IEEE Transactions on Automatic Control, Vol.66, No.1, 299-306, 2021
Temporal Parallelization of Bayesian Smoothers
This article presents algorithms for temporal parallelization of Bayesian smoothers. We define the elements and the operators to pose these problems as the solutions to all-prefix-sums operations for which efficient parallel scan-algorithms are available. We present the temporal parallelization of the general Bayesian filtering and smoothing equations, and specialize them to linear/Gaussian models. The advantage of the proposed algorithms is that they reduce the linear complexity of standard smoothing algorithms with respect to time to logarithmic.
Keywords:Bayes methods;Smoothing methods;Mathematical model;Computational modeling;Kalman filters;Parallel algorithms;Bayesian smoothing;Kalman filtering and smoothing;parallel computing;parallel scan;prefix sums