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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