On Optimizing the Arithmetic Precision of MCMC Algorithms

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Provided by: Institute of Electrical & Electronic Engineers
Topic: Hardware
Format: PDF
Markov Chain Monte Carlo (MCMC) is a ubiquitous stochastic method, used to draw random samples from arbitrary probability distributions, such as the ones encountered in Bayesian inference. MCMC often requires forbiddingly long runtimes to give a representative sample in problems with high dimensions and large-scale data. Field-Programmable Gate Arrays (FPGAs) have proven to be a suitable platform for MCMC acceleration due to their ability to support massive parallelism. This paper introduces an automated method, which minimizes the floating point precision of the most computationally intensive part of an FPGA-mapped MCMC sampler, while keeping the precision-related bias in the output within a user-specified tolerance.
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