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We present a case-study on the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods. Graphics cards, containing multiple Graphics Processing Units (GPUs), are self-contained parallel computational devices that can be housed in conventional desktop and laptop computers and can be thought of as prototypes of the next generation of many-core processors. For certain classes of population-based Monte Carlo algorithms they offer massively parallel simulation, with the added advantage over conventional distributed multi-core processors that they are cheap, easily accessible, easy to maintain, easy to code, dedicated local devices with low power consumption. On a canonical set of stochastic simulation examples including population-based Markov chain Monte Carlo methods and Sequential Monte Carlo methods, we nd speedups from 35 to 500 fold over conventional single-threaded computer code. Our findings suggest that GPUs have the potential to facilitate the growth of statistical modelling into complex data rich domains through the availability of cheap and accessible many-core computation. We believe the speedup we observe should motivate wider use of parallelizable simulation methods and greater methodological attention to their design.

Original publication

DOI

10.1198/jcgs.2010.10039

Type

Journal article

Journal

Journal of computational and graphical statistics : a joint publication of american statistical association, institute of mathematical statistics, interface foundation of north america

Publication Date

12/2010

Volume

19

Pages

769 - 789

Addresses

Oxford-Man Institute, Eagle House, Walton Well Road, Oxford OX2 6ED, UK.