Vectorized and Parallel Particle Filter SMC Parameter Estimation for Stiff ODEs

Abstract

Particle filter (PF) sequential Monte Carlo (SMC) methods are very attractive for the estimation of parameters of time dependent systems where the data is either not all available at once, or the range of time constants is wide enough to create problems in the numerical time propagation of the states. The need to evolve a large number of particles makes PF-based methods computationally challenging, the main bottlenecks being the time propagation of each particle and the large number of particles. While parallelization is typically advocated to speed up the computing time, vectorization of the algorithm on a single processor may result in even larger speedups for certain problems. In this paper we present a formulation of the PF-SMC class of algorithms proposed in Arnold et al. (2013), which is particularly amenable to a parallel or vectorized computing environment, and we illustrate the performance with a few computed examples in MATLAB.