Parallel Tempering MCMC Acceleration Using Reconfigurable Hardware

Markov Chain Monte Carlo (MCMC) is a family of algorithms which is used to draw samples from arbitrary probability distributions in order to estimate – otherwise intractable – integrals. When the distribution is complex, simple MCMC becomes inefficient and advanced variations are employed. This paper proposes a novel FPGA architecture to accelerate parallel tempering, a computationally expensive, popular MCMC method, which is designed to sample from multimodal distributions. The proposed architecture can be used to sample from any distribution. Moreover, the work demonstrates that MCMC is robust to reductions in the arithmetic precision used to evaluate the sampling distribution and this robustness is exploited to improve the FPGA’s performance.

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Springer Science+Business Media