LibBi swMATH ID: 19384 Software Authors: Murray LM Description: Bayesian State-Space Modelling on High-Performance Hardware Using LibBi. LibBi is a software package for state-space modelling and Bayesian inference on modern computer hardware, including multi-core central processing units (CPUs), many-core graphics processing units (GPUs) and distributed-memory clusters of such devices. The software parses a domain-specific language for model specification, then optimises, generates, compiles and runs code for the given model, inference method and hardware platform. In presenting the software, this work serves as an introduction to state-space models and the specialised methods developed for Bayesian inference with them. The focus is on sequential Monte Carlo (SMC) methods such as the particle filter for state estimation, and the particle Markov chain Monte Carlo (PMCMC) and SMC^2 methods for parameter estimation. All are well-suited to current computer hardware. Two examples are given and developed throughout, one a linear three-element windkessel model of the human arterial system, the other a nonlinear Lorenz ’96 model. These are specified in the prescribed modelling language, and LibBi demonstrated by performing inference with them. Empirical results are presented, including a performance comparison of the software with different hardware configurations. Homepage: http://libbi.org/index.html Related Software: R; vSMC; pomp; Biips; JAGS; WinBUGS; Stan; Matlab; BUGS; SMCTC; Octave; dlm; nimble; stochvol; Python; pyParticleEst; RcppSMC; Rcpp; CODA; factorstochvol Cited in: 9 Documents Standard Articles 1 Publication describing the Software Year Bayesian State-Space Modelling on High-Performance Hardware Using LibBi Lawrence M. Murray 2013 all top 5 Cited by 20 Authors 2 Jacob, Pierre E. 2 Murray, Lawrence M. 1 Arnold, Andrea 1 Bottolo, Leonardo 1 Bouganis, Christos-Savvas 1 Calvetti, Daniela 1 Del Moral, Pierre 1 Forman, Julie Lyng 1 Selland Kleppe, Tore 1 Law, Jonathan 1 Liesenfeld, Roman 1 Mingas, Grigorios 1 Osmundsen, Kjartan Kloster 1 Peters, Gareth William 1 Picchini, Umberto 1 Rubenthaler, Sylvain 1 Shevchenko, Pavel V. 1 Somersalo, Erkki 1 Targino, Rodrigo S. 1 Wilkinson, Darren James all top 5 Cited in 8 Serials 2 Statistics and Computing 1 Insurance Mathematics & Economics 1 International Journal of Approximate Reasoning 1 Journal of Statistical Computation and Simulation 1 Discrete and Continuous Dynamical Systems 1 Journal of Computational and Graphical Statistics 1 SIAM/ASA Journal on Uncertainty Quantification 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys Cited in 5 Fields 7 Statistics (62-XX) 7 Numerical analysis (65-XX) 2 Probability theory and stochastic processes (60-XX) 1 Computer science (68-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Citations by Year