Temporal Parallelization of Bayesian Smoothers
@article{Srkk2021TemporalPO, title={Temporal Parallelization of Bayesian Smoothers}, author={Simo S{\"a}rkk{\"a} and {\'A}ngel F. Garc{\'i}a-Fern{\'a}ndez}, journal={IEEE Transactions on Automatic Control}, year={2021}, volume={66}, pages={299-306} }
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…
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