vSMC swMATH ID: 19386 Software Authors: Zhou Y Description: vSMC: Parallel Sequential Monte Carlo in C++. Sequential Monte Carlo is a family of algorithms for sampling from a sequence of distributions. Some of these algorithms, such as particle filters, are widely used in the physics and signal processing researches. More recent developments have established their application in more general inference problems such as Bayesian modeling. These algorithms have attracted considerable attentions in recent years as they admit natural and scalable parallelizations. However, these algorithms are perceived to be difficult to implement. In addition, parallel programming is often unfamiliar to many researchers though conceptually appealing, especially for sequential Monte Carlo related fields. A C++ template library is presented for the purpose of implementing general sequential Monte Carlo algorithms on parallel hardware. Two examples are presented: a simple particle filter and a classic Bayesian modeling problem. Homepage: https://arxiv.org/abs/1306.5583 Related Software: R; LibBi; Biips; pomp; SMCTC; JAGS; Matlab; BUGS; Stan; stochvol; KFAS; dlm; WinBUGS; nimble; pyParticleEst; Rcpp; RcppSMC; Octave; factorstochvol; mcmcse Cited in: 2 Documents Standard Articles 1 Publication describing the Software Year vSMC: Parallel Sequential Monte Carlo in C++ arXiv Zhou Y 2013 Cited by 5 Authors 1 Arnold, Andrea 1 Calvetti, Daniela 1 Johansen, Adam M. 1 Somersalo, Erkki 1 Thesingarajah, Denishrouf Cited in 2 Serials 1 Discrete and Continuous Dynamical Systems 1 Statistics and Computing Cited in 3 Fields 2 Numerical analysis (65-XX) 1 Statistics (62-XX) 1 Biology and other natural sciences (92-XX) Citations by Year