Reducing the run-time of MCMC programs by multithreading on SMP architectures
Byrd, Jonathan M. R., Jarvis, Stephen A., 1970- and Bhalerao, Abhir (2008) Reducing the run-time of MCMC programs by multithreading on SMP architectures. In: 22nd IEEE International Parallel and Distributed Processing Symposium (IPDPS 2008), Miami, FL, Apr 14-18 2008. Published in: IEEE International Symposium on Parallel and Distributed Processing, 2008 pp. 2242-2249.
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Official URL: http://dx.doi.org/10.1109/IPDPS.2008.4536354
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 such MCMC 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 run-time 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.
|Item Type:||Conference Item (Paper)|
|Subjects:||Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software|
|Divisions:||Faculty of Science > Computer Science|
|Journal or Publication Title:||IEEE International Symposium on Parallel and Distributed Processing, 2008|
|Number of Pages:||8|
|Page Range:||pp. 2242-2249|
|Conference Paper Type:||Paper|
|Title of Event:||22nd IEEE International Parallel and Distributed Processing Symposium (IPDPS 2008)|
|Type of Event:||Workshop|
|Location of Event:||Miami, FL|
|Date(s) of Event:||Apr 14-18 2008|
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