Accelerating MCMC via Parallel Predictive Prefetching

We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential future steps of the chain in parallel. The approach can accelerate computation of the target distribution of a Bayesian inference problem, without compromising exactness, by exploiting subsets of data. It takes advantage of whatever parallel resources are available, but produces results exactly equivalent to standard serial execution. In the initial burn-in phase of chain evaluation, it achieves speedup over serial evaluation that is close to linear in the number of available cores

Performance Analysis and Optimization of Sparse Matrix-Vector Multiplication on Modern Multi- and Many-Core Processors

This paper presents a low-overhead optimizer for the ubiquitous sparse matrix-vector multiplication (SpMV) kernel. Architectural diversity among different processors together with structural diversity among different sparse matrices lead to bottleneck diversity. This justifies an SpMV optimizer that is both matrix- and architecture-adaptive through runtime specialization. To this direction, we present an approach that first identifies the performance bottlenecks of SpMV for a given sparse matrix on the target platform either through profiling or by matrix property inspection, and then selects suitable optimizations to tackle those bottlenecks. Our optimization pool is based on the widely used Compressed Sparse Row (CSR) sparse matrix storage format and has low preprocessing overheads, making our overall approach practical even in cases where fast decision making and optimization setup is required. We evaluate our optimizer on three x86-based computing platforms and demonstrate that it is able to distinguish and appropriately optimize SpMV for the majority of matrices in a representative test suite, leading to significant speedups over the CSR and Inspector-Executor CSR SpMV kernels available in the latest release of the Intel MKL library.Comment: 10 pages, 7 figures, ICPP 201

Accelerating Metropolis-Hastings algorithms: Delayed acceptance with prefetching

MCMC algorithms such as Metropolis-Hastings algorithms are slowed down by the computation of complex target distributions as exemplified by huge datasets. We offer in this paper an approach to reduce the computational costs of such algorithms by a simple and universal divide-and-conquer strategy. The idea behind the generic acceleration is to divide the acceptance step into several parts, aiming at a major reduction in computing time that outranks the corresponding reduction in acceptance probability. The division decomposes the "prior x likelihood" term into a product such that some of its components are much cheaper to compute than others. Each of the components can be sequentially compared with a uniform variate, the first rejection signalling that the proposed value is considered no further, This approach can in turn be accelerated as part of a prefetching algorithm taking advantage of the parallel abilities of the computer at hand. We illustrate those accelerating features on a series of toy and realistic examples.Comment: 20 pages, 12 figures, 2 tables, submitte

Redesigning OP2 Compiler to Use HPX Runtime Asynchronous Techniques

Maximizing parallelism level in applications can be achieved by minimizing overheads due to load imbalances and waiting time due to memory latencies. Compiler optimization is one of the most effective solutions to tackle this problem. The compiler is able to detect the data dependencies in an application and is able to analyze the specific sections of code for parallelization potential. However, all of these techniques provided with a compiler are usually applied at compile time, so they rely on static analysis, which is insufficient for achieving maximum parallelism and producing desired application scalability. One solution to address this challenge is the use of runtime methods. This strategy can be implemented by delaying certain amount of code analysis to be done at runtime. In this research, we improve the parallel application performance generated by the OP2 compiler by leveraging HPX, a C++ runtime system, to provide runtime optimizations. These optimizations include asynchronous tasking, loop interleaving, dynamic chunk sizing, and data prefetching. The results of the research were evaluated using an Airfoil application which showed a 40-50% improvement in parallel performance.Comment: 18th IEEE International Workshop on Parallel and Distributed Scientific and Engineering Computing (PDSEC 2017

Patterns of Scalable Bayesian Inference

Datasets are growing not just in size but in complexity, creating a demand for rich models and quantification of uncertainty. Bayesian methods are an excellent fit for this demand, but scaling Bayesian inference is a challenge. In response to this challenge, there has been considerable recent work based on varying assumptions about model structure, underlying computational resources, and the importance of asymptotic correctness. As a result, there is a zoo of ideas with few clear overarching principles. In this paper, we seek to identify unifying principles, patterns, and intuitions for scaling Bayesian inference. We review existing work on utilizing modern computing resources with both MCMC and variational approximation techniques. From this taxonomy of ideas, we characterize the general principles that have proven successful for designing scalable inference procedures and comment on the path forward