Ph.D. Student in StatisticsDuke University
A Comparison of Serial & Parallel Particle Filters for Time Series Analysis
This paper discusses the application of parallel programming techniques to the estimation of hidden Markov models via the use of a particle filter. It highlights how the Thrust parallel programming language can be used to implement a particle filter in parallel. The impact of a parallel particle filter on the running times of three different models is investigated. For particle filters using a large number of particles, Thrust provides a speed-up of five to ten times over a serial C++ implementation, which is less than reported in other research.