlo), a new particle smoother that is able to process T observations in O(log T) time on parallel architectures. This compares favorably with standard particle smoothers, the complexity of which is linear in T. We derive Lp convergence results for dSMC, with an explicit upper bound, polynomial in T. We then discuss how to reduce the variance of the smoothing estimates computed by dSMC by (i) designing good proposal distributions for sampling the particles at the initialization
of the algorithm, as well as by (ii) using lazy resampling to increase the number of particles used in dSMC. Finally, we design a particle Gibbs sampler based on dSMC, which is able to perform parameter inference in a state-space model at a O(log T) cost on parallel hardware.
Original languageEnglish
Number of pages39
JournalJournal of Machine Learning Research
Volume23
Publication statusPublished - 1 Aug 2022
MoE publication typeA1 Journal article-refereed

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