Parallel Iterated Extended and Sigma-point Kalman Smoothers
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Abstract (arXiv)
The problem of Bayesian filtering and smoothing in nonlinear models with additive noise is an active area of research. Classical Taylor series as well as more recent sigma-point based methods are two well-known strategies to deal with these problems. However, these methods are inherently sequential and do not in their standard formulation allow for parallelization in the time domain. In this paper, we present a set of parallel formulas that replace the existing sequential ones in order to achieve lower time (span) complexity. Our experimental results done with a graphics processing unit (GPU) illustrate the efficiency of the proposed methods over their sequential counterparts.
Key facts. Cited by 6 papers in the map (data through 7 Oct 2026). First posted on arXiv 31 Jan 2021.
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Citing papers per year: 2021: 3; 2022: 1; 2023: 2.
6 papers.
- 2021Temporal Parallelization of Inference in Hidden Markov Modelscited by 5
- 2023Parallel-in-Time Probabilistic Numerical ODE Solverscited by 3
- 2022De-Sequentialized Monte Carlo: a parallel-in-time particle smoothercited by 2
- 2021Temporal Gaussian Process Regression in Logarithmic Timecited by 1
- 2021Linear-Time Probabilistic Solutions of Boundary Value Problemscited by 1
- 2023Auxiliary MCMC and particle Gibbs samplers for parallelisable inference in latent dynamical systemscited by 0
- 2023Parallel-in-Time Probabilistic Numerical ODE Solvers2 Oct 2023
- 2023Auxiliary MCMC and particle Gibbs samplers for parallelisable inference in latent dynamical systems1 Mar 2023
- 2022De-Sequentialized Monte Carlo: a parallel-in-time particle smoother4 Feb 2022
- 2021Linear-Time Probabilistic Solutions of Boundary Value Problems14 Jun 2021
- 2021Temporal Gaussian Process Regression in Logarithmic Time19 Feb 2021
- 2021Temporal Parallelization of Inference in Hidden Markov Models10 Feb 2021