vSMC: Parallel sequential Monte Carlo in C++

Abstract

Sequential Monte Carlo is a family of algorithms for sampling from a sequence of distributions. Some of these algorithms, such as particle filters, are widely used in physics and signal processing research. More recent developments have established their application in more general inference problems such as Bayesian modeling. These algorithms have attracted considerable attention in recent years not only because that they have desired statistical properties, but also because they admit natural and scalable parallelization. However, they are perceived to be diffcult to implement. In addition, parallel programming is often unfamiliar to many researchers though conceptually appealing. A C++ template library is presented for the purpose of implementing generic sequential Monte Carlo algorithms on parallel hardware. Two examples are presented: A simple particle filter and a classic Bayesian modeling problem.