I've been thinking a lot recently about how to do MCMC on massively parallel architectures, for instance in a (massively) multi-core setup (either with or without shared memory).

There are several ways to approach this problem.

The first is the "brain dead" approach. If you have N-many cores, just run N-many parallel (independent) samplers. Done. The problem here is that if N is really like (say 1000 or greater), then this is probably a complete waste of space/time.

The next approach works if you're doing something like (uncollapsed) Gibbs sampling. Here, the Markov blankets usually separate in a fairly reasonable way. So you can literally distribute the work precisely as specified by the Markov blankets. With a bit of engineering, you can probably do this is a pretty effective manner. The problem, of course, is if you have strongly overlapping Markov blankets. (I.e., if you don't have good separation in the network.) This can happen either due to model structure, or due to collapsing certain variables. In this case, this approach just doesn't work at all.

The third approach---and the only one that really seems plausible---would be to construct sampling schemes exclusively for a massively parallel architecture. For instance, if you can divide your variables in some reasonable way, you can probably run semi-independent samplers that communicate on an as-needed basis. The form of this communication might, for instance, look something like an MH-step, or perhaps something more complex.

At any rate, I've done a bit of a literature survey to find examples of systems that work like this, but have turned up surprisingly little. I can't imagine that there's that little work on this problem, though.

An abridged proof of Marton’s conjecture

6 hours ago

## 14 comments:

Regarding #2, it depends on what you mean "doesn't work at all". Taking a look at books.nips.cc/papers/files/nips20/NIPS2007_0672.pdf , doing an approximate variant of Gibbs seems to work quite well for LDA. In my own experiments, I take further liberties, and the results are usually fairly encouraging.

Granted, as the number of processors grows large (and the size of the data fails to grow with it), I'm sure the effects of "cheating" at Gibbs sampling will be more noticeable.

Regardless, I'd be very interested to see a variant of MCMC like you proposed in #3.

(also, sorry about the first post. I'm not sure how my name got mangled into that...)

I haven't seriously looked at this, so take these comments with a grain of salt, but I suspect that some kind of particle filter may turn out to parallelize better than MCMC approaches that try to maintain a single chain. I suspect you don't need global communication to ensure that the particle population is distributed according to the desired population, but that e.g., pairwise communication between random pairs is sufficient. Cappe and Robert's work on adaptive importance sampling and population monte carlo seems very promising here.

David -- I didn't mean to actually imply that it doesn't work :)... just that it seems unlikely to scale dramatically without incurring significant penalties.

Mark -- I've thought about particle filtering, but the worry here is that in order for pfilters to be competitive, you usually have to do an MCMC resampling pass, which then won't distribute :).

Hi Hal,

While the standard presentations of particle filtering assume a global resampling step, I think that particle filters are still correct (but maybe less efficient) if this resampling is only done over subsets of the particles.

Imagine you were running n sets of particle filters in parallel; each of the sets of particles is a sample from the desired distribution, but of course a global resampling step isn't necessary.

Moreover, since each set of particles is a sample from the same distribution, permuting the particles across the filters doesn't change the distributions, but may promote faster mixing.

This leads to the idea in my first message; after each update we randomly assign particles to groups, and resample only locally within each group.

Hi Mark -- In fact, you don't need to do

anyresampling to be correct -- you just get much better estimates if you do. I think you can probably go one step further... something like:1. Split data across processors.

2. Run independent particle filters on each processor for some number of data points (say, 100). This can involve MCMC moves, etc., but each is essentially running independently.

3. Randomly shuffle particles between processors. Suppose we have 1000 processors and each gets 100 particles. Then accumulate the 100k particles and randomly re-distribute them to processors. (Can be done much more efficiently so that you don't actually need a "host" to collect them.)

4. Each processor runs a new set of MCMC moves on its particles.

5. Go to 2.

I'd have to write it down to verify, but at least intuitively it seems like this would still leave us with samples from the true posterior. The shuffling is done essentially to ensure some communication between the different subsets of data (which somehow seems important.)

Of course, we might not actually want to do particle filtering but rather some batch method. Is there an easy pfilter -> batch conversion? (I suspect there should be, but haven't worked through it.)

Hi Hal,

Yes, what you sketch is the kind of thing I have in mind. Particle filtering is usually viewed as an on-line procedure, but it doesn't have to be; the "adaptive importance sampling" work I mentioned earlier develops this idea.

Mark

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Hi,

You might be interested in my paper on "circular coupling". Among other things, this technique allows one to simulate a single Markov chain in parallel, by stiching together parts done on different processors to create a single coherent Markov chain. (Actually a circular one, as you can guess from the title.)

You can get it from here.

Radford Neal

Hi Sir,

I am doing MTech from Indian Institute of Technology Bombay. I am doing a project on speech summarization. Is there any open source tool available for performing speech summarization to which i can make modifications since i have not more than 6 months for this project and i guess starting from scratch would be tough in such a short span.

Can you give me some idea as to how should i start it.

Thanks & Regards

T. Shivkiran

shivkiran@cse.iitb.ac.in

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