B0274
Title: SIMD parallel MCMC sampling with applications for big-data Bayesian analytics
Authors: Alireza Mahani - Sentrana Inc (United States) [presenting]
Mansour Sharabiani - Imperial College London (United Kingdom)
Abstract: Two opportunities for Single-Instruction Multiple-Data (SIMD) parallelization of MCMC sampling for probabilistic graphical models are presented. In exchangeable models with many observations such as Bayesian Generalized Linear Models (GLMs), child-node contributions to the conditional posterior of each node can be calculated concurrently. In undirected graphs with discrete-value nodes, concurrent sampling of conditionally-independent nodes can be transformed into a SIMD form. High-performance libraries with multi-threading and vectorization capabilities can be readily applied to such SIMD opportunities to gain decent speedup, while a series of high-level source-code and runtime modifications provide further performance boost by reducing parallelization overhead and increasing data locality for Non-Uniform Memory Access architectures. For big-data Bayesian GLM graphs, the end-result is a routine for evaluating the conditional posterior and its gradient vector that is 5 times faster than a naive implementation using (built-in) multi-threaded Intel MKL BLAS, and reaches within the striking distance of the memory-bandwidth-induced hardware limit.
