Acceleration of expensive computations in Bayesian statistics using vector operations
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Many applications in Bayesian statistics are extremely computationally intensive. However, they are also often inherently parallel, making them prime targets for modern massively parallel central processing unit (CPU) architectures. While the use of multi-core and distributed computing is widely applied in the Bayesian community, very little attention has been given to fine-grain parallelisation using single instruction multiple data (SIMD) operations that are available on most modern commodity CPUs. Rather, most fine-grain tuning in the literature has centred around general purpose graphics processing units (GPGPUs). Since the effective utilisation of GPGPUs typically requires specialised programming languages, such technologies are not ideal for the wider Bayesian community. In this work, we practically demonstrate, using standard programming libraries, the utility of the SIMD approach for several topical Bayesian applications. In particular, we consider sampling of the prior predictive distribution for approximate Bayesian computation (ABC), the computation of Bayesian p-values for testing prior weak informativeness, and inference on a computationally challenging econometrics model. Through minor code alterations, we show that SIMD operations can improve the floating point arithmetic performance resulting in up to 6× improvement in the overall serial algorithm performance. Furthermore 4-way parallel versions can lead to almost 19× improvement over a naïve serial implementation. We illustrate the potential of SIMD operations for accelerating Bayesian computations and provide the reader with essential implementation techniques required to exploit modern massively parallel processing environments using standard software development tools.
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