Reducing the run-time of MCMC programs by multithreading on SMP architectures

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Authors

Colleges, School and Institutes

External organisations

  • University of Warwick

Abstract

The increasing availability of multi-core and multiprocessor architectures provides new opportunities for improving the performance of many computer simulations. Markov Chain Monte Carlo (MCMC) simulations are widely used for approximate counting problems, Bayesian inference and as a means for estimating very high-dimensional integrals. As suchMCMC has found a wide variety of applications in fields including computational biology and physics, financial econometrics, machine learning and image processing. This paper presents a new method for reducing the runtime of Markov Chain Monte Carlo simulations by using SMP machines to speculatively perform iterations in parallel, reducing the runtime of MCMC programs whilst producing statistically identical results to conventional sequential implementations. We calculate the theoretical reduction in runtime that may be achieved using our technique under perfect conditions, and test and compare the method on a selection of multi-core and multi-processor architectures. Experiments are presented that show reductions in runtime of 35% using two cores and 55% using four cores.

Details

Original languageEnglish
Title of host publicationIPDPS Miami 2008 - Proceedings of the 22nd IEEE International Parallel and Distributed Processing Symposium, Program and CD-ROM
Publication statusPublished - 2008
EventIPDPS 2008 - 22nd IEEE International Parallel and Distributed Processing Symposium - Miami, FL, United States
Duration: 14 Apr 200818 Apr 2008

Publication series

NameIPDPS Miami 2008 - Proceedings of the 22nd IEEE International Parallel and Distributed Processing Symposium, Program and CD-ROM

Conference

ConferenceIPDPS 2008 - 22nd IEEE International Parallel and Distributed Processing Symposium
Country/TerritoryUnited States
CityMiami, FL
Period14/04/0818/04/08